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log-ratio-ElasticNet
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154 lines (132 loc) · 11.4 KB
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***** New Run *****
Execution time: 40.9002609253s
Regressions days:10
Alpha: 0.001
fit_intercept: False
l1_ratio: 0.0
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2203745901801719, -4.0695621145726522, -3.8722267518580864, -4.0141326346839801, -4.1951947449016069, -4.013815726958935, -3.4236309638276805, -4.3806598653293056, -4.5032648741764412, -3.9236450243355758, -3.8682465131359054, -3.9588341248077614, -4.2955522352222921, -4.6039792947050744, -4.1814699639440978, -4.3634453701488942, -4.5780461354862219]
Error: 0.096417944362
***** New Run *****
Execution time: 41.1586060524s
Regressions days:10
Alpha: 0.001
fit_intercept: False
l1_ratio: 0.1
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.222969113462999, -4.0710520483176449, -3.8760203406204008, -4.0167339136869327, -4.1988532468729725, -4.0164226840732855, -3.4286353133645915, -4.3830613329324954, -4.5066519687822941, -3.9251863133215599, -3.8704434448755083, -3.9594656236212331, -4.2997329743126329, -4.6055135777230012, -4.1823851478300975, -4.3654191844502241, -4.5801218582393064]
Error: 0.096207045257
***** New Run *****
Execution time: 39.9217131138s
Regressions days:10
Alpha: 0.001
fit_intercept: False
l1_ratio: 0.2
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2252869286211387, -4.0721309193734285, -3.8795232418805794, -4.0193288685149069, -4.2022996049283217, -4.0190210582290682, -3.4332490986171345, -4.3854498104831254, -4.5101514728827752, -3.9264794435054209, -3.872029281403528, -3.9597780653033121, -4.3041670576793285, -4.6068368292759461, -4.183482373961894, -4.3672538703953849, -4.5821585528758]
Error: 0.0960348010883
***** New Run *****
Execution time: 39.89113307s
Regressions days:10
Alpha: 0.001
fit_intercept: False
l1_ratio: 0.3
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2274946533213678, -4.0730867585573929, -3.8829915392532155, -4.0219359554512, -4.2055849444607789, -4.0216320011444573, -3.437682202781275, -4.3881487340008789, -4.5134217109007659, -3.927615731297629, -3.8734062176672377, -3.9599099592257199, -4.3086267084892995, -4.6079361314348217, -4.1840056912046757, -4.3688231764998644, -4.5841418384842809]
Error: 0.0959038000778
***** New Run *****
Execution time: 39.8876779079s
Regressions days:10
Alpha: 0.001
fit_intercept: False
l1_ratio: 0.4
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2296006012031757, -4.0740884144450575, -3.8862157762319134, -4.0244224296755453, -4.2087401748280637, -4.0241232416356629, -3.4418394234863574, -4.3909088028267531, -4.5166691642150782, -3.9286661398808729, -3.8747061741966142, -3.960221979851513, -4.3132506914260524, -4.6089660624084745, -4.1845134224540823, -4.3704571535919374, -4.586063742404594]
Error: 0.0957855905551
***** New Run *****
Execution time: 39.529034853s
Regressions days:10
Alpha: 0.001
fit_intercept: False
l1_ratio: 0.5
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.231681281177214, -4.0750828204844609, -3.889250618977413, -4.0266597722445523, -4.2116843726138375, -4.0263656797364948, -3.4460486151876251, -4.393745210065056, -4.5198280427906985, -3.9297396879297386, -3.8758910343434105, -3.9606364467352884, -4.318076097306542, -4.6098726403289136, -4.1850207013519096, -4.372079278417651, -4.5878792588220723]
Error: 0.0956871213626
***** New Run *****
Execution time: 39.3667221069s
Regressions days:10
Alpha: 0.001
fit_intercept: False
l1_ratio: 0.6
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2339275757794166, -4.0767479997330067, -3.8924143786825094, -4.0286288452253638, -4.2141945445685742, -4.0283472412791355, -3.4502016294791131, -4.3961014606015381, -4.5215703989381826, -3.9309593973284738, -3.8779550695148726, -3.9613699405169367, -4.3202187029375727, -4.6108037141472105, -4.183438996611816, -4.3731235146206702, -4.5893315956917551]
Error: 0.0955880374964
***** New Run *****
Execution time: 39.5056259632s
Regressions days:10
Alpha: 0.001
fit_intercept: False
l1_ratio: 0.7
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2364054619263172, -4.0784196476181593, -3.8952450908651861, -4.0305605920625993, -4.2167036145197203, -4.0302889115716916, -3.4546527638296372, -4.3981929790986491, -4.5235533886633252, -3.9322580571313193, -3.8799041557065537, -3.962210272547587, -4.3216625610494583, -4.611869719312649, -4.1827179057713977, -4.3741897393840716, -4.5907092834986134]
Error: 0.0954598426643
***** New Run *****
Execution time: 39.0938050747s
Regressions days:10
Alpha: 0.001
fit_intercept: False
l1_ratio: 0.8
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.23881779007099, -4.0800394864956591, -3.8979163163766994, -4.0325018323264405, -4.2191472421601235, -4.0322386974559272, -3.4590575473922347, -4.4002075858649521, -4.5257167120371937, -3.9335211127573029, -3.8816965364583176, -3.9630217220022894, -4.3231333647965728, -4.6129876428622687, -4.1825017464510292, -4.3753394546023952, -4.5920886266458307]
Error: 0.0953310423929
***** New Run *****
Execution time: 38.6265749931s
Regressions days:10
Alpha: 0.001
fit_intercept: False
l1_ratio: 0.9
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2404470489659385, -4.080552172576712, -3.8999080317928576, -4.0338909816430952, -4.2210834996322353, -4.0336405642591009, -3.4626682601700405, -4.4011900191544671, -4.527162021437209, -3.9345089961478696, -3.8828159310988726, -3.9634791467731292, -4.3238549417820824, -4.6135161436361747, -4.182561384775922, -4.37590859412271, -4.5927372350378706]
Error: 0.0952687881698
***** New Run *****
Execution time: 38.2660989761s
Regressions days:10
Alpha: 0.001
fit_intercept: False
l1_ratio: 1.0
normalize: False
max-iter: 10000000
Training symbols: ['GE', 'AFL', 'HNI', 'WEN', 'AAPL', 'RGLD', 'DMND', 'MSFT', 'WMT', 'CRM', 'BID', 'DISH', 'MUR', 'IBM', 'FDX', 'DIS', 'CVX']
Real volatilties: [-4.515119093350989, -4.560225471445058, -3.9501413658949747, -3.963593572245658, -4.179195056339126, -3.963593572245658, -3.63870355161841, -4.103789435149677, -4.863120077887995, -2.957986678925827, -4.023599633510998, -4.100354930389414, -4.217218036434116, -4.420396151467408, -4.291170897305814, -4.383045923051211, -4.7149825388769315]
Predicted Volatilities: [-4.2413859823962623, -4.0808331337960846, -3.9000275216501579, -4.0344153307752908, -4.2219900601647584, -4.0341738734548525, -3.4634299090784966, -4.4014345263825581, -4.5278103626604196, -3.9346225265281145, -3.8832918008128443, -3.9642137693378969, -4.3245135505847028, -4.6134437390711636, -4.1823745179417857, -4.3764856313589728, -4.5927359031904924]
Error: 0.0952044061901