diff --git a/reports/ic.png b/reports/ic.png index 7a7f90d..c676118 100644 Binary files a/reports/ic.png and b/reports/ic.png differ diff --git a/reports/pnl.png b/reports/pnl.png index 33e6ebd..df2df5a 100644 Binary files a/reports/pnl.png and b/reports/pnl.png differ diff --git a/reports/summary.txt b/reports/summary.txt index fc216fb..22bc0c1 100644 --- a/reports/summary.txt +++ b/reports/summary.txt @@ -1,21 +1,21 @@ BACKTEST SUMMARY ======================================== -sharpe: -0.578725244460369 -max_drawdown: 27.593465928996675 +sharpe: -0.2136540474098261 +max_drawdown: 22.08204523900236 max_drawdown_len: 445 -total_return: -0.16317310010638986 -avg_return: -0.00033713450435204515 -total_trades: 504 -won_trades: 258 -lost_trades: 242 +total_return: -0.011700103856604784 +avg_return: -2.4173768298770213e-05 +total_trades: 586 +won_trades: 287 +lost_trades: 295 SIGNAL IC ======================================== -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 +ic_mean: 0.03559005065789478 +ic_std: 0.2671528697174321 +ir: 0.13321979545096566 +rank_ic_mean: 0.022676047691591646 +rank_ic_std: 0.24733432522614088 +rank_ir: 0.09168176584814361 +hit_rate: 0.5315904139433552 +n_periods: 459