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New_Factor_Result.log
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2024-06-11 14:42:39 [INFO] Base data loaded.
2024-06-11 14:42:39 [INFO] 3 alphas will be calculated (Simsummary in alphabetical order).
2024-06-11 14:42:40 [INFO] Alphas calculated.
2024-06-11 14:42:47 [INFO] Ind_neutralize applied.
2024-06-11 14:42:47 [INFO] Generating PNL files...
2024-06-11 14:42:56 [INFO] All alphas simulation finished.
2024-06-11 14:42:56 [WARNING] Alpha alpha_3 Exception:
only dump 0 stocks on 20190304
2024-06-11 14:42:56 [INFO] Simsummary on factor: alpha_1
2024-06-11 14:42:56 [INFO]
dates long(M) short(M) pnl(M) %ret tvr shrp (IR) %dd %win bpmrgn fitness Coverage %posret %inxret %negret IC ICIR
20190305-20191231 10.0 -10.0 0.34 2.0 0.16 0.36(0.023) 15.37 0.51 15236.83 1.27 2569 X 1036 5.33 2.36 -1.34 0.0 0.05
20200101-20201231 10.0 -10.0 -1.28 -6.43 0.16 -0.75(-0.048) 20.61 0.45 -42344.59 -4.71 2876 X 980 16.66 15.14 -29.52 -0.0 -0.05
20210101-20211231 10.0 -10.0 3.45 17.34 0.12 1.66(0.106) 13.66 0.53 155014.32 20.3 3304 X 1064 26.91 5.65 7.76 0.01 0.17
20220101-20221231 10.0 -10.0 1.88 9.48 0.15 1.06(0.068) 10.99 0.52 -91166.87 8.39 3477 X 1186 -3.23 -14.98 22.19 0.01 0.1
20230101-20231229 10.0 -10.0 3.65 18.41 0.12 3.23(0.207) 9.55 0.6 -217477.07 40.41 3653 X 1353 13.17 -3.15 23.66 0.02 0.35
20190305-20231229 10.0 -10.0 8.04 8.35 0.14 1.02(0.065) 29.89 0.52 216567.54 7.87 3195 X 1126 11.99 0.98 4.71 0.01 0.12
2024-06-11 14:42:56 [INFO]
dates %R1 (IR) %R2 (IR) %R3 (IR) %R4 (IR) %R5 (IR) %R6 (IR) %R7 (IR) %R8 (IR) %R9 (IR) %R10 (IR)
20190305-20191231 0.03(1207.05) 0.03(937.05) 0.022(547.78) 0.019(387.2) 0.017(283.35) 0.009(98.28) 0.021(96.43) 0.011(70.71) 0.019(495.43) 0.01(1308.2)
20200101-20201231 0.05(2504.14) 0.056(1741.85) 0.052(1249.45) 0.052(967.23) 0.055(780.09) 0.052(519.47) 0.039(227.1) -0.088(-124.49)-0.052(-995.75)-0.049(-8775.65)
20210101-20211231 0.099(3241.61) 0.119(2766.24) 0.141(2702.53) 0.115(1604.2) 0.11(993.59) 0.094(548.63) 0.068(230.0) -0.066(-34.51) -0.056(-582.03)0.04(5930.14)
20220101-20221231 0.01(427.77) 0.002(50.3) -0.01(-248.95) 0.001(13.42) -0.014(-214.82)-0.012(-123.88)-0.013(-78.06) 0.002(3.69) 0.066(1255.39) 0.065(9934.01)
20230101-20231229 0.053(1986.01) 0.076(1645.81) 0.087(1451.78) 0.066(797.81) 0.049(385.43) 0.05(236.93) 0.048(120.05) -0.021(-31.92) 0.021(280.0) 0.105(11792.76)
20190305-20231229 10.0 -10.0 8.04 8.35 0.14 1.02(0.065) 29.89 0.52 216567.54 7.87 3195 X 1126 11.99 0.98 4.71 0.01 0.12 -20231229 0.046(1896.0) 0.051(1445.12) 0.052(1160.61) 0.044(766.43) 0.035(451.39) 0.03(261.32) 0.026(120.0) -0.009(-26.36) 0.004(76.36) 0.028(4114.56)
2024-06-11 14:42:56 [INFO] Simsummary on factor: alpha_2
2024-06-11 14:42:56 [INFO]
dates long(M) short(M) pnl(M) %ret tvr shrp (IR) %dd %win bpmrgn fitness Coverage %posret %inxret %negret IC ICIR
20190305-20191231 10.0 -10.0 0.53 3.15 0.09 0.53(0.034) 14.36 0.53 12335.04 3.15 2542 X 1062 7.74 2.36 -1.43 0.0 0.05
20200101-20201231 10.0 -10.0 -0.78 -3.94 0.08 -0.45(-0.029) 20.58 0.46 -39127.76 -3.05 2858 X 998 17.97 15.14 -25.84 -0.0 -0.06
20210101-20211231 10.0 -10.0 3.24 16.27 0.06 1.57(0.101) 13.36 0.55 523883.62 26.21 3287 X 1081 28.05 5.65 4.5 0.01 0.15
20220101-20221231 10.0 -10.0 2.64 13.3 0.07 1.47(0.094) 10.24 0.54 -227094.59 19.81 3448 X 1217 -1.12 -14.98 27.72 0.01 0.11
20230101-20231229 10.0 -10.0 3.69 18.62 0.06 2.99(0.191) 11.82 0.61 -198530.14 54.02 3617 X 1388 14.58 -3.15 22.66 0.02 0.31
20190305-20231229 10.0 -10.0 9.32 9.68 0.07 1.16(0.074) 24.1 0.54 239006.33 13.46 3170 X 1152 13.64 0.98 5.71 0.01 0.11
2024-06-11 14:42:56 [INFO]
dates %R1 (IR) %R2 (IR) %R3 (IR) %R4 (IR) %R5 (IR) %R6 (IR) %R7 (IR) %R8 (IR) %R9 (IR) %R10 (IR)
20190305-20191231 0.034(1386.68) 0.028(869.88) 0.02(517.72) 0.02(404.41) 0.022(356.47) 0.022(236.03) 0.026(103.57) 0.028(206.69) 0.017(472.39) -0.0(-10.69)
20200101-20201231 0.054(2695.71) 0.056(1748.51) 0.051(1198.87) 0.053(978.69) 0.045(640.24) 0.045(454.17) 0.045(254.98) -0.045(-75.44) -0.051(-1004.15)-0.046(-8395.44)
20210101-20211231 0.102(3330.31) 0.114(2666.47) 0.153(2946.69) 0.1(1379.38) 0.095(853.38) 0.099(574.54) 0.084(275.79) -0.048(-25.87) -0.05(-543.58) 0.023(3477.62)
20220101-20221231 0.013(555.22) -0.005(-171.89)0.005(123.59) 0.004(81.36) -0.017(-246.92)-0.01(-104.69) -0.018(-105.77)0.058(109.1) 0.065(1289.63) 0.073(10970.88)
20230101-20231229 0.05(1865.11) 0.091(2033.02) 0.08(1309.09) 0.06(720.73) 0.04(312.46) 0.067(318.09) 0.031(72.96) -0.029(-53.11) 0.015(210.24) 0.089(10295.0)
20190305-20231229 10.0 -10.0 9.32 9.68 0.07 1.16(0.074) 24.1 0.54 239006.33 13.46 3170 X 1152 13.64 0.98 5.71 0.01 0.11 -20231229 0.048(1986.65) 0.051(1448.14) 0.056(1242.73) 0.042(723.42) 0.03(384.58) 0.034(297.88) 0.027(121.08) 0.008(26.64) 0.004(71.24) 0.023(3360.95)
2024-06-11 14:42:56 [INFO] Simsummary on factor: alpha_3
2024-06-11 14:42:56 [INFO]
dates long(M) short(M) pnl(M) %ret tvr shrp (IR) %dd %win bpmrgn fitness Coverage %posret %inxret %negret IC ICIR
20190305-20191231 10.0 -10.0 0.07 0.41 0.19 0.07(0.005) 17.13 0.5 3405.39 0.1 2634 X 971 4.57 2.36 -3.76 0.0 0.03
20200101-20201231 10.0 -10.0 -1.86 -9.32 0.19 -1.09(-0.07) 20.44 0.44 -25324.61 -7.57 2917 X 940 16.54 15.14 -35.19 -0.0 -0.05
20210101-20211231 10.0 -10.0 2.34 11.73 0.15 1.11(0.071) 17.37 0.53 37427.86 9.96 3341 X 1027 24.14 5.65 -0.68 0.01 0.14
20220101-20221231 10.0 -10.0 1.37 6.93 0.18 0.72(0.046) 11.88 0.52 -20094.48 4.49 3523 X 1141 -3.27 -14.98 17.12 0.01 0.09
20230101-20231229 10.0 -10.0 3.95 19.92 0.13 4.02(0.257) 6.76 0.64 -101568.87 50.1 3678 X 1327 13.51 -3.15 26.32 0.02 0.35
20190305-20231229 10.0 -10.0 5.87 6.1 0.17 0.74(0.047) 37.96 0.53 121012.41 4.47 3237 X 1084 11.32 0.98 0.87 0.01 0.11
2024-06-11 14:42:56 [INFO]
dates %R1 (IR) %R2 (IR) %R3 (IR) %R4 (IR) %R5 (IR) %R6 (IR) %R7 (IR) %R8 (IR) %R9 (IR) %R10 (IR)
20190305-20191231 0.029(1170.58) 0.024(743.96) 0.024(591.39) 0.009(185.78) 0.014(229.46) 0.026(294.07) 0.02(113.95) 0.014(72.71) 0.024(574.79) 0.006(826.79)
20200101-20201231 0.058(2915.17) 0.056(1736.4) 0.052(1238.91) 0.048(887.09) 0.053(756.87) 0.036(360.77) 0.029(175.42) -0.039(-52.41) -0.028(-503.73)-0.062(-11128.1)
20210101-20211231 0.086(2795.64) 0.119(2747.84) 0.123(2343.35) 0.115(1613.72) 0.093(835.2) 0.09(508.46) 0.077(260.26) -0.018(-14.16) -0.063(-636.66)0.02(3004.36)
20220101-20221231 0.017(724.06) 0.007(216.81) -0.012(-323.97)-0.013(-262.44)-0.006(-96.25) -0.015(-162.71)-0.024(-153.83)-0.031(-57.2) 0.07(1286.37) 0.052(8331.31)
20230101-20231229 0.063(2431.06) 0.086(1868.06) 0.084(1375.56) 0.051(601.63) 0.041(314.39) 0.048(217.15) 0.037(88.8) -0.019(-29.25) 0.022(277.43) 0.123(13348.68)
20190305-20231229 10.0 -10.0 5.87 6.1 0.17 0.74(0.047) 37.96 0.53 121012.41 4.47 3237 X 1084 11.32 0.98 0.87 0.01 0.11 -20231229 0.05(2035.09) 0.053(1486.57) 0.048(1060.6) 0.036(619.46) 0.033(414.21) 0.027(242.28) 0.019(96.59) -0.008(-18.89) 0.011(186.52) 0.02(2929.35)