{ "bins": [ { "avg_n_trades": 451.74334716796875, "cost": 0.0, "mean_reward": -10.72819995880127, "n_episodes": 300, "p05": -26.052268981933594, "p50": -10.36817741394043, "p95": 4.74384880065918, "sharpe_annualised": -28.334871292114258, "sharpe_per_episode": -0.9901005029678345, "std_reward": 10.835465431213379, "threshold": 0.0, "win_rate": 0.11666666716337204 }, { "avg_n_trades": 451.5833435058594, "cost": 0.0625, "mean_reward": -18.23717498779297, "n_episodes": 300, "p05": -32.81657409667969, "p50": -17.798627853393555, "p95": -5.656877517700195, "sharpe_annualised": -55.0507698059082, "sharpe_per_episode": -1.9236295223236084, "std_reward": 9.480607032775879, "threshold": 0.0, "win_rate": 0.02666666731238365 }, { "avg_n_trades": 455.510009765625, "cost": 0.125, "mean_reward": -26.240476608276367, "n_episodes": 300, "p05": -41.32231903076172, "p50": -26.38330078125, "p95": -12.855978965759277, "sharpe_annualised": -86.34113311767578, "sharpe_per_episode": -3.017003297805786, "std_reward": 8.697529792785645, "threshold": 0.0, "win_rate": 0.0 }, { "avg_n_trades": 454.6600036621094, "cost": 0.25, "mean_reward": -41.06214141845703, "n_episodes": 300, "p05": -57.790008544921875, "p50": -40.88361740112305, "p95": -20.842697143554688, "sharpe_annualised": -110.67660522460938, "sharpe_per_episode": -3.8673534393310547, "std_reward": 10.617633819580078, "threshold": 0.0, "win_rate": 0.0 }, { "avg_n_trades": 459.260009765625, "cost": 0.5, "mean_reward": -74.15150451660156, "n_episodes": 300, "p05": -106.13854217529297, "p50": -72.46161651611328, "p95": -47.33892822265625, "sharpe_annualised": -116.2009048461914, "sharpe_per_episode": -4.060388088226318, "std_reward": 18.26217269897461, "threshold": 0.0, "win_rate": 0.0 }, { "avg_n_trades": 370.260009765625, "cost": 0.0, "mean_reward": -8.213351249694824, "n_episodes": 300, "p05": -22.143348693847656, "p50": -7.91927433013916, "p95": 5.754604339599609, "sharpe_annualised": -27.00295639038086, "sharpe_per_episode": -0.9435596466064453, "std_reward": 8.704645156860352, "threshold": 0.05000000074505806, "win_rate": 0.09666666388511658 }, { "avg_n_trades": 370.75665283203125, "cost": 0.0625, "mean_reward": -15.160398483276367, "n_episodes": 300, "p05": -32.71171569824219, "p50": -14.214750289916992, "p95": -0.866797685623169, "sharpe_annualised": -37.087486267089844, "sharpe_per_episode": -1.2959415912628174, "std_reward": 11.698366165161133, "threshold": 0.05000000074505806, "win_rate": 0.046666666865348816 }, { "avg_n_trades": 369.0333251953125, "cost": 0.125, "mean_reward": -20.403078079223633, "n_episodes": 300, "p05": -34.1339111328125, "p50": -20.087478637695312, "p95": -9.10377311706543, "sharpe_annualised": -75.91487884521484, "sharpe_per_episode": -2.6526806354522705, "std_reward": 7.691493988037109, "threshold": 0.05000000074505806, "win_rate": 0.006666666828095913 }, { "avg_n_trades": 371.84332275390625, "cost": 0.25, "mean_reward": -33.83988571166992, "n_episodes": 300, "p05": -53.0679931640625, "p50": -32.836673736572266, "p95": -19.397377014160156, "sharpe_annualised": -96.48247528076172, "sharpe_per_episode": -3.371370553970337, "std_reward": 10.037426948547363, "threshold": 0.05000000074505806, "win_rate": 0.0 }, { "avg_n_trades": 373.9566650390625, "cost": 0.5, "mean_reward": -60.00151824951172, "n_episodes": 300, "p05": -81.8888931274414, "p50": -59.34823226928711, "p95": -42.3861198425293, "sharpe_annualised": -136.0745849609375, "sharpe_per_episode": -4.754830837249756, "std_reward": 12.619065284729004, "threshold": 0.05000000074505806, "win_rate": 0.0 }, { "avg_n_trades": 286.7366638183594, "cost": 0.0, "mean_reward": -6.028912544250488, "n_episodes": 300, "p05": -17.442401885986328, "p50": -5.043452262878418, "p95": 3.8487255573272705, "sharpe_annualised": -21.08204460144043, "sharpe_per_episode": -0.7366662621498108, "std_reward": 8.184048652648926, "threshold": 0.10000000149011612, "win_rate": 0.1433333307504654 }, { "avg_n_trades": 297.32000732421875, "cost": 0.0625, "mean_reward": -11.952619552612305, "n_episodes": 300, "p05": -27.852296829223633, "p50": -9.96550178527832, "p95": -0.7230279445648193, "sharpe_annualised": -34.2513427734375, "sharpe_per_episode": -1.1968387365341187, "std_reward": 9.986825942993164, "threshold": 0.10000000149011612, "win_rate": 0.05000000074505806 }, { "avg_n_trades": 285.8933410644531, "cost": 0.125, "mean_reward": -16.28207778930664, "n_episodes": 300, "p05": -35.10637283325195, "p50": -14.313798904418945, "p95": -4.262900352478027, "sharpe_annualised": -44.82547378540039, "sharpe_per_episode": -1.566328763961792, "std_reward": 10.395057678222656, "threshold": 0.10000000149011612, "win_rate": 0.02666666731238365 }, { "avg_n_trades": 295.2900085449219, "cost": 0.25, "mean_reward": -25.938884735107422, "n_episodes": 300, "p05": -44.77133560180664, "p50": -24.313446044921875, "p95": -9.273771286010742, "sharpe_annualised": -62.883323669433594, "sharpe_per_episode": -2.1973211765289307, "std_reward": 11.804777145385742, "threshold": 0.10000000149011612, "win_rate": 0.006666666828095913 }, { "avg_n_trades": 280.7466735839844, "cost": 0.5, "mean_reward": -44.50050354003906, "n_episodes": 300, "p05": -66.49164581298828, "p50": -42.04655075073242, "p95": -26.325918197631836, "sharpe_annualised": -99.81108856201172, "sharpe_per_episode": -3.4876816272735596, "std_reward": 12.7593355178833, "threshold": 0.10000000149011612, "win_rate": 0.0 }, { "avg_n_trades": 223.94000244140625, "cost": 0.0, "mean_reward": -5.630343914031982, "n_episodes": 300, "p05": -23.06067657470703, "p50": -3.5636019706726074, "p95": 5.983572483062744, "sharpe_annualised": -17.714860916137695, "sharpe_per_episode": -0.6190073490142822, "std_reward": 9.095762252807617, "threshold": 0.15000000596046448, "win_rate": 0.1733333319425583 }, { "avg_n_trades": 224.2066650390625, "cost": 0.0625, "mean_reward": -7.762266159057617, "n_episodes": 300, "p05": -23.935901641845703, "p50": -5.957376480102539, "p95": 3.385673999786377, "sharpe_annualised": -26.093162536621094, "sharpe_per_episode": -0.911768913269043, "std_reward": 8.51341438293457, "threshold": 0.15000000596046448, "win_rate": 0.09000000357627869 }, { "avg_n_trades": 227.23333740234375, "cost": 0.125, "mean_reward": -13.033651351928711, "n_episodes": 300, "p05": -32.822052001953125, "p50": -10.511049270629883, "p95": -2.25492525100708, "sharpe_annualised": -38.49271011352539, "sharpe_per_episode": -1.3450441360473633, "std_reward": 9.690128326416016, "threshold": 0.15000000596046448, "win_rate": 0.009999999776482582 }, { "avg_n_trades": 233.4933319091797, "cost": 0.25, "mean_reward": -21.03263282775879, "n_episodes": 300, "p05": -40.14529800415039, "p50": -19.439125061035156, "p95": -8.333877563476562, "sharpe_annualised": -57.79651641845703, "sharpe_per_episode": -2.01957368850708, "std_reward": 10.41439151763916, "threshold": 0.15000000596046448, "win_rate": 0.006666666828095913 }, { "avg_n_trades": 225.48666381835938, "cost": 0.5, "mean_reward": -33.60525131225586, "n_episodes": 300, "p05": -55.04161834716797, "p50": -31.479198455810547, "p95": -15.453825950622559, "sharpe_annualised": -68.2383041381836, "sharpe_per_episode": -2.38443922996521, "std_reward": 14.093565940856934, "threshold": 0.15000000596046448, "win_rate": 0.0 }, { "avg_n_trades": 159.84666442871094, "cost": 0.0, "mean_reward": -4.220123291015625, "n_episodes": 300, "p05": -20.078947067260742, "p50": -2.5951507091522217, "p95": 3.9630990028381348, "sharpe_annualised": -17.054563522338867, "sharpe_per_episode": -0.5959346890449524, "std_reward": 7.081520080566406, "threshold": 0.20000000298023224, "win_rate": 0.18000000715255737 }, { "avg_n_trades": 167.7866668701172, "cost": 0.0625, "mean_reward": -6.742062091827393, "n_episodes": 300, "p05": -24.98937225341797, "p50": -4.563099384307861, "p95": 2.2458012104034424, "sharpe_annualised": -22.914066314697266, "sharpe_per_episode": -0.8006822466850281, "std_reward": 8.42039680480957, "threshold": 0.20000000298023224, "win_rate": 0.12999999523162842 }, { "avg_n_trades": 165.1233367919922, "cost": 0.125, "mean_reward": -9.334568977355957, "n_episodes": 300, "p05": -27.746673583984375, "p50": -7.128000259399414, "p95": -0.07927465438842773, "sharpe_annualised": -31.278589248657227, "sharpe_per_episode": -1.092962384223938, "std_reward": 8.540613174438477, "threshold": 0.20000000298023224, "win_rate": 0.046666666865348816 }, { "avg_n_trades": 173.01666259765625, "cost": 0.25, "mean_reward": -15.824145317077637, "n_episodes": 300, "p05": -35.53749084472656, "p50": -13.105096817016602, "p95": -4.606574535369873, "sharpe_annualised": -47.958587646484375, "sharpe_per_episode": -1.6758086681365967, "std_reward": 9.442691802978516, "threshold": 0.20000000298023224, "win_rate": 0.0 }, { "avg_n_trades": 164.22666931152344, "cost": 0.5, "mean_reward": -24.750625610351562, "n_episodes": 300, "p05": -46.327919006347656, "p50": -22.30762481689453, "p95": -10.495248794555664, "sharpe_annualised": -64.83598327636719, "sharpe_per_episode": -2.265552520751953, "std_reward": 10.924762725830078, "threshold": 0.20000000298023224, "win_rate": 0.0033333334140479565 }, { "avg_n_trades": 136.1999969482422, "cost": 0.0, "mean_reward": -5.492737293243408, "n_episodes": 300, "p05": -20.194347381591797, "p50": -2.940850019454956, "p95": 2.9858238697052, "sharpe_annualised": -19.53951644897461, "sharpe_per_episode": -0.6827659606933594, "std_reward": 8.044831275939941, "threshold": 0.25, "win_rate": 0.20666666328907013 }, { "avg_n_trades": 135.9566650390625, "cost": 0.0625, "mean_reward": -7.7528533935546875, "n_episodes": 300, "p05": -23.993549346923828, "p50": -5.217850685119629, "p95": 0.9867243766784668, "sharpe_annualised": -26.615497589111328, "sharpe_per_episode": -0.9300207495689392, "std_reward": 8.336215019226074, "threshold": 0.25, "win_rate": 0.09000000357627869 }, { "avg_n_trades": 131.84666442871094, "cost": 0.125, "mean_reward": -9.753680229187012, "n_episodes": 300, "p05": -28.568151473999023, "p50": -7.167825222015381, "p95": -0.901602029800415, "sharpe_annualised": -31.260038375854492, "sharpe_per_episode": -1.0923141241073608, "std_reward": 8.929372787475586, "threshold": 0.25, "win_rate": 0.02666666731238365 }, { "avg_n_trades": 135.81333923339844, "cost": 0.25, "mean_reward": -13.736656188964844, "n_episodes": 300, "p05": -34.117652893066406, "p50": -10.9698486328125, "p95": -1.744225263595581, "sharpe_annualised": -36.68037033081055, "sharpe_per_episode": -1.2817158699035645, "std_reward": 10.717395782470703, "threshold": 0.25, "win_rate": 0.013333333656191826 }, { "avg_n_trades": 136.97999572753906, "cost": 0.5, "mean_reward": -22.093671798706055, "n_episodes": 300, "p05": -45.44099807739258, "p50": -19.13762664794922, "p95": -7.422874450683594, "sharpe_annualised": -53.82737350463867, "sharpe_per_episode": -1.88088059425354, "std_reward": 11.746451377868652, "threshold": 0.25, "win_rate": 0.0 } ], "cost_grid": [ 0.0, 0.0625, 0.125, 0.25, 0.5 ], "horizon": 600, "n_eval_episodes": 300, "n_train_episodes": 1000, "phase": "E.3 Task 23 (2D sweep)", "threshold_grid": [ 0.0, 0.05000000074505806, 0.10000000149011612, 0.15000000596046448, 0.20000000298023224, 0.25 ], "train_cost": 0.0625, "train_frac": 0.800000011920929 }