KOSPI Backtest Dashboard

run_id: 20260404T071236Z_second_bar_base generated: 2026-04-04T07:15:03.539982+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/kospi_1s_candle
inference_source/shared/inference_kospi/cs_mlp_hantu_1s_parquet

Performance

Metric Value
Total PnL -9.225M
Return per Unit Volume -25.02bp
Beta (Dynamic) -1.512M
Alpha (Dynamic) -7.713M
Alpha Return per Unit Volume -20.92bp
Sharpe (Annualized) -3.8800
Alpha Sharpe (Annualized) -6.9953
Trades 5,457
Daily Trade Notional 153.647M
Trading Days 24
Total Fee 3.688M
Avg Position Notional 17.371M
ROI (Avg Position) -53.10%
ROI (Peak Position) -9.12%
Max Drawdown -12.396M
Model Win Rate (120m) 43.36%
Hedge Win Rate (120m) 46.97%

Run Parameters

source: not_found

param value
active_minutes_ratio 0
confidence_median_adjust_multiplier 1
force_hedge_timeout_bars 18000
force_order_ttl_ms 1000
force_taker_start_hhmm 1540
hedge_max_amount_krw 2.5e+06
hedge_order_ttl_ms 1000
hedge_pred_threshold 1.5
hedge_slippage 0
high_speed 1
model_order_ttl_ms 1000
model_slippage 0
one_coin_max_neg_position_krw 0
one_coin_max_pos_position_krw 2.5e+06
position_close_timeout_bars 7200
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 7200

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 3152 -3.16685e+06 -0.00142683 -14.2683 0.306472 0 0 0
10 3145 -3.71648e+06 -0.00167721 -16.7721 0.350397 0 0 0
20 3145 -3.40528e+06 -0.00153677 -15.3677 0.400954 0 0 0
30 3145 -5.13397e+06 -0.00231691 -23.1691 0.407949 0 0 0
60 3145 -7.02404e+06 -0.00316989 -31.6989 0.421622 0 0 0
120 3141 -6.88043e+06 -0.00311255 -31.1255 0.43362 0 0 0
240 3130 -1.01691e+07 -0.00461083 -46.1083 0.468371 0 0 0

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 2305 -2.96194e+06 -0.00201763 -20.1763 0.357918 0 0 0
10 2305 -3.85539e+06 -0.00262624 -26.2624 0.416052 0 0 0
20 2304 -2.76656e+06 -0.00188505 -18.8505 0.434028 0 0 0
30 2297 -1.97377e+06 -0.00134994 -13.4994 0.4532 0 0 0
60 2297 -1.39358e+06 -0.000953126 -9.53126 0.498041 0 0 0
120 2291 197381 0.000135439 1.35439 0.469664 0 0 0
240 2272 5.36064e+06 0.00370857 37.0857 0.497799 0 0 0

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