Sequential Portfolio Optimization on US30 (test)
31.6ReturnMACF-PPO
Evaluation results
| Method | Links | |||||
|---|---|---|---|---|---|---|
| MACF-PPOOptimizer Interface=Scalarization / Lagrangian Interface2026.05 | 31.6 | 2.68 | 6 | 13.56 | 2.05 | |
| PPO+PenaltyOptimizer Interface=PPO Reference and Fixed-Penalty Baseline2026.05 | 31.34 | 2.71 | 6.39 | 15.09 | 1.84 | |
| PPO-LagrangianOptimizer Interface=Scalarization / Lagrangian Interface2026.05 | 31.27 | 2.79 | 6.59 | 13.69 | 1.81 | |
| MACF-CRPOOptimizer Interface=First-Order Feasibility Switching Interface2026.05 | 31.17 | 2.72 | 6.35 | 14.87 | 1.74 | |
| CRPOOptimizer Interface=First-Order Feasibility Switching Interface2026.05 | 31.04 | 2.59 | 5.72 | 11.71 | 1.8 | |
| MACF-CPOOptimizer Interface=Trust-Region / Safe Geometry Interface2026.05 | 24.48 | 2.4 | 4.91 | 9.06 | 1.9 | |
| PPOOptimizer Interface=PPO Reference and Fixed-Penalty Baseline2026.05 | 24.13 | 2.34 | 4.54 | 14.13 | 2.36 | |
| CPOOptimizer Interface=Trust-Region / Safe Geometry Interface2026.05 | 23.89 | 2.34 | 4.62 | 8.03 | 1.97 | |
| MACF-TRPOOptimizer Interface=Trust-Region / Safe Geometry Interface2026.05 | 23.89 | 2.39 | 4.29 | 13.57 | 1.85 | |
| TRPOOptimizer Interface=Trust-Region / Safe Geometry Interface2026.05 | 23.53 | 2.31 | 4.52 | 8.97 | 1.97 |