Configuration
Data Source
CSV File:
series.csv
Return Column:
ret
Cross-Validation
Number of Splits:
5
Embargo:
15 obs
Purge:
5 obs
Regime Detection
Volatility Window:
60 obs
Number of Regimes:
3
Method:
Quantiles
Min Regime Length:
30 obs
Summary Statistics
5
Total Folds
11598
Training Observations
6551
Test Observations
2319
Avg Train Size
1310
Avg Test Size
3
Unique Regimes
Regime Distribution
| Regime | Count | Percentage | Duration |
|---|---|---|---|
| Regime 0 | 1657 | 33.1% | 1657 obs |
| Regime 1 | 1657 | 33.1% | 1657 obs |
| Regime 2 | 1657 | 33.1% | 1657 obs |
Cross-Validation Folds
| Fold | Train Start | Train End | Train Obs | Test Start | Test End | Test Obs |
|---|---|---|---|---|---|---|
| 0 | 2023-01-01T09:00:00 | 2023-01-01T09:23:00 | 24 | 2023-01-01T09:29:00 | 2023-01-02T13:13:00 | 1665 |
| 1 | 2023-01-01T09:00:00 | 2023-01-02T13:08:00 | 1689 | 2023-01-02T13:14:00 | 2023-01-03T17:56:00 | 1723 |
| 2 | 2023-01-01T09:00:00 | 2023-01-03T17:51:00 | 3412 | 2023-01-03T17:57:00 | 2023-01-04T20:19:00 | 1583 |
| 3 | 2023-01-01T09:00:00 | 2023-01-04T04:36:00 | 4057 | 2023-01-04T04:42:00 | 2023-01-04T17:02:00 | 741 |
| 4 | 2023-01-01T09:00:00 | 2023-01-03T01:15:00 | 2416 | 2023-01-03T01:21:00 | 2023-01-03T15:19:00 | 839 |