KOSPI Backtest Dashboard

run_id: 20260404T072953Z_second_bar_hedge2p5 generated: 2026-04-04T07:32:20.352139+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 -10.413M
Return per Unit Volume -36.09bp
Beta (Dynamic) -1.456M
Alpha (Dynamic) -8.956M
Alpha Return per Unit Volume -31.04bp
Sharpe (Annualized) -2.6640
Alpha Sharpe (Annualized) -8.0177
Trades 4,297
Daily Trade Notional 120.217M
Trading Days 24
Total Fee 2.885M
Avg Position Notional 33.448M
ROI (Avg Position) -31.13%
ROI (Peak Position) -9.68%
Max Drawdown -16.408M
Model Win Rate (120m) 42.23%
Hedge Win Rate (120m) 46.23%

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 2.5
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 3130 -2.77134e+06 -0.00128047 -12.8047 0.307668 0 0 0
10 3123 -3.49107e+06 -0.00161573 -16.1573 0.353186 0 0 0
20 3123 -3.66308e+06 -0.00169534 -16.9534 0.399616 0 0 0
30 3123 -4.96397e+06 -0.00229742 -22.9742 0.412744 0 0 0
60 3123 -6.84336e+06 -0.00316723 -31.6723 0.413064 0 0 0
120 3119 -6.49852e+06 -0.00301495 -30.1495 0.422251 0 0 0
240 3108 -1.00423e+07 -0.00467003 -46.7003 0.462999 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 1167 -1.13715e+06 -0.00157739 -15.7739 0.34533 0 0 0
10 1167 -1.16054e+06 -0.00160984 -16.0984 0.37018 0 0 0
20 1167 -740453 -0.00102712 -10.2712 0.413882 0 0 0
30 1167 -632013 -0.000876696 -8.76696 0.479863 0 0 0
60 1167 1.11176e+06 0.00154217 15.4217 0.554413 0 0 0
120 1155 818604 0.0011546 11.546 0.462338 0 0 0
240 1108 463828 0.000676793 6.76793 0.497292 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