Portfolio Performance Evaluation on Extended OOS 2024-01-02 to 2025-08-01 397 trading days
1.69Sharpe RatioRAW Top-20
Evaluation results
| Method | Links | |||||
|---|---|---|---|---|---|---|
| RAW Top-20Strategy Category=Active BM, rebalance_eta (η)=0.08, reward_cost_scale (c)=0.402026.03 | 1.69 | 63.3 | 36.5 | 19.6 | 15.6 | |
| MCap Top-20Strategy Category=Active BM, rebalance_eta (η)=0.08, reward_cost_scale (c)=0.402026.03 | 1.54 | 53.4 | 31.2 | 18.7 | 19.6 | |
| MomentumStrategy Category=Active BM, rebalance_eta (η)=0.08, reward_cost_scale (c)=0.402026.03 | 1.34 | 73.5 | 41.9 | 29.5 | 26.5 | |
| SPYStrategy Category=Passive BM, rebalance_eta (η)=0.08, reward_cost_scale (c)=0.402026.03 | 1.06 | 31.5 | 18.3 | 17.2 | 19 | |
| BlindTradeStrategy Category=Ours, rebalance_eta (η)=0.08, reward_cost_scale (c)=0.40, Number of Seeds=202026.03 | 0.69 | 30.1 | 21.8 | 36.2 | 32.1 | |
| EQWLStrategy Category=Passive BM, rebalance_eta (η)=0.08, reward_cost_scale (c)=0.402026.03 | 0.66 | 16.5 | 10.2 | 17 | 20.7 |