# Strategy Comparison

| name                                           | cost_scenario   |   total_cost_bps |   top_n | rebalance_frequency   |   risk_penalty_multiplier | momentum_profile                      |   cumulative_return |   annual_return |   max_drawdown |   sharpe |   vs_equal_weight_cum |   vs_hs300_cum |   vs_chinext50_cum |
|:-----------------------------------------------|:----------------|-----------------:|--------:|:----------------------|--------------------------:|:--------------------------------------|--------------------:|----------------:|---------------:|---------:|----------------------:|---------------:|-------------------:|
| top1_every_5_days_p06                          | none            |                0 |       1 | every_5_days          |                       0.6 | 5d=0.20, 10d=0.25, 20d=0.30, 60d=0.25 |              0.5433 |          0.0748 |        -0.3481 |   0.3397 |                0.1911 |         0.4593 |            -0.651  |
| top1_every_5_days_p05                          | none            |                0 |       1 | every_5_days          |                       0.5 | 5d=0.20, 10d=0.25, 20d=0.30, 60d=0.25 |              0.5694 |          0.0779 |        -0.3592 |   0.3332 |                0.2172 |         0.4854 |            -0.6248 |
| top1_every_5_days_p05_trend3                   | none            |                0 |       1 | every_5_days          |                       0.5 | 5d=0.20, 10d=0.25, 20d=0.30, 60d=0.25 |              0.3888 |          0.0562 |        -0.4354 |   0.2559 |                0.0366 |         0.3048 |            -0.8054 |
| top2_every_5_days                              | none            |                0 |       2 | every_5_days          |                       0.3 | 5d=0.20, 10d=0.25, 20d=0.30, 60d=0.25 |              0.3511 |          0.0513 |        -0.4005 |   0.2362 |               -0.0011 |         0.2671 |            -0.8432 |
| top1_every_5_days_p05_cost10bp                 | optimistic      |               10 |       1 | every_5_days          |                       0.5 | 5d=0.20, 10d=0.25, 20d=0.30, 60d=0.25 |              0.3521 |          0.0515 |        -0.4108 |   0.2203 |               -0.0001 |         0.2681 |            -0.8422 |
| top1_every_5_days_p05_cost15bp                 | base            |               15 |       1 | every_5_days          |                       0.5 | 5d=0.20, 10d=0.25, 20d=0.30, 60d=0.25 |              0.2549 |          0.0385 |        -0.4351 |   0.1648 |               -0.0973 |         0.1709 |            -0.9394 |
| top1_every_5_days_p05_cost15bp_mom_25_25_30_20 | base            |               15 |       1 | every_5_days          |                       0.5 | 5d=0.25, 10d=0.25, 20d=0.30, 60d=0.20 |              0.2318 |          0.0353 |        -0.4651 |   0.1508 |               -0.1204 |         0.1478 |            -0.9625 |
| top1_every_5_days_p05_cost15bp_mom_15_25_30_30 | base            |               15 |       1 | every_5_days          |                       0.5 | 5d=0.15, 10d=0.25, 20d=0.30, 60d=0.30 |              0.2286 |          0.0348 |        -0.4481 |   0.1482 |               -0.1236 |         0.1446 |            -0.9657 |
| top1_every_5_days_p05_cost20bp                 | conservative    |               20 |       1 | every_5_days          |                       0.5 | 5d=0.20, 10d=0.25, 20d=0.30, 60d=0.25 |              0.1647 |          0.0257 |        -0.4584 |   0.1099 |               -0.1876 |         0.0806 |            -1.0296 |

## Top1 Every 5 Days P05 Base 15bp Momentum Experiment

| name                                           | momentum_profile                      |   cumulative_return |   annual_return |   max_drawdown |   sharpe |   turnover |   rebalance_count |   vs_equal_weight_cum |   vs_hs300_cum |   vs_chinext50_cum |
|:-----------------------------------------------|:--------------------------------------|--------------------:|----------------:|---------------:|---------:|-----------:|------------------:|----------------------:|---------------:|-------------------:|
| top1_every_5_days_p05_cost15bp                 | 5d=0.20, 10d=0.25, 20d=0.30, 60d=0.25 |              0.2549 |          0.0385 |        -0.4351 |   0.1648 |        149 |               303 |               -0.0973 |         0.1709 |            -0.9394 |
| top1_every_5_days_p05_cost15bp_mom_25_25_30_20 | 5d=0.25, 10d=0.25, 20d=0.30, 60d=0.20 |              0.2318 |          0.0353 |        -0.4651 |   0.1508 |        150 |               303 |               -0.1204 |         0.1478 |            -0.9625 |
| top1_every_5_days_p05_cost15bp_mom_15_25_30_30 | 5d=0.15, 10d=0.25, 20d=0.30, 60d=0.30 |              0.2286 |          0.0348 |        -0.4481 |   0.1482 |        148 |               303 |               -0.1236 |         0.1446 |            -0.9657 |