Financial Forecasting on Exchange-rate 5 rolling-origin windows GPT-5.2 (test)
4.214Sharpe RatioTimesNet multivariate Student-T
Evaluation Results
| Method | Links | ||
|---|---|---|---|
| TimesNet multivariate Student-TLLM=GPT-5.2, variant=multivariate Student-T2026.03 | 4.214 | 0.0121 | |
| PatchTST factor-first PCA(3) + reconstructLLM=GPT-5.2, components=factor-first PCA(3) + reconstruct2026.03 | 2.78 | 0.0141 | |
| Transformer policy net (Sharpe loss)LLM=GPT-5.2, loss_function=Sharpe loss2026.03 | 0.748 | 0.0163 | |
| Stacking ensemble (turnover-penalized)LLM=GPT-5.2, regularization=turnover-penalized2026.03 | 0.697 | 0.0185 | |
| TCN multivariate risk-parityLLM=GPT-5.2, strategy=risk-parity2026.03 | 0.395 | 0.0125 | |
| VAR(1)type=baseline2026.03 | 0.17 | — | |
| drifttype=baseline2026.03 | 0.16 | — | |
| TSMixer global returnsLLM=GPT-5.22026.03 | 0.121 | — | |
| TFT cross-currency with lag covariatesLLM=GPT-5.2, features=lag covariates2026.03 | 0.077 | 0.016 | |
| (22 experiments with negative Sharpe)LLM=GPT-5.22026.03 | 0.05 | 0.011 |