01
Key Findings
01
Capital Constraint Dominates Architecture
$100k models achieved the highest average test Sharpe (2.035) across all architectures,
outperforming both $1M (1.716) and $10k (1.865). Forcing selectivity through capital
constraints produces cleaner risk-adjusted returns than architectural complexity alone.
02
Transformer Underperforms VGG
Contrary to the initial hypothesis, the Cross-Stock Transformer achieved a mean test
Sharpe of 1.568 versus 2.089 for VGG + Alpaca. Local convolutional feature extraction
is a more data-efficient inductive bias than global attention for daily trading with
4 years of historical data.
03
30-Stock Universe Outperforms 50-Stock
Every 30-stock model outperforms its 50-stock counterpart on average Sharpe (2.048
vs 1.757). A focused universe gives the CNN a cleaner learning signal with less
cross-stock noise to contend with.
02
Architecture Comparison — Avg Test Sharpe
VGG + Alpaca
Live data · FinBERT sentiment
Avg Test Sharpe
2.089
Best
2.726
Worst
1.009→1.575
VGG Baseline
Yahoo Finance · No sentiment
Avg Test Sharpe
2.062
Best
3.111
Worst
0.826→1.001
VGG + FinBERT
Yahoo Finance · FinBERT sentiment
Avg Test Sharpe
1.892
Best
2.350
Worst
0.992→1.273
Transformer
Alpaca · Cross-stock attention
Avg Test Sharpe
1.568
Best
1.895
Worst
0.629
03
Full Results — All 24 Models
| Model | Universe | Capital | Test Sharpe | Test Return | Max DD | Win Rate | Train Sharpe | vs BAH |
|---|---|---|---|---|---|---|---|---|
VGG Baseline Yahoo Finance · No sentiment |
30-Stock | $10k | 3.111 | 98.70% | -11.27% | 56.02% | 2.428 | ▲ +1.137 |
VGG + Alpaca Alpaca · FinBERT sentiment |
50-Stock | $10k | 2.726 | 9.51% | -3.71% | 65.79% | 2.137 | ▲ +1.289 |
VGG + Alpaca Alpaca · FinBERT sentiment |
30-Stock | $100k | 2.531 | 57.16% | -9.50% | 56.17% | 2.029 | ▲ +0.556 |
VGG + FinBERT Yahoo Finance · FinBERT sentiment |
50-Stock | $100k | 2.347 | 42.47% | -7.02% | 55.76% | 1.709 | ▲ +0.910 |
VGG + FinBERT Yahoo Finance · FinBERT sentiment |
30-Stock | $100k | 2.350 | 48.92% | -8.95% | 58.82% | 1.773 | ▲ +0.376 |
VGG Baseline Yahoo Finance · No sentiment |
30-Stock | $1M | 3.086 | 48.22% | -5.00% | 60.17% | 2.140 | ▲ +1.111 |
VGG + FinBERT Yahoo Finance · FinBERT sentiment |
30-Stock | $1M | 2.349 | 49.02% | -10.84% | 55.74% | 1.816 | ▲ +0.375 |
VGG Baseline Yahoo Finance · No sentiment |
30-Stock | $100k | 2.287 | 55.37% | -19.86% | 55.37% | 1.687 | ▲ +0.313 |
VGG + Alpaca Alpaca · FinBERT sentiment |
30-Stock | $10k | 2.111 | 123.85% | -20.21% | 56.85% | 2.166 | ▲ +0.136 |
VGG + Alpaca Alpaca · FinBERT sentiment |
50-Stock | $100k | 2.019 | 72.48% | -15.28% | 56.20% | 1.708 | ▲ +0.582 |
Transformer Alpaca · Cross-stock attention · 4-component reward |
50-Stock | $100k | 1.895 | 52.93% | -19.62% | 55.04% | 1.718 | ▲ +0.386 |
Transformer Alpaca · Cross-stock attention · 4-component reward |
50-Stock | $1M | 1.861 | 38.26% | -11.27% | 54.89% | 1.470 | ▲ +0.352 |
Transformer Alpaca · Cross-stock attention · 4-component reward |
50-Stock | $10k | 1.806 | 33.99% | -8.89% | 48.61% | 2.253 | ▲ +0.297 |
Transformer Alpaca · Cross-stock attention · 4-component reward |
30-Stock | $1M | 1.748 | 55.23% | -19.70% | 57.87% | 1.498 | ▲ +0.389 |
VGG + FinBERT Yahoo Finance · FinBERT sentiment |
50-Stock | $10k | 1.695 | 68.48% | -21.66% | 56.45% | 1.805 | ▲ +0.258 |
VGG + Alpaca Alpaca · FinBERT sentiment |
30-Stock | $1M | 1.570 | 31.41% | -12.52% | 55.79% | 1.777 | ▼ -0.405 |
VGG Baseline Yahoo Finance · No sentiment |
50-Stock | $10k | 1.504 | 30.98% | -10.33% | 58.53% | 1.999 | ▲ +0.067 |
Transformer Alpaca · Cross-stock attention · 4-component reward |
30-Stock | $100k | 1.468 | 25.91% | -11.93% | 52.94% | 1.538 | ▲ +0.109 |
VGG + FinBERT Yahoo Finance · FinBERT sentiment |
30-Stock | $10k | 1.338 | 41.07% | -19.24% | 50.62% | 2.325 | ▼ -0.636 |
VGG + Alpaca Alpaca · FinBERT sentiment |
50-Stock | $1M | 1.575 | 29.96% | -7.78% | 57.56% | 2.138 | ▲ +0.138 |
VGG + FinBERT Yahoo Finance · FinBERT sentiment |
50-Stock | $1M | 1.273 | 23.61% | -8.42% | 56.16% | 1.965 | ▼ -0.164 |
VGG Baseline Yahoo Finance · No sentiment |
50-Stock | $100k | 1.381 | 32.11% | -10.75% | 54.96% | 1.168 | ▼ -0.056 |
VGG Baseline Yahoo Finance · No sentiment |
50-Stock | $1M | 1.001 | 20.97% | -9.33% | 55.71% | 1.922 | ▼ -0.436 |
Transformer Alpaca · Cross-stock attention · 4-component reward |
30-Stock | $10k | 0.629 | 13.31% | -12.14% | 53.24% | 1.460 | ▼ -0.730 |
04
Training Performance Over Time
Train / Total Return %
Train / Sharpe Ratio
Train / Max Drawdown %
Train / Win Rate %
05
Test Performance Over Time (2024)
Test / Total Return %
Test / Sharpe Ratio
Test / Max Drawdown %
Test / Win Rate %
06
Market Regime Analysis — VGG + Alpaca Best Configuration
30-Stock · $100k Best Overall
Sharpe 2.531| Period | Sharpe | Return | Max DD |
|---|---|---|---|
| H1 Bull (Jan–Jun) | 3.343 | +34.27% | -7.76% |
| H2 Volatile (Jul–Dec) | 1.776 | +17.49% | -9.50% |
| Buy-and-Hold H1 | 3.411 | +26.23% | -5.79% |
| Buy-and-Hold H2 | 0.911 | +9.98% | -10.82% |
50-Stock · $100k
Sharpe 2.019| Period | Sharpe | Return | Max DD |
|---|---|---|---|
| H1 Bull (Jan–Jun) | 0.685 | +7.76% | -9.61% |
| H2 Volatile (Jul–Dec) | 2.816 | +57.97% | -15.28% |
| Buy-and-Hold H1 | 2.137 | +14.57% | -4.76% |
| Buy-and-Hold H2 | 0.948 | +9.45% | -7.80% |
30-Stock · $10k
Sharpe 2.111| Period | Sharpe | Return | Max DD |
|---|---|---|---|
| H1 Bull (Jan–Jun) | 2.812 | +55.39% | -15.99% |
| H2 Volatile (Jul–Dec) | 1.658 | +42.06% | -18.65% |
| Buy-and-Hold H1 | 3.411 | +26.23% | -5.79% |
| Buy-and-Hold H2 | 0.911 | +9.98% | -10.82% |
30-Stock · $1M
Sharpe 1.570| Period | Sharpe | Return | Max DD |
|---|---|---|---|
| H1 Bull (Jan–Jun) | 2.266 | +19.71% | -10.68% |
| H2 Volatile (Jul–Dec) | 1.056 | +10.41% | -12.52% |
| Buy-and-Hold H1 | 3.411 | +26.23% | -5.79% |
| Buy-and-Hold H2 | 0.911 | +9.98% | -10.82% |