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- Market Neutral Strategy Backtest Report
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- Backtest Period: 20220104 to 20241231
- Initial Capital: 2,000,000 RMB
- Performance Metrics:
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- Total Return: 11.40%
- Annualized Return: 3.82%
- Volatility: 25.41%
- Sharpe Ratio: 0.03
- Max Drawdown: -26.87%
- Calmar Ratio: 0.14
- Number of Trades: 2558
- Final Value: 2,228,043 RMB
- Return Attribution:
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- Alpha Return: 6.84%
- Hedging Cost: 1.14%
- Basis Cost: 0.57%
- Transaction Cost: -0.59%
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- Validation: FAIL
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