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김재현
2026-08-02 05:15:36 +09:00
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research/original/results_kr/kr_cost_sensitivity.csv
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portfolio,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_three_equal_weight_cost_0.0007,kartsell_v11_original,0.0007,2007-01-02,2021-04-16,3544,0.08843891151457628,-0.5716770052082552,0.1547008375513705,0.22997459432990952,0.48937605043080074,0.7046018138046047,23.48384045817326,1205,10.595376581065544,0.7059560759969902,-0.03325317226219906,3.355727378208201
kr_three_equal_weight_cost_0.0007,kartsell_v12_candidate,0.0007,2007-01-02,2021-04-16,3544,0.10411762223906407,-0.5016815016302062,0.20753729587544184,0.19831218550035656,0.6065093618472281,0.8560847569525031,19.137907221578562,1050,1.4886259103104638,0.578875094055681,-0.028671499449612836,4.116439174159158
kr_three_equal_weight_cost_0.0015,kartsell_v11_original,0.0015,2007-01-02,2021-04-16,3544,0.07926049974261207,-0.57336133399058,0.13823830635903026,0.22994762920781084,0.451988067848426,0.650608938291938,24.22726196652991,1226,10.595376581065544,0.7059560759969902,-0.03328691758055112,2.9733467735439385
kr_three_equal_weight_cost_0.0015,kartsell_v12_candidate,0.0015,2007-01-02,2021-04-16,3544,0.10280399684556496,-0.5024897847827778,0.20458922740092372,0.19831128049128194,0.6004118630386361,0.8473037484677485,19.220444162042558,1050,1.4886259103104638,0.578875094055681,-0.028679139899051038,4.047022719393547
kr_three_equal_weight_cost_0.0030,kartsell_v11_original,0.003,2007-01-02,2021-04-16,3544,0.06225708596828161,-0.5765019704006571,0.10799110699485417,0.22990188837222586,0.381853957039464,0.5493861843422069,25.823678227040297,1272,10.595376581065544,0.7059560759969902,-0.033350190052461225,2.3698418043265104
kr_three_equal_weight_cost_0.0030,kartsell_v12_candidate,0.003,2007-01-02,2021-04-16,3544,0.10034491537550805,-0.5040019881294311,0.19909626894118282,0.19831064431321607,0.5889757524689004,0.8308974900023449,19.37638665156235,1051,1.4886259103104638,0.578875094055681,-0.02869371093975576,3.919993971879358
1 portfolio 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_three_equal_weight_cost_0.0007 kartsell_v11_original 0.0007 2007-01-02 2021-04-16 3544 0.08843891151457628 -0.5716770052082552 0.1547008375513705 0.22997459432990952 0.48937605043080074 0.7046018138046047 23.48384045817326 1205 10.595376581065544 0.7059560759969902 -0.03325317226219906 3.355727378208201
3 kr_three_equal_weight_cost_0.0007 kartsell_v12_candidate 0.0007 2007-01-02 2021-04-16 3544 0.10411762223906407 -0.5016815016302062 0.20753729587544184 0.19831218550035656 0.6065093618472281 0.8560847569525031 19.137907221578562 1050 1.4886259103104638 0.578875094055681 -0.028671499449612836 4.116439174159158
4 kr_three_equal_weight_cost_0.0015 kartsell_v11_original 0.0015 2007-01-02 2021-04-16 3544 0.07926049974261207 -0.57336133399058 0.13823830635903026 0.22994762920781084 0.451988067848426 0.650608938291938 24.22726196652991 1226 10.595376581065544 0.7059560759969902 -0.03328691758055112 2.9733467735439385
5 kr_three_equal_weight_cost_0.0015 kartsell_v12_candidate 0.0015 2007-01-02 2021-04-16 3544 0.10280399684556496 -0.5024897847827778 0.20458922740092372 0.19831128049128194 0.6004118630386361 0.8473037484677485 19.220444162042558 1050 1.4886259103104638 0.578875094055681 -0.028679139899051038 4.047022719393547
6 kr_three_equal_weight_cost_0.0030 kartsell_v11_original 0.003 2007-01-02 2021-04-16 3544 0.06225708596828161 -0.5765019704006571 0.10799110699485417 0.22990188837222586 0.381853957039464 0.5493861843422069 25.823678227040297 1272 10.595376581065544 0.7059560759969902 -0.033350190052461225 2.3698418043265104
7 kr_three_equal_weight_cost_0.0030 kartsell_v12_candidate 0.003 2007-01-02 2021-04-16 3544 0.10034491537550805 -0.5040019881294311 0.19909626894118282 0.19831064431321607 0.5889757524689004 0.8308974900023449 19.37638665156235 1051 1.4886259103104638 0.578875094055681 -0.02869371093975576 3.919993971879358