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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: 2.89%
- Annualized Return: 0.99%
- Volatility: 43.96%
- Sharpe Ratio: -0.05
- Max Drawdown: -40.89%
- Calmar Ratio: 0.02
- Number of Trades: 2818
- Final Value: 2,057,840 RMB
- Return Attribution:
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- Alpha Return: 1.74%
- Hedging Cost: 0.29%
- Basis Cost: 0.14%
- Transaction Cost: -8.98%
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- Validation: FAIL
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