Yuxuan Yan
22 lines
538 B
Plaintext
22 lines
538 B
Plaintext
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
|
|
|
|
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
|