Backtesting Engine

Performance Metrics

All strategies are evaluated using the following metrics:

Sharpe Ratio

Risk-adjusted return measure. Higher is better. Formula: (Return - Risk-free rate) / Volatility

Total Return

Cumulative percentage return over the backtest period.

Maximum Drawdown

Largest peak-to-trough decline in portfolio value. Lower is better.

Win Rate

Percentage of profitable trades. Higher is better.

Calmar Ratio

Return divided by maximum drawdown. Higher is better.

Sortino Ratio

Similar to Sharpe but only considers downside volatility.

Implementation

Technology Stack

Python 3.11: Core language
pandas: Data manipulation and analysis
numpy: Numerical computing
yfinance: Market data fetching
ta-lib: Technical indicator calculations

Execution Flow

1. Load historical data from yfinance
2. Calculate technical indicators
3. Generate trading signals
4. Simulate order execution
5. Track portfolio performance
6. Calculate metrics
7. Export results to JSON

Overview

Key Features

Methodology

Data Requirements

Execution Logic

Trading Assumptions

Costs & Slippage

Position Sizing

Order Execution

Risk Management