Yuxuan Yan
22 lines
537 B
Plaintext
22 lines
537 B
Plaintext
BACKTEST SUMMARY
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========================================
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sharpe: -5.633716896325243
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max_drawdown: 48.659457956769764
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max_drawdown_len: 451
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total_return: -0.48968077055625825
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avg_return: -0.0010117371292484674
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total_trades: 33
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won_trades: 20
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lost_trades: 12
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SIGNAL IC
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========================================
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ic_mean: -0.006912277738865651
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ic_std: 0.3332983458971776
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ir: -0.020739010030965125
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rank_ic_mean: -0.006980297831283274
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rank_ic_std: 0.32283972442680237
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rank_ir: -0.02162155801513181
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hit_rate: 0.4811715481171548
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n_periods: 478
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