KOSPI Backtest Dashboard

run_id: 20260404T073727Z_minute_bar_hantu_1m generated: 2026-04-04T07:38:28.447548+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_hantu_1m_from_1s_parquet

Performance

Metric Value
Total PnL -6.519M
Return per Unit Volume -14.89bp
Beta (Dynamic) -3.198M
Alpha (Dynamic) -3.321M
Alpha Return per Unit Volume -7.59bp
Sharpe (Annualized) -1.7067
Alpha Sharpe (Annualized) -2.7410
Trades 7,771
Daily Trade Notional 182.445M
Trading Days 24
Total Fee 4.379M
Avg Position Notional 89.353M
ROI (Avg Position) -7.30%
ROI (Peak Position) -6.47%
Max Drawdown -14.062M
Model Win Rate (120m) 48.55%
Hedge Win Rate (120m) 49.89%

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 4951 -1.91322e+06 -0.000687626 -6.87626 0.427994 0 0 0
10 4951 -1.42713e+06 -0.00051292 -5.1292 0.465361 0 0 0
20 4949 -2.34226e+06 -0.000842226 -8.42226 0.458072 0 0 0
30 4949 -1.06902e+06 -0.000384396 -3.84396 0.465953 0 0 0
60 4938 -1.91305e+06 -0.00069032 -6.9032 0.45079 0 0 0
120 4923 -84080.6 -3.03902e-05 -0.303902 0.485476 0 0 0
240 4831 -2.01813e+06 -0.000740906 -7.40906 0.481681 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 2807 -2.33903e+06 -0.00146979 -14.6979 0.345208 0 0 0
10 2803 -3.16366e+06 -0.00198907 -19.8907 0.385301 0 0 0
20 2803 -3.08153e+06 -0.00193744 -19.3744 0.383518 0 0 0
30 2800 -1.19581e+06 -0.000753591 -7.53591 0.446071 0 0 0
60 2799 -2.14835e+06 -0.00135445 -13.5445 0.484101 0 0 0
120 2778 1.17502e+06 0.000747555 7.47555 0.49892 0 0 0
240 2753 3.19014e+06 0.00204735 20.4735 0.541228 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