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Sorry this isn't about a particular strategy. When a backtest is "too large to be visualized in a web browser", what is the simplest way to process the downloaded Json file to get the results (sharpe, etc). The REST API? Looked like the QCStudioPlugin on GitHub might be the right thing to use, but I noticed it is obsolete.
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Stephen Oehler
Marc Nunes
Jared Broad
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
Marc Nunes
Marc Nunes
Stefano Raggi
Marc Nunes
AccessDeniedMarc Nunes
Marc Nunes
On another backtest, the following popped out:
"TotalPerformance": {
"PortfolioStatistics": {
"AverageWinRate": 0.0001810091159595681428710814,
"AverageLossRate": -0.00006255633201391102503542,
"ProfitLossRatio": 2.8935378743004955127604226843,
"WinRate": 0.7410780669144981412639405204,
"LossRate": 0.2589219330855018587360594796,
"Expectancy": 1.8854155213449954664267295988,
"CompoundingAnnualReturn": 0.549470042765186,
"Drawdown": 0.164,
"TotalNetProfit": 0.59601050762,
"SharpeRatio": 1.8082411511951073875973547271,
"Alpha": 0.4683423400262419205155246931,
"Beta": -0.0373557036174521,
"AnnualStandardDeviation": 0.26008345895375,
"AnnualVariance": 0.067643405621346744,
"InformationRatio": 1.6917951309870541112841434756,
"TrackingError": 0.308860423267392,
"TreynorRatio": -12.589606611120538135495412176
},
It is showing a drawdown of 16.4%. on the other hand, when I extracted every single ProfitLoss Record and graphed it, it wasn't showing a drawdown of that size. In fact the cumulative PL curve derived from the ProfitLoss was very smooth (looking more like 4+ sharpe level smooth). any thoughts on this?
Marc Nunes
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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