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Backtesting

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Filter:Backtesting

Category – Backtesting

Backtesting is a process that involves testing a trading strategy using historical data to evaluate its potential effectiveness. By simulating trades based on past market conditions, traders can assess how a strategy would have performed, refine it, and mitigate risk before applying it in real-time markets. Backtesting helps traders identify optimal parameters for their strategies, improve profitability, and better understand potential outcomes. It is an essential step in strategy development and risk management.

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DAILY RETURN

Daily Return measures the percentage change in value from the previous day’s close to the current day’s close, providing insights into daily performance trends.

CLOSE PRICE TODAY

Close Price Today represents the final trading price of an asset at the end of the current trading day, serving as a key metric for performance analysis.

CLOSE PRICE YESTERDAY

Close Price Yesterday represents the final trading price of an asset at the end of the previous trading day, providing a baseline for daily return calculations.

DOWNSIDE DEVIATION

Downside Deviation measures the standard deviation of negative returns below the risk-free rate or a target return, providing insights into downside risk.

RECOVERY DATETIME

Recovery Datetime captures the exact date and time when the price or value recovered to or exceeded the previous peak, using ISO 8601 format for precision.

SORTINO RATIO

Sortino Ratio measures risk-adjusted return by focusing on downside risk, comparing returns above a target or risk-free rate to the volatility of negative returns.

CALMAR RATIO

Calmar Ratio measures risk-adjusted return by comparing the annualized return to the maximum drawdown, providing insights into performance relative to worst-case losses. A higher Calmar Ratio indicates better performance relative to risk.

LARGEST WIN

Largest Win represents the highest monetary profit achieved in a transaction, trade, or portfolio, providing insights into peak performance.

LARGEST LOSS

Largest Loss represents the greatest monetary loss incurred in a transaction, trade, or portfolio, highlighting peak downside risk.

SMALLEST WIN

Smallest Win represents the smallest monetary profit achieved in a transaction, trade, or portfolio, providing insights into marginal gains.

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