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- Forward Test: 2025-01-01 to 2026-02-28
- Environment: NEUTRAL
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- Market Neutral Strategy Backtest Report
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- Backtest Period: 20250101 to 20260228
- Initial Capital: 2,000,000 RMB
- Performance Metrics:
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- Total Return: 16.08%
- Annualized Return: 13.20%
- Volatility: 13.14%
- Sharpe Ratio: 0.78
- Max Drawdown: -8.15%
- Calmar Ratio: 1.62
- Number of Trades: 4411
- Final Value: 2,321,572 RMB
- Return Attribution:
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- Alpha Return: 9.65%
- Hedging Cost: 1.61%
- Basis Cost: 0.80%
- Transaction Cost: -4.91%
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- Expected: 5-8%, Actual: 13.20%
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