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Performance of tested strategies
event_note 26.08.2019
Developers of trading strategies know that being able to compare the performance parameters of tested trading strategies is crucial. Trusted backtest is necessary. However, this is not a sufficient prerequisite for successful business strategy development. The second step is to diagnose the performance parameters of the tested trading strategy, thus interpreting the results obtained by the backtest. For these purposes, we have created our own simple and transparent application.
The reporting application delivers results such as cumulated yield, maximum drawdown, Sharpe Ratio, as well as the behavior of these variables for the underlying asset, thus creating the context of the strategy being developed. The performance variables that the postpro library calculates are shown below:
| Cummulative returns final | skew |
| Max drawdown strategy | kurtosis: |
| Max drawdown underlying | Nr of profit trades |
| Annual return strategy | Nr of loss trades |
| Annual return underlying | Risk reward ratio |
| Annual volatility strategy | Cummulative pnl final |
| Annual volatility underlying | Start cash |
| Calmar ratio | Gross profit |
| Omega ratio | Gross loss |
| Sharpe ratio | Profit factor |
| Sortino ratio | Avg. trade net profit |
| Excess sharpe | Avg. winning trade |
| Alpha | Avg. losing trade |
| Stability of timeseries | Largest winning trade |
| Tail ratio (calculated from percent cummulative) | Largest losing trade |
| value_at_risk | Percent profitable |
| conditional_value_at_risk | Shapiro P value |
If you are interested in using this library, please feel free to contact us. A sample report is available here.
