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results: CSI500 reversal + reversal_vol multi-horizon IC

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Yuxuan Yan
2026-06-07 10:04:14 +08:00
parent 241683cc54
commit edcc4e4b73
3 changed files with 15 additions and 15 deletions
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reports/summary.txt
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BACKTEST SUMMARY BACKTEST SUMMARY
======================================== ========================================
sharpe: -0.578725244460369 sharpe: -0.2136540474098261
max_drawdown: 27.593465928996675 max_drawdown: 22.08204523900236
max_drawdown_len: 445 max_drawdown_len: 445
total_return: -0.16317310010638986 total_return: -0.011700103856604784
avg_return: -0.00033713450435204515 avg_return: -2.4173768298770213e-05
total_trades: 504 total_trades: 586
won_trades: 258 won_trades: 287
lost_trades: 242 lost_trades: 295
SIGNAL IC SIGNAL IC
======================================== ========================================
ic_mean: -0.020299172809112382 ic_mean: 0.03559005065789478
ic_std: 0.3285779534751247 ic_std: 0.2671528697174321
ir: -0.06177886432861099 ir: 0.13321979545096566
rank_ic_mean: -0.016494730906385646 rank_ic_mean: 0.022676047691591646
rank_ic_std: 0.3261781536343117 rank_ic_std: 0.24733432522614088
rank_ir: -0.05056969856073928 rank_ir: 0.09168176584814361
hit_rate: 0.459915611814346 hit_rate: 0.5315904139433552
n_periods: 474 n_periods: 459