Startsida Utforska Hjälp
Logga in
openclaw
/
cyb50-quant
1
0
Fork 0
Filer Ärenden 0 Pull-förfrågningar 0 Wiki
Träd: 3c5322258f
Grenar Taggar
cyb50-quant
/
index-rotation
/
outputs
/
backtests
/
top2_every_5_days
/
benchmark_summary.json

benchmark_summary.json 1.6 KB
Historik Rå

1234567891011121314151617181920212223242526272829303132333435363738394041424344454647484950 
  1. {
    2. 

  2.   "strategy": {
    3. 

  3.     "cumulative_return": 0.35112748563653895,
    4. 

  4.     "annual_return": 0.05133128315733071,
    5. 

  5.     "max_drawdown": -0.40054879649731157,
    6. 

  6.     "annual_volatility": 0.21732260741906997,
    7. 

  7.     "sharpe": 0.23619854265022228,
    8. 

  8.     "calmar": 0.12815238394474926
    9. 

  9.   },
    10. 

  10.   "chinext50": {
    11. 

  11.     "cumulative_return": 1.1942939546082907,
    12. 

  12.     "annual_return": 0.1396456291841799,
    13. 

  13.     "max_drawdown": -0.5947764201831929,
    14. 

  14.     "annual_volatility": 0.317640939574171,
    15. 

  15.     "sharpe": 0.43963359814823816,
    16. 

  16.     "calmar": 0.23478676094988538
    17. 

  17.   },
    18. 

  18.   "hs300": {
    19. 

  19.     "cumulative_return": 0.08402374663744072,
    20. 

  20.     "annual_return": 0.013510460355648846,
    21. 

  21.     "max_drawdown": -0.45602577259234156,
    22. 

  22.     "annual_volatility": 0.18812904746838646,
    23. 

  23.     "sharpe": 0.07181485548061985,
    24. 

  24.     "calmar": 0.029626528077232928
    25. 

  25.   },
    26. 

  26.   "sse50": {
    27. 

  27.     "cumulative_return": -0.07593969744255902,
    28. 

  28.     "annual_return": -0.013051013042608806,
    29. 

  29.     "max_drawdown": -0.4540787830796844,
    30. 

  30.     "annual_volatility": 0.18215358160920625,
    31. 

  31.     "sharpe": -0.0716484020095117,
    32. 

  32.     "calmar": -0.028741737180700947
    33. 

  33.   },
    34. 

  34.   "star50": {
    35. 

  35.     "cumulative_return": 0.2562099999999936,
    36. 

  36.     "annual_return": 0.03867022130060227,
    37. 

  37.     "max_drawdown": -0.6265694142789134,
    38. 

  38.     "annual_volatility": 0.3224583669294269,
    39. 

  39.     "sharpe": 0.1199231444010433,
    40. 

  40.     "calmar": 0.061717377866434546
    41. 

  41.   },
    42. 

  42.   "equal_weight": {
    43. 

  43.     "cumulative_return": 0.3522038572560984,
    44. 

  44.     "annual_return": 0.051470550482970445,
    45. 

  45.     "max_drawdown": -0.4951114680294503,
    46. 

  46.     "annual_volatility": 0.22844611259290495,
    47. 

  47.     "sharpe": 0.2253071846956393,
    48. 

  48.     "calmar": 0.10395750009149227
    49. 

  49.   }
    50. 

  50. }
    51.