Backtest Report

Strategy: lagging_indecies • Period: 2015-01-02 00:00:00 → 2025-12-12 00:00:00

Index Strategy (QuantStats)

Strategy

Top-level summary + reports

Total Return

128.78%

CAGR

7.86%

Volatility

14.91%

Sharpe

0.570

Sortino

0.649

Calmar

0.259

Max Drawdown

-30.29%

Tail Ratio

0.958

Ulcer Index

11.14%

VaR

-1.51%

CVaR

-2.39%

Win Rate

48.07%

Skew

-1.439

Kurtosis

16.888

Profit Factor

1.119

Turnover

45.854

Avg Leverage

0.853

Max Leverage

1.000

% Days In Market

91.76%

These are the QuantStats metrics configured in StrategyAnalyticsConfig.metrics. Use the full QuantStats report for deeper distribution/risk analytics.

Open QuantStats strategy tearsheet

Signals

Decision table (ex-ante + ex-post)

Use IC metrics to judge predictiveness and L–S contribution to judge realized impact under constraints. Drill down into each signal for diagnostics and attribution.

rank_ic: Spearman rank correlation between signal and forward returns.

ic_tstat: t-stat of the IC series; bigger magnitude suggests more consistent IC.

coverage: Fraction of instruments with a valid signal value each day.

quantile_turnover: Fraction of names that change quantile bucket vs previous day.

contrib_ret_ls: Realized portfolio contribution: (top bucket contrib − bottom bucket contrib).

signal	ic_mean	ic_tstat	coverage	q_turnover	ls_total	ls_mean	links
rank_day_20	-0.0117	-0.282	0.685	0.269	0.188765	0.000067	signal \| attrib
rank_on_20	0.0231	0.573	0.672	0.239	0.145238	0.000051	signal \| attrib
rank_mom	0.0169	0.419	0.921	0.176	0.052313	0.000018	signal \| attrib

Generated by quantdsl_backtest