rp.report| 參數 | Strategy |
|---|---|
| StartDate | 2021-05-31 |
| EndDate | 2024-08-21 |
| LastSignalDate | 2024-08-22 |
| TotalReturns | 0.31202 |
| CAGR | 0.096679 |
| MaxDrawdown | -0.293796 |
| MddDuration | 777 |
| SharpeRatio | 0.799627 |
| SortinoRatio | 1.186061 |
| AnnualisedVolatility | 0.2137 |
| WinRate | 0.2 |
| ProfitLossRatio | 2.76 |
| Cash | 177000.0 |
| AvgCashUtilizationRate | 0.612511 |
| TotalTrades | 6 |
| ProfitTimes | 6 |
| LossTimes | 6 |
| NetProfit | 55337 |
| TradeCost | 1258 |
| AvgProfitPerTrade | 9222.84 |
| WeeklyReturn | -0.90% |
| MonthlyReturn | 0.91% |
| QuarterlyReturn | 12.23% |
| AnnualReturn | 38.44% |
| RelativeWeeklyReturn | 2.09% |
| RelativeMonthlyReturn | -10.05% |
| RelativeQuarterlyReturn | -23.56% |
| RelativeAnnualReturn | -109.52% |
Return type: Object DataFrame
| 參數 | 資料型態 | 說明 |
|---|---|---|
| StartDate | object | 發生第一筆交易的日期 |
| EndDate | object | 最新資料日期 |
| LastSignalDate | object | 回測執行日期 |
| TotalReturns | object | 總報酬率 |
| CAGR | object | 年化報酬率 |
| MaxDrawdown | object | 最大回撤 |
| MddDuration | object | 最大回撤天數 |
| SharpeRatio | object | sharp比率 |
| SortinoRatio | object | Sortino比率 |
| AnnualisedVolatility | object | 年化波動率 |
| WinRate | object | 勝率 |
| ProfitLossRatio | object | 盈虧比 |
| Cash | object | 最大倉位所需資金 |
| AvgCashUtilizationRate | object | 資金使用率 |
| TotalTrades | object | 交易次數 |
| ProfitTimes | object | 獲利交易次數 |
| LossTimes | object | 虧損交易次數 |
| NetProfit | object | 淨損益 |
| TradeCost | object | 交易費用 |
| AvgProfitPerTrade | object | 每筆交易平均盈虧 |
| WeeklyReturn | object | 近一週報酬率 |
| MonthlyReturn | object | 近一月報酬率 |
| QuarterlyReturn | object | 近一季報酬率 |
| AnnualReturn | object | 近一年報酬率 |
| RelativeWeeklyReturn | object | 相比benchmark近一週報酬率 若有設定benchmark才會計算此欄位 |
| RelativeMonthlyReturn | object | 相比benchmark近一月報酬率 若有設定benchmark才會計算此欄位 |
| RelativeQuarterlyReturn | object | 相比benchmark近一季報酬率 若有設定benchmark才會計算此欄位 |
| RelativeAnnualReturn | object | 相比benchmark近一年報酬率 若有設定benchmark才會計算此欄位 |