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fix: rank-based allocator + momentum signal (reversal->momentum flip)

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Yuxuan Yan
2026-06-07 09:50:08 +08:00
parent da01312292
commit bd0605072f
7 changed files with 117 additions and 44 deletions
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reports/ic.png
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reports/summary.txt
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BACKTEST SUMMARY
========================================
sharpe: -5.633716896325243
max_drawdown: 48.659457956769764
max_drawdown_len: 451
total_return: -0.48968077055625825
avg_return: -0.0010117371292484674
total_trades: 33
won_trades: 20
lost_trades: 12
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
SIGNAL IC
========================================
ic_mean: -0.006912277738865651
ic_mean: 0.006912277738865651
ic_std: 0.3332983458971776
ir: -0.020739010030965125
rank_ic_mean: -0.006980297831283274
ir: 0.020739010030965125
rank_ic_mean: 0.006980297831283274
rank_ic_std: 0.32283972442680237
rank_ir: -0.02162155801513181
hit_rate: 0.4811715481171548
rank_ir: 0.02162155801513181
hit_rate: 0.5188284518828452
n_periods: 478