feat: signal abstraction layer + sizer + HS300 universe + PnL/IC reports

2026-06-07 09:44:33 +08:00
parent 085e51abf1
commit da01312292
20 changed files with 610 additions and 23 deletions
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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
+
+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: 0.4811715481171548
+n_periods: 478