Table 3 Hyperparameter values determined by Bayesian optimization
FTSE100 | N225 | SPX500 | DAX | |||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
S 1 | S 2 | S 3 | S 4 | S 1 | S 2 | S 3 | S 4 | S 1 | S 2 | S 3 | S 4 | S 1 | S 2 | S 3 | S 4 | |
\(\tau = 0.01\) | ||||||||||||||||
\(N_{f}\) | 2 | 2 | 1 | 1 | 2 | 2 | 2 | 1 | 2 | 1 | 1 | 1 | 1 | 1 | 1 | 1 |
\(N_{h}\) | 80 | 48 | 98 | 43 | 89 | 71 | 45 | 100 | 70 | 94 | 83 | 67 | 35 | 61 | 79 | 39 |
\(r\) | 2 | 6 | 4 | 2 | 3 | 8 | 1 | 1 | 3 | 2 | 10 | 6 | 8 | 2 | 2 | 4 |
\(N_{L}\) | 1 | 3 | 3 | 4 | 3 | 3 | 4 | 4 | 1 | 2 | 4 | 4 | 3 | 4 | 2 | 3 |
\(LT\) | 1 | 0 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 1 | 1 | 0 | 0 | 0 | 0 | 0 |
\(Epoch\) | 205 | 373 | 108 | 346 | 218 | 178 | 165 | 356 | 438 | 347 | 434 | 157 | 273 | 152 | 228 | 90 |
\(\tau = 0.05\) | ||||||||||||||||
\(N_{f}\) | 4 | 2 | 2 | 1 | 3 | 1 | 1 | 1 | 2 | 2 | 1 | 1 | 2 | 1 | 1 | 1 |
\(N_{h}\) | 21 | 81 | 60 | 88 | 47 | 44 | 24 | 63 | 42 | 72 | 70 | 8 | 100 | 100 | 100 | 24 |
\(r\) | 6 | 3 | 4 | 8 | 10 | 4 | 1 | 5 | 10 | 2 | 9 | 6 | 1 | 1 | 3 | 8 |
\(N_{L}\) | 3 | 3 | 1 | 3 | 3 | 2 | 1 | 4 | 1 | 2 | 3 | 3 | 4 | 4 | 2 | 3 |
\(LT\) | 1 | 0 | 1 | 0 | 0 | 0 | 1 | 0 | 0 | 1 | 0 | 0 | 1 | 1 | 1 | 1 |
\(Epoch\) | 300 | 434 | 162 | 456 | 248 | 115 | 122 | 330 | 133 | 119 | 137 | 500 | 155 | 500 | 81 | 269 |