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research/original/results_kr/kr_asset_metrics_10bps.csv
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market,symbol,strategy,cost_one_way,start,end,observations,cagr,mdd,calmar,annual_vol,sharpe_zero_rf,sortino_zero_rf,ulcer_index,recovery_days_max,turnover_annual,avg_exposure,cvar_5_daily,final_equity
KR,005930,buy_hold,0.001,2007-01-02,2021-04-15,3539,0.15057891797717682,-0.47342611694340286,0.3180621275170973,0.3012569883821708,0.6239825684785394,0.9842780210289169,15.778728354252292,871,0.0,1.0,-0.039340619255431544,7.414664514724403
KR,005930,trend_10m_shifted,0.001,2007-01-02,2021-04-15,3539,0.07064016226723435,-0.40222436489246804,0.17562377725705283,0.21659389342868704,0.4286813719585508,0.5215636807760939,20.041846619182405,994,2.520414031052329,0.5908448714326081,-0.03230168596198603,2.650998278642384
KR,005930,trailing_12,0.001,2007-01-02,2021-04-15,3539,0.07313014839612841,-0.37191272085678795,0.19663255461565285,0.23373219759607522,0.4238821539085963,0.5576006147348199,17.075759519220338,1061,4.060667050028752,0.6985024018084205,-0.033858832654821806,2.7404345825750447
KR,005930,kartsell_v11_original,0.001,2007-01-02,2021-04-15,3539,0.06391705052338059,-0.3897192409999386,0.16400794161299997,0.2244527163066945,0.3930133273333859,0.5683107467507722,20.18117215909693,993,10.480721679125933,0.7500847697089574,-0.032083069193317944,2.4228892058747946
KR,005930,kartsell_v12_candidate,0.001,2007-01-02,2021-04-15,3539,0.07784227786302278,-0.3667492626212113,0.21224930980548531,0.19491413637627125,0.48853345473512927,0.7048230394853046,17.928912983679123,1069,1.4317351926394482,0.6346284261090704,-0.027764505311173603,2.917414223133168
KR,000660,buy_hold,0.001,2007-01-02,2021-04-16,3541,0.1098093222355856,-0.8456613414596607,0.12985023300940815,0.4475685447134808,0.4598730935511649,0.6876290237370674,29.999445622976932,938,0.0,1.0,-0.0604242380537444,4.430196217417916
KR,000660,trend_10m_shifted,0.001,2007-01-02,2021-04-16,3541,0.08326915706529525,-0.5559232318730603,0.1497853521694682,0.2836930477732311,0.4284093558404643,0.49457210291455217,25.667925419725997,1654,1.539957838252204,0.555210392544479,-0.0436898796218878,3.1350722817866807
KR,000660,trailing_12,0.001,2007-01-02,2021-04-16,3541,0.1477906538945386,-0.46930782719418385,0.31491197318852254,0.2958928513033166,0.6206764791280346,0.806417464159277,20.319909744032984,774,4.759869681870448,0.6269415419373059,-0.042051640801858005,7.164808959900772
KR,000660,kartsell_v11_original,0.001,2007-01-02,2021-04-16,3541,0.07206174025135836,-0.5786856403156295,0.1245265740688746,0.3005500330753062,0.385279269008618,0.5567543373086427,26.79455392544834,796,8.623763894212342,0.7171844111832816,-0.04277214829188437,2.702235579784997
KR,000660,kartsell_v12_candidate,0.001,2007-01-02,2021-04-16,3541,0.08407099346504987,-0.5513875231192475,0.15247170082749223,0.2633430703226691,0.442891058735323,0.6271601004477529,22.299389544131433,887,1.5049587964737448,0.6068483479243152,-0.03786135927168199,3.1683878733279793
KR,035900,buy_hold,0.001,2007-01-02,2021-04-15,3456,0.0295373505487182,-0.95703125,0.030863517308048406,0.6232996288990094,0.3574342307158078,0.5417786422319167,71.35225105545686,2621,0.0,1.0,-0.08560653676427198,1.515555555555548
KR,035900,trend_10m_shifted,0.001,2007-01-02,2021-04-15,3456,0.05914624125344292,-0.7555977114749467,0.07827742243685187,0.4331933250962348,0.35289402058878244,0.38469313413887424,50.94451178897398,1658,1.9603220241518113,0.5069444444444444,-0.06260200645731767,2.2722426695975932
KR,035900,trailing_12,0.001,2007-01-02,2021-04-15,3456,0.0493813560307077,-0.7760014835470278,0.06363564642298143,0.3666121117952986,0.3182217766131556,0.3171937679169545,53.53024370404685,2558,7.491230592294422,0.41782407407407407,-0.05293687164401791,1.9906671339551736
KR,035900,kartsell_v11_original,0.001,2007-01-02,2021-04-15,3456,0.019203864123950476,-0.8427911180858594,0.02278603050251187,0.46493789201400215,0.2732359269302455,0.3787278332853394,63.24092663027409,2568,12.546060954571594,0.6475549768518518,-0.06530730094316521,1.3121871437541854
KR,035900,kartsell_v12_candidate,0.001,2007-01-02,2021-04-15,3456,0.07057023330533685,-0.7818310638902997,0.09026276463637509,0.40480133822934483,0.3759682202129277,0.4898560689824886,49.73921053443678,2483,1.4562392179413457,0.4874276620370371,-0.05794200587538522,2.648526183280227
1 market symbol strategy cost_one_way start end observations cagr mdd calmar annual_vol sharpe_zero_rf sortino_zero_rf ulcer_index recovery_days_max turnover_annual avg_exposure cvar_5_daily final_equity
2 KR 005930 buy_hold 0.001 2007-01-02 2021-04-15 3539 0.15057891797717682 -0.47342611694340286 0.3180621275170973 0.3012569883821708 0.6239825684785394 0.9842780210289169 15.778728354252292 871 0.0 1.0 -0.039340619255431544 7.414664514724403
3 KR 005930 trend_10m_shifted 0.001 2007-01-02 2021-04-15 3539 0.07064016226723435 -0.40222436489246804 0.17562377725705283 0.21659389342868704 0.4286813719585508 0.5215636807760939 20.041846619182405 994 2.520414031052329 0.5908448714326081 -0.03230168596198603 2.650998278642384
4 KR 005930 trailing_12 0.001 2007-01-02 2021-04-15 3539 0.07313014839612841 -0.37191272085678795 0.19663255461565285 0.23373219759607522 0.4238821539085963 0.5576006147348199 17.075759519220338 1061 4.060667050028752 0.6985024018084205 -0.033858832654821806 2.7404345825750447
5 KR 005930 kartsell_v11_original 0.001 2007-01-02 2021-04-15 3539 0.06391705052338059 -0.3897192409999386 0.16400794161299997 0.2244527163066945 0.3930133273333859 0.5683107467507722 20.18117215909693 993 10.480721679125933 0.7500847697089574 -0.032083069193317944 2.4228892058747946
6 KR 005930 kartsell_v12_candidate 0.001 2007-01-02 2021-04-15 3539 0.07784227786302278 -0.3667492626212113 0.21224930980548531 0.19491413637627125 0.48853345473512927 0.7048230394853046 17.928912983679123 1069 1.4317351926394482 0.6346284261090704 -0.027764505311173603 2.917414223133168
7 KR 000660 buy_hold 0.001 2007-01-02 2021-04-16 3541 0.1098093222355856 -0.8456613414596607 0.12985023300940815 0.4475685447134808 0.4598730935511649 0.6876290237370674 29.999445622976932 938 0.0 1.0 -0.0604242380537444 4.430196217417916
8 KR 000660 trend_10m_shifted 0.001 2007-01-02 2021-04-16 3541 0.08326915706529525 -0.5559232318730603 0.1497853521694682 0.2836930477732311 0.4284093558404643 0.49457210291455217 25.667925419725997 1654 1.539957838252204 0.555210392544479 -0.0436898796218878 3.1350722817866807
9 KR 000660 trailing_12 0.001 2007-01-02 2021-04-16 3541 0.1477906538945386 -0.46930782719418385 0.31491197318852254 0.2958928513033166 0.6206764791280346 0.806417464159277 20.319909744032984 774 4.759869681870448 0.6269415419373059 -0.042051640801858005 7.164808959900772
10 KR 000660 kartsell_v11_original 0.001 2007-01-02 2021-04-16 3541 0.07206174025135836 -0.5786856403156295 0.1245265740688746 0.3005500330753062 0.385279269008618 0.5567543373086427 26.79455392544834 796 8.623763894212342 0.7171844111832816 -0.04277214829188437 2.702235579784997
11 KR 000660 kartsell_v12_candidate 0.001 2007-01-02 2021-04-16 3541 0.08407099346504987 -0.5513875231192475 0.15247170082749223 0.2633430703226691 0.442891058735323 0.6271601004477529 22.299389544131433 887 1.5049587964737448 0.6068483479243152 -0.03786135927168199 3.1683878733279793
12 KR 035900 buy_hold 0.001 2007-01-02 2021-04-15 3456 0.0295373505487182 -0.95703125 0.030863517308048406 0.6232996288990094 0.3574342307158078 0.5417786422319167 71.35225105545686 2621 0.0 1.0 -0.08560653676427198 1.515555555555548
13 KR 035900 trend_10m_shifted 0.001 2007-01-02 2021-04-15 3456 0.05914624125344292 -0.7555977114749467 0.07827742243685187 0.4331933250962348 0.35289402058878244 0.38469313413887424 50.94451178897398 1658 1.9603220241518113 0.5069444444444444 -0.06260200645731767 2.2722426695975932
14 KR 035900 trailing_12 0.001 2007-01-02 2021-04-15 3456 0.0493813560307077 -0.7760014835470278 0.06363564642298143 0.3666121117952986 0.3182217766131556 0.3171937679169545 53.53024370404685 2558 7.491230592294422 0.41782407407407407 -0.05293687164401791 1.9906671339551736
15 KR 035900 kartsell_v11_original 0.001 2007-01-02 2021-04-15 3456 0.019203864123950476 -0.8427911180858594 0.02278603050251187 0.46493789201400215 0.2732359269302455 0.3787278332853394 63.24092663027409 2568 12.546060954571594 0.6475549768518518 -0.06530730094316521 1.3121871437541854
16 KR 035900 kartsell_v12_candidate 0.001 2007-01-02 2021-04-15 3456 0.07057023330533685 -0.7818310638902997 0.09026276463637509 0.40480133822934483 0.3759682202129277 0.4898560689824886 49.73921053443678 2483 1.4562392179413457 0.4874276620370371 -0.05794200587538522 2.648526183280227