Random forest 5 period

Random forest · autocorrelation, correlation and volatility · nested purged chronological validation

Period	Held-out rows	Return	Sharpe	Alpha	Max drawdown
1	760–1020	7.66%	0.91	0.07	-10.77%
2	1020–1280	63.62%	2.59	0.48	-13.84%
3	1280–1540	4.71%	0.37	0.04	-11.95%
4	1540–1800	36.76%	2.35	0.31	-5.85%
5	1800–2060	5.01%	0.59	0.06	-6.03%
Five-period average		23.55%	1.36	0.19	-9.69%

cross_asset_mv: GDDY, ERIE, WMB, AES; parameters {'z_threshold': 2.00}
momentum_trending: MCK, GPC, NRG, MOH, INCY; parameters {'z_threshold': 1.50, 'roll': 20}
cross_asset_momentum_trending: APTV, REGN, MCK, UHS, TGT; parameters {'z_threshold': 2.00, 'roll': 20}

cross_asset_mv: ADBE, CPT, ORLY, NDSN, DOC, SW; parameters {'z_threshold': 1.50}
momentum_trending: SLB, TDY, EQT, AXON; parameters {'z_threshold': 2.00, 'roll': 60}
cross_asset_momentum_trending: EFX, APO, UHS, MCK; parameters {'z_threshold': 1.50, 'roll': 20}

cross_asset_mv: SW, GILD, KDP, DHI, AMAT, TTWO; parameters {'z_threshold': 2.00}
momentum_trending: TRMB, HAS, CPB, CZR; parameters {'z_threshold': 2.00, 'roll': 60}
cross_asset_momentum_trending: BX, CZR, EMN, WAB; parameters {'z_threshold': 2.00, 'roll': 20}

cross_asset_mv: SW, LRCX, LEN, EXPE; parameters {'z_threshold': 2.50}
momentum_trending: APA, RCL, EBAY, DXCM, WYNN; parameters {'z_threshold': 2.00, 'roll': 60}
cross_asset_momentum_trending: CZR, LULU, MHK, NEM; parameters {'z_threshold': 2.00, 'roll': 20}

cross_asset_mv: IVZ, XOM, ISRG, CNC; parameters {'z_threshold': 2.00}
momentum_trending: AMT, ZBRA, ENPH, VZ; parameters {'z_threshold': 2.00, 'roll': 60}
cross_asset_momentum_trending: PODD, TECH, BX, FSLR; parameters {'z_threshold': 2.50, 'roll': 20}