cyb50-quant/index-rotation/outputs/research/strategy_comparison.md

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