# Deep Learning for Financial Time Series: A Large-Scale Benchmark of Risk-Adjusted Performance

arXiv: https://arxiv.org/abs/2603.01820 · HTML: https://mlsanity.com/paper/2603.01820/

## Key facts

- No citing papers in the map yet (data through 14 Oct 2026).
- Builds on 20 of its 43 references that are in the map.
- First posted on arXiv 2 Mar 2026.

## Builds on (most cited first, 20 of 20)

- [Attention Is All You Need](https://mlsanity.com/paper/1706.03762/) (2017)
- [Mamba: Linear-Time Sequence Modeling with Selective State Spaces](https://mlsanity.com/paper/2312.00752/) (2023)
- [Efficiently Modeling Long Sequences with Structured State Spaces](https://mlsanity.com/paper/2111.00396/) (2021)
- [A Time Series is Worth 64 Words: Long-term Forecasting with Transformers](https://mlsanity.com/paper/2211.14730/) (2022)
- [Transformers are RNNs: Fast Autoregressive Transformers with Linear Attention](https://mlsanity.com/paper/2006.16236/) (2020)
- [Are Transformers Effective for Time Series Forecasting?](https://mlsanity.com/paper/2205.13504/) (2022)
- [Transformers are SSMs: Generalized Models and Efficient Algorithms Through Structured State Space Duality](https://mlsanity.com/paper/2405.21060/) (2024)
- [Temporal Fusion Transformers for Interpretable Multi-horizon Time Series Forecasting](https://mlsanity.com/paper/1912.09363/) (2019)
- [HiPPO: Recurrent Memory with Optimal Polynomial Projections](https://mlsanity.com/paper/2008.07669/) (2020)
- [Non-stationary Transformers: Exploring the Stationarity in Time Series Forecasting](https://mlsanity.com/paper/2205.14415/) (2022)
- [xLSTM: Extended Long Short-Term Memory](https://mlsanity.com/paper/2405.04517/) (2024)
- [Financial Time Series Forecasting with Deep Learning : A Systematic Literature Review: 2005-2019](https://mlsanity.com/paper/1911.13288/) (2019)
- [Deep Time Series Models: A Comprehensive Survey and Benchmark](https://mlsanity.com/paper/2407.13278/) (2024)
- [Recurrent Neural Networks for Time Series Forecasting: Current Status and Future Directions](https://mlsanity.com/paper/1909.00590/) (2019)
- [A Comprehensive Survey on Applications of Transformers for Deep Learning Tasks](https://mlsanity.com/paper/2306.07303/) (2023)
- [Enhancing Time Series Momentum Strategies Using Deep Neural Networks](https://mlsanity.com/paper/1904.04912/) (2019)
- [Unlocking the Power of LSTM for Long Term Time Series Forecasting](https://mlsanity.com/paper/2408.10006/) (2024)
- [Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture](https://mlsanity.com/paper/2112.08534/) (2021)
- [Why Do Transformers Fail to Forecast Time Series In-Context?](https://mlsanity.com/paper/2510.09776/) (2025)
- [Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies](https://mlsanity.com/paper/2310.10500/) (2023)

## Abstract (arXiv)

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 and tail risk measures, breakeven transaction cost analysis, robustness to random seed selection, and computational efficiency. We find that models explicitly designed to learn rich temporal representations consistently outperform linear benchmarks and generic deep learning models, which often lead the ranking in standard time series benchmarks. Hybrid models such as VSN with LSTM, a combination of Variable Selection Networks (VSN) and LSTMs, achieves the highest overall Sharpe ratio, while VSN with xLSTM and LSTM with PatchTST exhibit superior downside adjusted characteristics. xLSTM demonstrates the largest breakeven transaction cost buffer, indicating improved robustness to trading frictions.