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Hello everyone, I am new here and trying to write new strategies. I am a good computer engineering student working on robotics now, but I want to see the opportunities(money) in the financial fields.
Currently, I am trading in my home country(non-US/non-EU) daily from open price to open price like a swing trader with my algorithmic signals. Yesterday I have converted my strategy and uploaded it to QuantConnect.
However, I do not know anything about the backtesting metrics. I am using S&P500 companies(505 stocks) with 0.01% of the portfolio and trying 2019(1y period) with 2015-2019(5y period). I have 2 different working strategies with a difference of a single variable.
Can you tell me what the metrics are saying?
Derek Melchin
Hi Ozan,
Several of the metrics on our backtest view page have been defined in our documentation and discussion threads. Below, I direct you to the appropriate pages for these and provide an explanation for the remaining metrics.
Direction Score, Magnitude Score, Estimated Alpha Value, and Insight Confidence: Explained in our documentation.
Probabilistic Sharpe Ratio (PSR): “The probability that the estimated Sharpe ratio is greater than a chosen benchmark” [see discussion thread].
Unrealized: The unrealized profit-and-loss of the strategy.
Fees: The costs incurred by trading the strategy.
Net Profit: Net profit of trading the strategy
Return: Return on investment from trading the strategy.
Equity: Total value of cash and held assets.
Holdings: Total value held assets.
Volume: Cumulative value of traded assets.
Best,
Derek
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.
Anderson Wang
Derek Melchin ,
Thank you for your info above!
Is there any chance that you can update the link in your response? The link below points to the post itself instead of your documentation.
Direction Score, Magnitude Score, Estimated Alpha Value, and Insight Confidence: Explained in our documentation.
Anderson Wang
I believe the link should point to the link below, in case anyone is interested.
Sanju
Does net profit include the unrealized P&L
Ozan Şelte
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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