summary.json 338 B

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  1. {
  2. "cumulative_return": 0.35112748563653895,
  3. "annual_return": 0.05133128315733071,
  4. "max_drawdown": -0.40054879649731157,
  5. "annual_volatility": 0.21732260741906997,
  6. "sharpe": 0.23619854265022228,
  7. "calmar": 0.12815238394474926,
  8. "turnover": 106.91513242295126,
  9. "rebalance_count": 303,
  10. "cash_days_ratio": 0.28052805280528054
  11. }