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fix: correct Sharpe/MaxDD/WinRate in direct factor eval (was computing on raw factor, now on strategy returns)

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TPTBusiness
2026-05-03 12:17:27 +02:00
parent e31963713b
commit 037f7ba7d2
3 changed files with 49 additions and 54 deletions
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scripts/predix_full_eval.py
+19 -13
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@@ -357,23 +357,29 @@ def evaluate_factor_full(factor: FactorInfo, full_data: pd.DataFrame,
ic = factor_val.loc[valid_idx].corr(forward_ret.loc[valid_idx])
rank_ic = factor_val.loc[valid_idx].corr(forward_ret.loc[valid_idx], method="spearman")
# Compute Sharpe
factor_mean = factor_val.loc[valid_idx].mean()
factor_std = factor_val.loc[valid_idx].std()
sharpe = factor_mean / factor_std if factor_std > 0 else 0
# Compute strategy returns from factor signal
signal = np.where(factor_val.loc[valid_idx] > 0, 1.0, -1.0)
strategy_ret = signal * forward_ret.loc[valid_idx]
bars_per_year = 252 * 1440
ann_factor = np.sqrt(bars_per_year / forward_return_bars)
# Sharpe: annualized mean/vol of strategy returns
ret_mean = strategy_ret.mean()
ret_std = strategy_ret.std()
sharpe = float(ret_mean / ret_std * ann_factor) if ret_std > 0 else 0.0
# Annualized return
ann_factor = np.sqrt(252 * 1440 / forward_return_bars)
annualized_return = float(factor_mean * ann_factor * 100)
annualized_return = float(ret_mean * bars_per_year / forward_return_bars * 100)
# Max drawdown
cum_perf = factor_val.loc[valid_idx].cumsum()
running_max = cum_perf.expanding().max()
drawdown = (cum_perf - running_max) / running_max.replace(0, np.nan)
max_drawdown = float(drawdown.min()) if len(drawdown) > 0 else 0
# Max drawdown on equity curve
equity = (1.0 + strategy_ret).cumprod()
running_max = equity.expanding().max()
drawdown = (equity - running_max) / running_max.replace(0, np.nan)
max_drawdown = float(drawdown.min()) if len(drawdown) > 0 else 0.0
# Win rate
win_rate = float((factor_val.loc[valid_idx] > 0).sum()) / len(valid_idx)
# Win rate: fraction of positive strategy returns
win_rate = float((strategy_ret > 0).sum()) / len(strategy_ret) if len(strategy_ret) > 0 else 0.0
return EvalResult(
factor_name=factor.factor_name,