HistoricalVolatilityTemporalTransformer/amd_analysis_results.json at main · JunhaoZhou66/HistoricalVolatilityTemporalTransformer · GitHub

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{
    "atr_90": {
        "data_info": {
            "total_rows": 930898,
            "target_column": "atr_90",
            "minutes_in_future": 90
        },
        "split_info": {
            "train_ratio": 0.7,
            "val_ratio": 0.2,
            "test_ratio": 0.1,
            "train_samples": 651628,
            "val_samples": 186180,
            "test_samples": 93090
        },
        "seasonality": {
            "detected_period": 74,
            "trend_slope": -1.2285445610496362e-07,
            "trend_intercept": 0.21987077860824558
        },
        "naive_baseline": {
            "val_mae": 0.013463612100644366,
            "val_mse": 0.01919382671898662,
            "val_rmse": 0.1385417869055637,
            "test_mae": 0.022678892272705056,
            "test_mse": 0.08304135147791433,
            "test_rmse": 0.28816896341888437
        },
        "ar_fourier": {
            "best_k": 1,
            "best_metrics": {
                "val_mae": 0.014594748447600203,
                "val_mse": 0.0190459678596852,
                "val_rmse": 0.1380071297422173,
                "test_mae": 0.022991624856494603,
                "test_mse": 0.08235143776073768,
                "test_rmse": 0.2869694021332896
            }
        }
    },
    "atr_0": {
        "data_info": {
            "total_rows": 930898,
            "target_column": "atr_0",
            "minutes_in_future": 0
        },
        "split_info": {
            "train_ratio": 0.7,
            "val_ratio": 0.2,
            "test_ratio": 0.1,
            "train_samples": 651628,
            "val_samples": 186180,
            "test_samples": 93090
        },
        "seasonality": {
            "detected_period": 74,
            "trend_slope": -1.2270693401054118e-07,
            "trend_intercept": 0.21983012841361504
        },
        "naive_baseline": {
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            "val_mse": 0.0191938227445242,
            "val_rmse": 0.13854177256165087,
            "test_mae": 0.022662155883005727,
            "test_mse": 0.0830402880604618,
            "test_rmse": 0.2881671182846194
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        "ar_fourier": {
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            "best_metrics": {
                "val_mae": 0.0145909870623102,
                "val_mse": 0.01904595691139379,
                "val_rmse": 0.1380070900765384,
                "test_mae": 0.02297612602918123,
                "test_mse": 0.08235045760130942,
                "test_rmse": 0.2869676943513144
            }
        }
    },
    "comparison": {
        "atr_90_vs_atr_0": {
            "naive_rmse_difference": 1.845134264988335e-06,
            "ar_fourier_rmse_difference": 1.7077819751687429e-06,
            "atr_90_improvement": 0.4162701185315003,
            "atr_0_improvement": 0.41622511980020865
        }
    }
}