Backtesting Metrics

3
Votes
leohermoso since: 31 Jan 2016; 
 17 Aug 2019, 21:25
Backtesting Metrics

Hello Folks, 

I have to say that I am really impressed with the new version of ctrader and I want to congratulate you all! Amazing Job.  Every great job can be improved and I have some suggestions regarding backtesting reports.

Add The Following Metrics:

1 - Maximum Adverse Excursion (MAE) / Per Trade

2 - Maximum Favorable Excursion (MFE) / Per Trade

3 - Trade Duration ( I can calc this I know, but get all ready it's better, don't need to open Rstudio) / Per Trade

4 - This can be a little tricky but: I want to have the capability to mix the backtest results. For example, I tested 5 bots, or the same bot with 5 different parameters and saved the backtests results to a file( This need to be implemented too) and after this, I can load all the files in a single backtest file and get a new report. I am doing this using R.

5 - Average Drawdown / Whole Strategy

6 - Average Drawdown duration / Whole Strategy

7 - Average Drawdown recovery / Whole Strategy

8 - Max Leverage used during backtesting (Max lots I had opened while backtesting) / Whole Strategy

9 - Daily/monthly/annual Return/Standard deviation/Sharpe Ratio / Whole Strategy

10 - A PDF export of the report.

That's all folks! Tks 

svenissimo since: 14 Feb 2020; 
 14 Feb 2020, 17:58
RE:

leohermoso said:

Hello Folks, 

I have to say that I am really impressed with the new version of ctrader and I want to congratulate you all! Amazing Job.  Every great job can be improved and I have some suggestions regarding backtesting reports.

Add The Following Metrics:

1 - Maximum Adverse Excursion (MAE) / Per Trade

2 - Maximum Favorable Excursion (MFE) / Per Trade

3 - Trade Duration ( I can calc this I know, but get all ready it's better, don't need to open Rstudio) / Per Trade

+1 for the first 2/3 for sure.