“FIN Status Report 2018-1-2”版本间的差异
来自cslt Wiki
（以“ {| class="wikitable" !People !! Last Week !! This Week |- | Yang Wang|| 1. finish the basic multi-factor model.[http://cslt.riit.tsinghua.edu.cn/mediawiki/images/...”为内容创建页面） |
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| 第7行： | 第7行： | ||
1. finish the basic multi-factor model.[http://cslt.riit.tsinghua.edu.cn/mediawiki/images/f/f4/Mfm-20180102.png result] | 1. finish the basic multi-factor model.[http://cslt.riit.tsinghua.edu.cn/mediawiki/images/f/f4/Mfm-20180102.png result] | ||
| + | |||
| + | model | ||
| + | profit : 985.1169 | ||
| + | profit_annual : 23.0386 | ||
| + | sharpe_ratio : 0.7781 | ||
| + | maxdd : 68.0146 | ||
| + | win_ratio : 0.6159 | ||
| + | |||
| + | index | ||
| + | profit : 275.9937 | ||
| + | profit_annual : 12.2059 | ||
| + | sharpe_ratio : 0.5189 | ||
| + | maxdd : 70.3308 | ||
| + | win_ratio : 0.5870 | ||
| + | |||
| + | hedge | ||
| + | profit : 192.2959 | ||
| + | profit_annual : 9.7757 | ||
| + | sharpe_ratio : 1.0517 | ||
| + | maxdd : 7.3319 | ||
| + | win_ratio : 0.6087 | ||
2018年1月2日 (二) 04:46的版本
| People | Last Week | This Week |
|---|---|---|
| Yang Wang |
1. finish the basic multi-factor model.result model profit : 985.1169 profit_annual : 23.0386 sharpe_ratio : 0.7781 maxdd : 68.0146 win_ratio : 0.6159 index profit : 275.9937 profit_annual : 12.2059 sharpe_ratio : 0.5189 maxdd : 70.3308 win_ratio : 0.5870 hedge profit : 192.2959 profit_annual : 9.7757 sharpe_ratio : 1.0517 maxdd : 7.3319 win_ratio : 0.6087
|
1. improve the model. |
