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cluster.txt
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R用的原始处理数据：
multiple_deeplearning_extend
multiple_deeplearning
mutiple_extend_set是新的纯用来预测的数据集
multiple_dl_1_extend是结果
test_PL用来进行threshold的优化
python执行：
对于普通的DP算法，用的是train集合，valid用来自行停止，再用一遍valid用来做test set
test集合是运行的时候会进行的extend集合，不是读取weights另外进行预测的那种，结果是result_on_valid
后期
需要用python跑出来的result_on_valid结果和test_PL来对threshold作优化
然后把新的threshold放在新的_extend结果上
PL_800:
Cluster 1 :
Number 18.81683 %
P&L -1142.709
WinningRate 0.6674553
SharpRatio -0.1541263
TotalTrades 3129.878
P&L Contribution 18.26547 %
Cluster 2 :
Number 18.57118 %
P&L -1297.379
WinningRate 0.3953793
SharpRatio -0.09113226
TotalTrades 3119.421
P&L Contribution 20.46703 %
Cluster 3 :
Number 22.46733 %
P&L -1645.582
WinningRate 0.4825381
SharpRatio 0.1207902
TotalTrades 2613.344
P&L Contribution 31.40651 %
Cluster 4 :
Number 18.65848 %
P&L -736.9323
WinningRate 0.7386392
SharpRatio 0.08236808
TotalTrades 3239.233
P&L Contribution 11.68027 %
Cluster 5 :
Number 0.1575499 %
P&L -81609.6
WinningRate 0.506885
SharpRatio 0.0258633
TotalTrades 3686.732
P&L Contribution 10.92215 %
Cluster 6 :
Number 9.159192 %
P&L -932.9215
WinningRate 0.6163245
SharpRatio 0.00534382
TotalTrades 16130.12
P&L Contribution 7.258569 %
Multiple 1 : 39.2992 %
Multiple 2 : 39.60315 %
Multiple 3 : 35.09822 %
Multiple 4 : 39.48002 %
Multiple 5 : 98.73848 %
Multiple 6 : 57.05672 %
PL_1200:
Cluster 1 :
Number 8.425943 %
P&L -3756.199
WinningRate 0.5270326
SharpRatio 0.2566001
TotalTrades 4348.982
P&L Contribution 27.57238 %
Cluster 2 :
Number 0.1568885 %
P&L -81445.24
WinningRate 0.5061804
SharpRatio 0.02179398
TotalTrades 3673.025
P&L Contribution 11.13176 %
Cluster 3 :
Number 29.98237 %
P&L -883.6852
WinningRate 0.4222325
SharpRatio -0.006552953
TotalTrades 2583.827
P&L Contribution 23.08185 %
Cluster 4 :
Number 14.17658 %
P&L -1606.581
WinningRate 0.6229144
SharpRatio -0.2214624
TotalTrades 3318.717
P&L Contribution 19.84181 %
Cluster 5 :
Number 28.44404 %
P&L -503.0701
WinningRate 0.7143237
SharpRatio 0.03242724
TotalTrades 2958.972
P&L Contribution 12.46599 %
Cluster 6 :
Number 9.624036 %
P&L -704.4401
WinningRate 0.6271807
SharpRatio -0.01711882
TotalTrades 15999.03
P&L Contribution 5.906205 %
Multiple 1 : 52.16851 %
Multiple 2 : 98.33315 %
Multiple 3 : 23.4511 %
Multiple 4 : 39.3399 %
Multiple 5 : 24.43741 %
Multiple 6 : 48.78245 %
PL_1000:
Cluster 1 :
Number 11.65565 %
P&L -2303.976
WinningRate 0.6187114
SharpRatio 0.2227278
TotalTrades 3550.824
P&L Contribution 23.10286 %
Cluster 2 :
Number 30.50568 %
P&L -956.4109
WinningRate 0.4266599
SharpRatio 0.01774394
TotalTrades 2652.513
P&L Contribution 25.10016 %
Cluster 3 :
Number 25.17002 %
P&L -511.7926
WinningRate 0.7277709
SharpRatio -0.02204898
TotalTrades 2977.338
P&L Contribution 11.08227 %
Cluster 4 :
Number 9.177711 %
P&L -771.7526
WinningRate 0.6198781
SharpRatio -0.0009466178
TotalTrades 16206.92
P&L Contribution 6.093458 %
Cluster 5 :
Number 0.1870492 %
P&L -75745.61
WinningRate 0.5082744
SharpRatio 0.02534667
TotalTrades 3714.555
P&L Contribution 12.1889 %
Cluster 6 :
Number 12.78959 %
P&L -2038.764
WinningRate 0.5543374
SharpRatio -0.2288072
TotalTrades 3612.678
P&L Contribution 22.43235 %
Multiple 1 : 47.43625 %
Multiple 2 : 25.6413 %
Multiple 3 : 29.49213 %
Multiple 4 : 53.36145 %
Multiple 5 : 98.23643 %
Multiple 6 : 45.03529 %
PL_900
Cluster 1 :
Number 0.188372 %
P&L -75540.61
WinningRate 0.5088975
SharpRatio 0.02378623
TotalTrades 3725.275
P&L Contribution 12.16491 %
Cluster 2 :
Number 20.57898 %
P&L -1774.006
WinningRate 0.469887
SharpRatio 0.1293241
TotalTrades 2714.656
P&L Contribution 31.20981 %
Cluster 3 :
Number 21.61913 %
P&L -1156.823
WinningRate 0.4195438
SharpRatio -0.09069714
TotalTrades 2911.572
P&L Contribution 21.38047 %
Cluster 4 :
Number 9.278908 %
P&L -885.7206
WinningRate 0.6186925
SharpRatio 0.001393174
TotalTrades 16129.26
P&L Contribution 7.025961 %
Cluster 5 :
Number 16.86816 %
P&L -1098.084
WinningRate 0.6896147
SharpRatio -0.1641158
TotalTrades 3286.065
P&L Contribution 15.83491 %
Cluster 6 :
Number 20.17723 %
P&L -717.9351
WinningRate 0.7266034
SharpRatio 0.08569201
TotalTrades 3185.299
P&L Contribution 12.38394 %
Multiple 1 : 98.37235 %
Multiple 2 : 35.45109 %
Multiple 3 : 34.26503 %
Multiple 4 : 54.86365 %
Multiple 5 : 40.05951 %
Multiple 6 : 35.88935 %
PL_1100:
Cluster 1 :
Number 17.42229 %
P&L -1943.608
WinningRate 0.4358865
SharpRatio 0.1411563
TotalTrades 3008.59
P&L Contribution 29.3167 %
Cluster 2 :
Number 23.95116 %
P&L -727.7923
WinningRate 0.7055529
SharpRatio 0.08486277
TotalTrades 2999.436
P&L Contribution 15.09159 %
Cluster 3 :
Number 25.78302 %
P&L -1105.885
WinningRate 0.4523726
SharpRatio -0.09151725
TotalTrades 2710.68
P&L Contribution 24.68565 %
Cluster 4 :
Number 13.84825 %
P&L -1001.017
WinningRate 0.7305498
SharpRatio -0.184595
TotalTrades 3926.446
P&L Contribution 12.00155 %
Cluster 5 :
Number 0.1878429 %
P&L -75602.3
WinningRate 0.5092324
SharpRatio 0.02443157
TotalTrades 3722.593
P&L Contribution 12.29506 %
Cluster 6 :
Number 8.992646 %
P&L -848.9394
WinningRate 0.6169766
SharpRatio 0.00448447
TotalTrades 16384.86
P&L Contribution 6.609449 %
Multiple 1 : 36.02793 %
Multiple 2 : 29.04957 %
Multiple 3 : 27.55718 %
Multiple 4 : 41.53809 %
Multiple 5 : 98.14409 %
Multiple 6 : 52.18394 %