# Portfolio Backtesting on CSI500 Jan 2023 - Sep 2025 (test) Source: [Portfolio Backtesting on CSI500 Jan 2023 - Sep 2025 (test)]() Collection index: [llms.txt]() Data updated: 2026-04-23T10:23:00.939Z Evaluation of portfolio backtesting strategies using the CSI500 dataset covering the period from January 2023 to September 2025 (test split), assessed using financial performance metrics including Alpha Ratio (AR), Information Ratio (IR), Sharpe Ratio, and Calmar Ratio. A research result applies to its stated dataset, split, metric and evaluation configuration. Compare like-for-like settings, preserve the metric's unit and direction, and distinguish paper-reported results from independent reproduction. The best result recorded here is not a claim of exhaustive, current global coverage. | Scope | Recorded value | | --- | --- | | Task | Portfolio Backtesting | | Dataset (including any stated split) | CSI500 Jan 2023 - Sep 2025 (test) | | Metric | Alpha Ratio (AR) | | Unit | SCALAR | | Direction | Higher is better | | Results loaded | 17 of 17 | | Coverage | All results currently returned for this benchmark | Evaluation settings may differ between results. The original papers and recorded configurations are needed to establish comparability. A shared metric name alone does not establish an identical protocol. ## Metrics - [Alpha Ratio (AR)](): Higher is better; unit: SCALAR. - [Information Ratio (IR)](): Higher is better; unit: SCALAR. - [Maximum Drawdown (MD)](): Lower is better; unit: SCALAR. - [Calmar Ratio (CR)](): Higher is better; unit: SCALAR. - [Sharpe Ratio](): Higher is better; unit: SCALAR. - [Calmar Ratio](): Higher is better; unit: SCALAR. ## Recorded results | Method | Alpha Ratio (AR) | Result date | Report paper | | --- | --- | --- | --- | | ACT | 0.4579 | Not recorded | 69e9a7ad55a3c32af89f7181 | | iTransformer | 0.3252 | Not recorded | 69e9a7ad55a3c32af89f7181 | | Transformer | 0.2934 | Not recorded | 69e9a7ad55a3c32af89f7181 | | ALSTM | 0.2894 | Not recorded | 69e9a7ad55a3c32af89f7181 | | Localformer | 0.2852 | Not recorded | 69e9a7ad55a3c32af89f7181 | | XGBoost | 0.272 | Not recorded | 69e9a7ad55a3c32af89f7181 | | TimeMixer | 0.2692 | Not recorded | 69e9a7ad55a3c32af89f7181 | | GRU | 0.2506 | Not recorded | 69e9a7ad55a3c32af89f7181 | | DoubleEnsemble | 0.239 | Not recorded | 69e9a7ad55a3c32af89f7181 | | TabNet | 0.229 | Not recorded | 69e9a7ad55a3c32af89f7181 | | FreqCycle | 0.2192 | Not recorded | 69e9a7ad55a3c32af89f7181 | | LightGBM | 0.2148 | Not recorded | 69e9a7ad55a3c32af89f7181 | | TCN | 0.214 | Not recorded | 69e9a7ad55a3c32af89f7181 | | CatBoost | 0.2121 | Not recorded | 69e9a7ad55a3c32af89f7181 | | SFM | 0.209 | Not recorded | 69e9a7ad55a3c32af89f7181 | | GAT | 0.1612 | Not recorded | 69e9a7ad55a3c32af89f7181 | | LSTM | 0.1561 | Not recorded | 69e9a7ad55a3c32af89f7181 | ### ACT Alpha Ratio (AR): 0.4579. Result ID: 69e9f2ef47f34ce924d1c381. [Reporting paper]() [Method origin paper]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### iTransformer Alpha Ratio (AR): 0.3252. Result ID: 69e9f2ef47f34ce924d1c37e. [Reporting paper]() [Method origin paper]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### Transformer Alpha Ratio (AR): 0.2934. Result ID: 69e9f2ef47f34ce924d1c373. [Reporting paper]() [Method origin paper]() [Implementation]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### ALSTM Alpha Ratio (AR): 0.2894. Result ID: 69e9f2ef47f34ce924d1c374. [Reporting paper]() [Method origin paper]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### Localformer Alpha Ratio (AR): 0.2852. Result ID: 69e9f2ef47f34ce924d1c379. [Reporting paper]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### XGBoost Alpha Ratio (AR): 0.272. Result ID: 69e9f2ef47f34ce924d1c37a. [Reporting paper]() [Method origin paper]() [Implementation]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### TimeMixer Alpha Ratio (AR): 0.2692. Result ID: 69e9f2ef47f34ce924d1c37f. [Reporting paper]() [Method origin paper]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### GRU Alpha Ratio (AR): 0.2506. Result ID: 69e9f2ef47f34ce924d1c372. [Reporting paper]() [Method origin paper]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### DoubleEnsemble Alpha Ratio (AR): 0.239. Result ID: 69e9f2ef47f34ce924d1c37d. [Reporting paper]() [Method origin paper]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### TabNet Alpha Ratio (AR): 0.229. Result ID: 69e9f2ef47f34ce924d1c378. [Reporting paper]() [Method origin paper]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### FreqCycle Alpha Ratio (AR): 0.2192. Result ID: 69e9f2ef47f34ce924d1c380. [Reporting paper]() [Method origin paper]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### LightGBM Alpha Ratio (AR): 0.2148. Result ID: 69e9f2ef47f34ce924d1c37c. [Reporting paper]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### TCN Alpha Ratio (AR): 0.214. Result ID: 69e9f2ef47f34ce924d1c377. [Reporting paper]() [Method origin paper]() [Implementation]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### CatBoost Alpha Ratio (AR): 0.2121. Result ID: 69e9f2ef47f34ce924d1c37b. [Reporting paper]() [Method origin paper]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### SFM Alpha Ratio (AR): 0.209. Result ID: 69e9f2ef47f34ce924d1c375. [Reporting paper]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### GAT Alpha Ratio (AR): 0.1612. Result ID: 69e9f2ef47f34ce924d1c376. [Reporting paper]() [Method origin paper]() [Implementation]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. ### LSTM Alpha Ratio (AR): 0.1561. Result ID: 69e9f2ef47f34ce924d1c371. [Reporting paper]() Recorded evaluation configuration: {"Strategy":"Top-KDropout","K":"50","N":"5","Return Type":"Excess returns (without cost)"}. This record does not assert independent reproduction. Page 1 of 1. This is an index page, not the full collection.