Performance of tested strategies

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.

Michal Dufek