KOSPI Backtest Dashboard

run_id: 20260404T071027Z_minute_bar_base generated: 2026-04-04T07:12:29.954890+00:00
backtest_typetrade
exchangekospi
strategy_namelong_short_zscore_gtc_strategy
start_time2026-02-23T09:00:00+09:00
end_time2026-03-31T09:00:00+09:00
fee_rate0.001
plot_every_minutes120
trade_root/data/krx/parquet
candle_source/shared/toss_kospi/backtest_candle_1520
inference_source/shared/inference_kospi/cs_mlp_200_base_parquet

Performance

Metric Value
Total PnL -2.195M
Return per Unit Volume -4.99bp
Beta (Dynamic) -3.573M
Alpha (Dynamic) 1.378M
Alpha Return per Unit Volume 3.13bp
Sharpe (Annualized) -0.6293
Alpha Sharpe (Annualized) 1.0153
Trades 7,464
Daily Trade Notional 176.075M
Trading Days 25
Total Fee 4.402M
Avg Position Notional 77.502M
ROI (Avg Position) -2.83%
ROI (Peak Position) -2.17%
Max Drawdown -14.477M
Model Win Rate (120m) 48.89%
Hedge Win Rate (120m) 48.85%

Run Parameters

source: not_found

param value
active_minutes_ratio 0.5
confidence_median_adjust_multiplier 1
force_hedge_timeout_bars 300
force_order_ttl_ms 60000
force_taker_start_hhmm 1540
hedge_max_amount_krw 2.5e+06
hedge_order_ttl_ms 60000
hedge_pred_threshold 1.5
hedge_slippage 0
high_speed 1
model_order_ttl_ms 60000
model_slippage 0
one_coin_max_neg_position_krw 0
one_coin_max_pos_position_krw 2.5e+06
position_close_timeout_bars 120
pred_sma_len 1
total_max_abs_position_krw 1e+08
trade_end_hhmm 1520
trade_start_hhmm 905
z_score_threshold 2.6
z_score_time_window 120

Quality By Horizon (Model)

quality = side_sign * (mid_price(next_n_bars) - execution_price) / execution_price - (fee / notional)

quality_per_notional_bp = quality_per_notional * 10000

n_min pair_count quality_pnl_final quality_per_notional quality_per_notional_bp win_rate reg_a reg_b reg_r2
5 4821 -3.00749e+06 -0.00106137 -10.6137 0.410703 -0.0121444 0.000152405 0.0132311
10 4821 -2.59524e+06 -0.000915884 -9.15884 0.42543 -0.0039773 -0.000430329 0.000686232
20 4821 -2.23741e+06 -0.000789603 -7.89603 0.440572 -0.0136321 0.000222124 0.005366
30 4821 -1.79254e+06 -0.000632602 -6.32602 0.46982 -0.00696556 -0.000227115 0.00119287
60 4821 -926863 -0.000327098 -3.27098 0.486206 -0.0406145 0.0027271 0.0234902
120 4821 2.20845e+06 0.000779382 7.79382 0.488903 0.0208221 -0.00182723 0.00284084
240 4821 2.33098e+06 0.000822622 8.22622 0.501141 0.00139843 4.88407e-05 6.28488e-06

Quality By Horizon (Hedge)

n_min pair_count quality_pnl_final quality_per_notional quality_per_notional_bp win_rate reg_a reg_b reg_r2
5 2643 -2.2215e+06 -0.00141652 -14.1652 0.340144 -0.0016892 -0.00159076 0.000163141
10 2643 -1.50548e+06 -0.000959953 -9.59953 0.445327 0.0029908 -0.00118535 0.00031268
20 2643 -2.88548e+06 -0.0018399 -18.399 0.431328 0.00186071 -0.00238828 5.11891e-05
30 2643 -3.42142e+06 -0.00218163 -21.8163 0.43549 0.0122873 -0.00320319 0.00187947
60 2643 -2.99141e+06 -0.00190744 -19.0744 0.453651 0.00663196 -0.00316687 0.000350229
120 2643 834816 0.000532312 5.32312 0.48846 0.00896464 -0.000741917 0.000431444
240 2643 4.02553e+06 0.00256683 25.6683 0.510405 -0.0168374 0.00154848 0.00108844

Quality By Horizon (Force)

n_min pair_count quality_pnl_final quality_per_notional quality_per_notional_bp win_rate reg_a reg_b reg_r2
5 0 0 NaN NaN NaN 0 0 0
10 0 0 NaN NaN NaN 0 0 0
20 0 0 NaN NaN NaN 0 0 0
30 0 0 NaN NaN NaN 0 0 0
60 0 0 NaN NaN NaN 0 0 0
120 0 0 NaN NaN NaN 0 0 0
240 0 0 NaN NaN NaN 0 0 0

PnL / Exposure

Model Buy 120m Relative Quality By Entry Time (20m, 09:00-15:30 KST)

quality_120m_mean_bp = quality_120m_mean * 10000, total_amount = sum(abs(amount))

entry_time_bucket trade_count total_amount quality_120m_mean quality_120m_mean_bp
09:00 0 0
09:20 0 0
09:40 0 0
10:00 0 0
10:20 0 0
10:40 0 0
11:00 0 0
11:20 0 0
11:40 0 0
12:00 0 0
12:20 0 0
12:40 0 0
13:00 0 0
13:20 0 0
13:40 0 0
14:00 0 0
14:20 0 0
14:40 0 0
15:00 0 0
15:20 0 0

Z-Score-Quality Scatter + Regression

Model Buy/Sell Scatter + Regression