Multi-Factor US Equity Strategy

Actual Performance / 实盘业绩 (Alpaca Paper Trading)

Live Positions / 实盘持仓

Backtest / 回测净值曲线

Simulated from 2016. Rebalance every 21 trading days, 10bps cost + 5bps slippage + Almgren-Chriss market impact (coeff=2.5). Subject to survivorship bias. 模拟回测，非真实收益。