Once a backtest is run, users can get the following data points to analyze their backtests and measure their quality.
1. Returns: Return on investment over the given time period.
2. Improvement over Market: Measures the returns of the strategy relative to market conditions
Market Improvement = Strategy Return-Market Return
3. Sharpe Ratio: Sharpe ratio is a measure for calculating the risk-adjusted return. It is the ratio of the expected return of investment (over risk-free rate) per unit of volatility or standard deviation
4. #of completed trades: A completed trade is when a strategy exits a previously entered position successfully
5. Annualized total return: An annualized total return is the geometric average amount of money earned by an investment each year over a given time period. It is calculated as a geometric average to show what an investor would earn over a period of time if the annual return was compounded
6. Total Net profit: Net profit made by the strategy in % terms. This is not the same as return.
Total Profit = Gross profit + Gross loss
7. Gross profit: Sum of % profit made in each profitable trade. Is always >=0
Gross Profit = Sum( % profit in each profitable trade)
8. Gross loss: Sum of % loss made in each loss-making trade. Is always <=0.
Gross Loss = Sum( % loss in each losing trade)
9. Profit factor: The profit factor is defined as the gross profit divided by the gross loss (including commissions) for the entire trading period. This performance metric relates the amount of profit per unit of risk, with values greater than one indicating a profitable system
Profit factor = Gross Profit / Gross Loss
10. %profitable: % of trades that were profitable
13. Avg Trade Net Profit: Average profit made in every trade
Avg Profit = Net Profit / # of trades
14. Avg profit on winning trade: Average profit made in every winning trade
Avg Win Profit= Gross Profit / # winning trades
15. Avg loss on losing trade: Average loss made in every losing trade
Avg Loss= Gross Loss/ # losing trades
16. Largest winning trade: Profit made in the largest winning trade
17. Largest losing trade: Loss made in the biggest losing trade
18. Max consecutive winning trades: Max number of consecutive winning trades by the strategy
19. Max consecutive losing trades: Max number of consecutive losing trades by the strategy
20. Trading period: The period over which strategy had an open position in the market
21. % time in market: % time the strategy has an open trade in the market
22. Max drawdown: The maximum drawdown metric refers to the "worst-case scenario" for a trading period. It measures the greatest distance, or loss, from a previous equity peak
23. Max drawdown period: The Max Drawdown Period is the maximum/longest amount of time an investment has seen between peaks i.e. the period over which max drawdown happens
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