FIN Status Report 2018-1-2
来自cslt Wiki
| 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. |
