0.9.58 update

waditu · Aug 29, 2024 · 57c80b4 · 57c80b4
1 parent d939417
commit 57c80b4
Showing 1 changed file with 6 additions and 0 deletions.
diff --git a/czsc/traders/weight_backtest.py b/czsc/traders/weight_backtest.py
@@ -567,6 +567,12 @@ def backtest(self, n_jobs=1):
         short_rate = dfw[dfw["weight"] < 0].shape[0] / dfw.shape[0]
         stats.update({"多头占比": round(long_rate, 4), "空头占比": round(short_rate, 4)})
 
+        alpha = self.alpha.copy()
+        stats["与基准相关性"] = round(alpha["策略"].corr(alpha["基准"]), 4)
+        alpha_short = alpha[alpha["基准"] < 0].copy()
+        stats['与基准空头相关性'] = round(alpha_short["策略"].corr(alpha_short["基准"]), 4)
+        stats['品种数量'] = len(symbols)
+
         res["绩效评价"] = stats
         return res