backtest_metrics: Calculate Comprehensive Backtest Metrics
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backtest_metrics

R Documentation

Calculate Comprehensive Backtest Metrics

Description

Computes performance metrics including Sharpe ratio, maximum drawdown, win rate, and other statistics from backtest results.

Usage

backtest_metrics(result)

Arguments

result

Backtest result object from run_backtest()

Value

List containing performance metrics

Examples

# Create a backtest result to use
data(sample_prices_weekly)
momentum <- calc_momentum(sample_prices_weekly, lookback = 12)
selected <- filter_top_n(momentum, n = 10)
weights <- weight_equally(selected)
result <- run_backtest(sample_prices_weekly, weights)

# Calculate metrics
metrics <- backtest_metrics(result)
print(metrics$sharpe_ratio)

PortfolioTesteR documentation built on Nov. 5, 2025, 5:23 p.m.