KOSPI Backtest Dashboard

run_id: 20260404T072435Z_second_bar_base generated: 2026-04-04T07:27:02.913315+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 -8.451M
Return per Unit Volume -27.57bp
Beta (Dynamic) -1.754M
Alpha (Dynamic) -6.697M
Alpha Return per Unit Volume -21.85bp
Sharpe (Annualized) -3.5064
Alpha Sharpe (Annualized) -6.2802
Trades 4,538
Daily Trade Notional 127.706M
Trading Days 24
Total Fee 3.065M
Avg Position Notional 15.960M
ROI (Avg Position) -52.95%
ROI (Peak Position) -8.41%
Max Drawdown -12.307M
Model Win Rate (120m) 42.59%
Hedge Win Rate (120m) 49.77%

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 3228 -3.00203e+06 -0.00133556 -13.3556 0.310409 0 0 0
10 3221 -3.73106e+06 -0.00166259 -16.6259 0.355169 0 0 0
20 3221 -3.96491e+06 -0.0017668 -17.668 0.398634 0 0 0
30 3221 -5.28985e+06 -0.0023572 -23.572 0.411984 0 0 0
60 3221 -7.31595e+06 -0.00326005 -32.6005 0.415709 0 0 0
120 3217 -7.41975e+06 -0.00331405 -33.1405 0.425863 0 0 0
240 3206 -1.13216e+07 -0.00506826 -50.6826 0.463818 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 1310 -1.52286e+06 -0.00186358 -18.6358 0.381679 0 0 0
10 1310 -2.07644e+06 -0.00254101 -25.4101 0.442748 0 0 0
20 1309 -1.40911e+06 -0.00172522 -17.2522 0.458365 0 0 0
30 1304 -796745 -0.000981032 -9.81032 0.508436 0 0 0
60 1304 116310 0.000143212 1.43212 0.523773 0 0 0
120 1304 2.1277e+06 0.00261984 26.1984 0.497699 0 0 0
240 1294 6.62545e+06 0.00819728 81.9728 0.537867 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