# GRU+SAC Backtesting Performance Report

Report generated on: 2025-04-16 15:45:06.190054
Data range: 2025-03-06 15:23:00+00:00 to 2025-03-07 23:57:00+00:00
Total duration: 1 days 08:34:00

## Strategy Performance Metrics

* **Initial capital:** $10,000.00
* **Final portfolio value:** $9,859.25
* **Total return:** -1.41%
* **Annualized return:** -97.83%
* **Sharpe ratio (annualized):** -45.8767
* **Sortino ratio (annualized):** -51.2465
* **Volatility (annualized):** 8.35%
* **Maximum drawdown:** 1.50%
* **Total trades:** 623

## Buy and Hold Benchmark

* **Final value (B&H):** $9,658.75
* **Total return (B&H):** -3.41%

## Position & Prediction Analysis

* **Average absolute position size:** 0.0662
* **Position sign accuracy vs return:** 49.07%
* **Prediction sign accuracy vs return:** 48.92%
* **Prediction RMSE (on returns):** 0.004036

## Correlations

* **Prediction-Return correlation:** -0.0042
* **Prediction-Position correlation:** -0.4139
* **Uncertainty-Position Size correlation:** 1.0000

## Notes

* Transaction cost used: 0.0500% per position change value.
* GRU lookback period: 60 minutes.
* V6 features + return features used.
* Uncertainty estimated via MC Dropout standard deviation.
