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change: rank allocator top_n=5 -> top_pct=0.2 (20% of universe)

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Yuxuan Yan
2026-06-07 10:06:49 +08:00
parent edcc4e4b73
commit 7033da131b
4 changed files with 21 additions and 22 deletions
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reports/pnl.png
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reports/summary.txt
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@@ -1,13 +1,13 @@
BACKTEST SUMMARY
========================================
sharpe: -0.2136540474098261
max_drawdown: 22.08204523900236
max_drawdown_len: 445
total_return: -0.011700103856604784
avg_return: -2.4173768298770213e-05
total_trades: 586
won_trades: 287
lost_trades: 295
sharpe: 0.12450603119200966
max_drawdown: 18.40327026827532
max_drawdown_len: 251
total_return: 0.04945463098329521
avg_return: 0.00010217898963490745
total_trades: 695
won_trades: 357
lost_trades: 333
SIGNAL IC
========================================