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Metrics Module Documentation

The Metrics module provides functions for analyzing the outcomes of backtest runs within the trading strategy framework.

Resampling Trades

Using the Metrics.resample_trades function, trades can be resampled to a specified time frame. This aggregates the profit and loss (PnL) of each trade for every asset in the strategy over the given period.

In the example above, all trades are resampled to a daily resolution (1d), summing the PnL for each asset within the strategy.

Trade Balance Calculation

The Metrics.trades_balance function calculates the cumulative balance over time for a given time frame, using the cum_total column as a reference. This function relies on the prior resampling of trades through resample_trades.

Performance Metrics

The module includes implementations of common trading performance metrics such as Sharpe ratio (sharpe), Sortino ratio (sortino), Calmar ratio (calmar), and expectancy (expectancy).

Each of these functions calculates the respective metric over a daily time frame, with rfr representing the risk-free rate, which is an optional parameter for the Sharpe and Sortino ratios.

Multi-Metric Calculation

To calculate multiple metrics simultaneously, use the multi function. It allows for the normalization of results, ensuring metric values are constrained between 0 and 1.

The normalize option normalizes the metric values by dividing by a predefined constant and then clipping the results to the range [0, 1].

See Also