getBacktestResults: Results of backtest

In Vitalic57/stratbuilder2pub: It Provides Tools to Create and Backtest Financial Models

Description

Returns model statistics, see details

Usage

getBacktestResults(this, paramset.label)

## S3 method for class 'modelStrategy'
getBacktestResults(this, paramset.label)

## S3 method for class 'list'
getBacktestResults(this, ...)

## S3 method for class 'modelPortfolio'
getBacktestResults(this, ...)

Arguments

this	modelStrategy
paramset.label	character, name of paramset
...	arguments to getBacktestResults.modelStrategy

Details

trades - Number of trade

trades.year - Average annual number of trades

long.trades - Number of long trade

short.trades - Number of short trade

long.acc - Long position accuracy

short.acc - Short position accuracy

total.acc - Position accuracy

max.loose - Max loose streak

max.win - Max win streak

return.ann - Average annual return

return.avg - Average annual return on capital employed

return.pos.drawdown - PnL/(max(money in pos) + max.drawdow), where max.drawdow -> https://en.wikipedia.org/wiki/Drawdown_(economics)

drawdown.money - max.drawdown/money_in_strategy

median - median(profit_in_trade/money_in_strategy)

in.pos - time_in_position/ all_time

in.pos.positive - (time_in_position where unrealized PnL > 0)/ time_in_position

days.in.pos.max - max number of days in position

days.in.pos.mean - mean number of days in position

days.out.pos.max - max number of days out of position

days.out.pos.mean - mean number of days out of position

sharpe.ann - sharpe coefficient https://en.wikipedia.org/wiki/Sharpe_ratio

sortino.ann - sortino coefficiet https://en.wikipedia.org/wiki/Sortino_ratio

maxMAE.money - Max absolute error in trade

profit.drawdown.year - PnL/max.drawdow

Value

data.frame

list of data.frames

list of data.frames

Vitalic57/stratbuilder2pub documentation built on Dec. 18, 2019, 2:56 a.m.