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Hey guys, could someone quickly explain to me what these numbers mean? I'm trying to figure out the total value of the backtest to compare with another.
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Varad Kabade
Hi DAVID CUTHBERTSON,
1.Probabilistic Sharpe Ratio (PSR): “The probability that the estimated Sharpe ratio is greater than a chosen benchmark” [see discussion thread].
2.Unrealized: The unrealized profit-and-loss of the strategy.
3.Fees: The costs incurred by trading the strategy.
4.Net Profit: Net profit of trading the strategy.
5.Return: Return on investment from trading the strategy.
6.Equity: Total value of cash and held assets.
7.Holdings: Total value held assets.
I suggest you go through this thread to learn more about other metrics in backtest view page.
Best,
Varad Kabade
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.
DAVID CUTHBERTSON
Hey Varad, would this mean that the total value of the backtest would be Net Profit + Equity + Holdings - Fees?
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.
Varad Kabade
Hi DAVID CUTHBERTSON,
To calculate the total value of backtest/Portfolio value of algorithm that only trades securities of the equity-type:
Equity = Holdings - Fees + Cash.
For Forex and Crypto, we take into account the cash book for calculations.
Best,
Varad kabade
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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