1.3 KiB
1.3 KiB
| 1 | param_ma_short | param_ma_long | param_hold_days | param_position_pct_per_stock | total_return | annual_return | sharpe | max_drawdown | avg_capital_utilization | total_trades | avg_trades_per_year |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2 | 5 | 15 | 3 | 0.2 | -0.386382 | -0.11927490652549144 | 0.27089141444525655 | -0.7600014015047143 | 0.5941614884630463 | 1632 | 424.42105263157896 |
| 3 | 5 | 15 | 5 | 0.2 | -0.49522999999999995 | -0.1628834368426827 | 0.2577381221930353 | -0.7870919695043106 | 0.5891859415623967 | 1188 | 308.953560371517 |
| 4 | 5 | 15 | 10 | 0.2 | -0.28525900000000004 | -0.08363260186379518 | 0.2577209453693876 | -0.7215958651491022 | 0.5335998778095353 | 904 | 235.09597523219813 |
| 5 | 5 | 15 | 4 | 0.2 | -0.6409350000000001 | -0.23384356108729032 | 0.25362732816365546 | -0.8508504652550739 | 0.6694213382102638 | 1358 | 353.1640866873065 |
| 6 | 5 | 15 | 6 | 0.2 | -0.6356539999999999 | -0.2309289019804308 | 0.23193807213946363 | -0.8333560005292597 | 0.682874481195002 | 1076 | 279.8266253869969 |
| 7 | 5 | 15 | 8 | 0.2 | -0.6453910000000002 | -0.23632766727811672 | 0.22268325953846105 | -0.8377975979467692 | 0.699859612370919 | 972 | 252.78018575851394 |
| 8 | 5 | 15 | 9 | 0.2 | -0.413411 | -0.1295326757242926 | 0.21447512587621043 | -0.7587150698961995 | 0.49285261673542696 | 924 | 240.29721362229103 |
| 9 | 5 | 15 | 7 | 0.2 | -0.6541950000000001 | -0.24130438419598055 | 0.19538580770554698 | -0.8449087248568969 | 0.6323827691064463 | 1024 | 266.3034055727554 |
| 10 | 5 | 20 | 3 | 0.2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0 | 0.0 |
| 11 | 5 | 20 | 4 | 0.2 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0 | 0.0 |