Sigma Ablation: Stage 2 Performance Metrics for Combined Features

Jeonggyu Huh's dataset contains results from a sigma ablation study in Stage 2 for a combined features set. The data, last updated on 2026-05-15, compares the performance of model specifications that include or exclude a Stage 1 uncertainty proxy. It includes out-of-sample prediction metrics and gross portfolio performance measures.

Use Cases

• Comparing model performance with and without an uncertainty proxy based on the reported prediction metrics.
• Evaluating the impact of feature ablation on portfolio performance based on Sharpe, Sortino, and CER values.
• Analyzing the relationship between forecast error (RRMSE) and maximum drawdown (MDD) in financial models.

Strengths

• Data is provided in a structured XLS format (5.5 KB).
• Released under a permissive CC-BY-4.0 license for reuse.

Limitations

• Row count and column-level documentation are unknown, requiring manual inspection after download.
• Description metadata is limited; actual data quality requires manual inspection after download.

Provenance

Source

Jeonggyu Huh via figshare

Freshness

Last updated 2026-05-15 17:56:34.