Performance demonstration of S&P500 quant machine (English)
As of 2023-11 we stop updating as the existing model is outdated. A new model is on the way!
Backtest is carried out from 2011.01 to 2023.02 (inclusive). Summary of the result:
- Annualized return: 20.60%
- Sharpe ratio: 1.06
- Sortino ratio: 2.05
- Calmar ratio: 1.05
Sharpe ratio and Sortino ratio are calculated with risk-free return 0 and geometric means (slightly more conservative than with arithmetic means) based on monthly performance.
Quant machine for CSI 300 (WeChat account needed):
