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137 lines
3.5 KiB
137 lines
3.5 KiB
{
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"id": "KP0WWZ6l",
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"type": "REGULAR",
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"author": "YC93384",
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"settings": {
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"instrumentType": "EQUITY",
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"region": "USA",
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"universe": "TOP3000",
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"delay": 1,
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"decay": 0,
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"neutralization": "SUBINDUSTRY",
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"truncation": 0.08,
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"pasteurization": "ON",
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"unitHandling": "VERIFY",
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"nanHandling": "OFF",
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"maxTrade": "OFF",
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"language": "FASTEXPR",
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"visualization": false,
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"startDate": "2018-01-20",
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"endDate": "2023-01-20",
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"testPeriod": "P1Y"
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},
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"regular": {
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"code": "rank(ts_sum(vec_avg(nws12_afterhsz_sl), 60)) * 0.7 + rank(-ts_delta(close, 2)) * 0.3",
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"description": null,
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"operatorCount": 9
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},
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"dateCreated": "2025-11-13T09:22:47-05:00",
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"dateSubmitted": null,
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"dateModified": "2025-11-13T09:22:47-05:00",
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"name": null,
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"favorite": false,
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"hidden": false,
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"color": null,
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"category": null,
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"tags": [],
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"classifications": [],
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"grade": "INFERIOR",
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"stage": "IS",
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"status": "UNSUBMITTED",
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"is": {
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"pnl": 3219244,
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"bookSize": 20000000,
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"longCount": 1332,
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"returns": 0.0651,
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"margin": 0.000356,
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"sharpe": 1.93,
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"fitness": 0.81,
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"startDate": "2018-01-20",
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"checks": [
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{
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"name": "LOW_SHARPE",
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"result": "PASS",
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"limit": 1.25,
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"value": 1.93
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},
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{
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"name": "LOW_FITNESS",
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"result": "FAIL",
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"limit": 1.0,
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"value": 0.81
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},
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{
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"name": "LOW_TURNOVER",
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"result": "PASS",
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"limit": 0.01,
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"value": 0.3657
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},
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{
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"name": "HIGH_TURNOVER",
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"result": "PASS",
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"limit": 0.7,
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"value": 0.3657
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},
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{
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"name": "CONCENTRATED_WEIGHT",
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"result": "PASS"
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},
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{
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"name": "LOW_SUB_UNIVERSE_SHARPE",
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"result": "PASS",
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"limit": 0.84,
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"value": 1.7
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},
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{
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"name": "SELF_CORRELATION",
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"result": "PENDING"
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},
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{
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"name": "MATCHES_COMPETITION",
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"result": "PASS",
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"competitions": [
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{
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"id": "challenge",
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"name": "Challenge"
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}
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]
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}
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]
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},
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"os": null,
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"train": {
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"pnl": 2718449,
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"turnover": 0.3665,
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"returns": 0.0689,
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"margin": 0.000376,
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"fitness": 0.92,
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"sharpe": 2.13,
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"startDate": "2018-01-20"
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},
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"test": {
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"pnl": 512583,
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"bookSize": 20000000,
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"margin": 0.000281,
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"fitness": 0.5,
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"sharpe": 1.33,
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"startDate": "2022-01-20"
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},
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"prod": null,
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"competitions": null,
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"themes": null,
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"pyramids": null,
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"pyramidThemes": null,
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"team": null
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} |