Deep Learning for Financial Time Series: A Large-Scale Benchmark of Risk-Adjusted Performance
We present a large scale benchmark of modern deep learning architectures for a financial time series prediction and position sizing task, with a primary focus on Sharpe ratio optimization. Evaluating linear models, recurrent networks, transformer based architectures, state space models, and recent sequence representation approaches, we assess out of sample performance on a daily futures dataset spanning commodities, equity indices, bonds, and FX spanning 2010 to 2025. Our evaluation goes beyond average returns and includes statistical significance, downside […]