Yuxuan Yan
22 lines
536 B
Plaintext
22 lines
536 B
Plaintext
BACKTEST SUMMARY
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========================================
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sharpe: -0.2136540474098261
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max_drawdown: 22.08204523900236
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max_drawdown_len: 445
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total_return: -0.011700103856604784
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avg_return: -2.4173768298770213e-05
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total_trades: 586
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won_trades: 287
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lost_trades: 295
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SIGNAL IC
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========================================
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ic_mean: 0.03559005065789478
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ic_std: 0.2671528697174321
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ir: 0.13321979545096566
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rank_ic_mean: 0.022676047691591646
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rank_ic_std: 0.24733432522614088
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rank_ir: 0.09168176584814361
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hit_rate: 0.5315904139433552
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n_periods: 459
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