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fix: IC chart cumulative mean + forward return horizon matching + multi-horizon eval

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Co-Authored-By: Claude Opus 4.7 <noreply@anthropic.com>
This commit is contained in:
Yuxuan Yan
2026-06-07 09:54:31 +08:00
parent bd0605072f
commit aedc019d23
5 changed files with 51 additions and 30 deletions
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reports/summary.txt
+16 -16
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@@ -1,21 +1,21 @@
BACKTEST SUMMARY
========================================
sharpe: -0.18318054011826762
max_drawdown: 31.155770933507835
max_drawdown_len: 403
total_return: -0.01938978410684507
avg_return: -4.006153741083692e-05
total_trades: 470
won_trades: 172
lost_trades: 293
sharpe: -0.578725244460369
max_drawdown: 27.593465928996675
max_drawdown_len: 445
total_return: -0.16317310010638986
avg_return: -0.00033713450435204515
total_trades: 504
won_trades: 258
lost_trades: 242
SIGNAL IC
========================================
ic_mean: 0.006912277738865651
ic_std: 0.3332983458971776
ir: 0.020739010030965125
rank_ic_mean: 0.006980297831283274
rank_ic_std: 0.32283972442680237
rank_ir: 0.02162155801513181
hit_rate: 0.5188284518828452
n_periods: 478
ic_mean: -0.020299172809112382
ic_std: 0.3285779534751247
ir: -0.06177886432861099
rank_ic_mean: -0.016494730906385646
rank_ic_std: 0.3261781536343117
rank_ir: -0.05056969856073928
hit_rate: 0.459915611814346
n_periods: 474