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Strategy-Centric Trading Basic Backtesting Metrics
1 min read

Backtesting Metrics Overview

Backtesting is a crucial process for traders and investors to assess the performance of their strategies using historical market data. To effectively measure the success of a strategy, it is essential to utilize various backtesting metrics.

In this article, we provide a brief overview of several backtesting metrics. By understanding these metrics, traders can make more informed decisions when developing and implementing their trading approaches.

Backtesting Metrics

The following backtesting metrics are offered by TrendSpider’s Strategy Tester. For more detailed information about each metric, please visit the provided links.

Basic Backtesting Metrics:

  1. Net Performance
  2. Positions
  3. Wins
  4. Win Streak, avg
  5. Win Streak, max
  6. Losses
  7. Loss Streak, avg
  8. Loss Streak, max
  9. Max Drawdown
  10. Average Win
  11. Average Loss
  12. Average Return
  13. Reward-to-Risk Ratio
  14. Average Length
  15. Trades/Day
  16. Trades/Month

Advanced Backtesting Metrics:

  1. Beta (vs Asset)
  2. Loss Standard Deviation
  3. Return Standard Deviation
  4. Expectancy
  5. Exposure
  6. Max Drawdown (Asset)
  7. Sharpe (90 days)
  8. Sortino (90 days)

CAGR Metrics:

  1. CAGR, 2 years
  2. CAGR, 3 years
  3. CAGR, 4 years
  4. CAGR, 5 years

Net Performance Metrics:

  1. Net Performance, 1 month
  2. Net Performance, 3 months
  3. Net Performance, 6 months
  4. Net Performance, 1 year
  5. Net Performance, 2 years
  6. Net Performance, 3 years
  7. Net Performance, 4 years
  8. Net Performance, 5 years
  9. Net Performance, all

Volatility Metrics:

  1. Realized Volatility (asset 90 days)
  2. Realized Volatility (asset)
  3. Realized Volatility (strategy 90 days)
  4. Realized Volatility (strategy)

The Bottom Line

In conclusion, understanding and utilizing backtesting metrics is essential for evaluating the performance and effectiveness of trading strategies. TrendSpider’s Strategy Tester offers a range of these metrics, empowering traders to make informed decisions and optimize their approaches. By leveraging these metrics, traders can enhance their chances of success in the dynamic world of trading.

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