Backtesting is indispensable for quantification, because the gradient research and analysis can only be carried out after the backtesting is completed, but what indicators need to be included in the backtesting report? Let me share the statistical indicators that I think are more meaningful, as well as the principles and significance of reference analysis.
Strategy rate of return: There is nothing to say about this part, it must be referred to, and this is also included in the annual ranking of fund managers.
Annualized rate of return: The rate of return is averaged annually according to the running time of the strategy.
Sharpe ratio: It reflects how many excess returns can be obtained for each downside risk assumed. This is a comprehensive reference index, and it is this index that many fund operators talk about.
Maximum retracement value/ratio: It reflects the maximum loss when extreme risks occur
Winning rate: This is generally used as a winning rate statistics for opening and closing a single transaction, and it is an important reference for some strategies that tend to have a higher trading frequency
Profit-loss ratio: A single profit-loss ratio is generally not used alone. It needs to be judged by combining the level of transaction frequency and the winning rate and other indicators. The profit-loss ratio can reflect the risk of investment and transaction profits.
Return-to-risk ratio (return-retraction ratio): This is also one of the indicators used to measure the overall performance of a strategy, reflecting the ability of the strategy to control risks and obtain return compensation. It can be combined with indicators such as maximum retracement and annualized rate of return to comprehensively score.
IC information coefficient: The correlation coefficient between the factor value on each cross-section and the return rate reflects the strength of the correlation.
Information ratio: The size of the excess return brought by unit risk. A high ratio indicates high excess return.
According to different needs, there may be other indicators, but no matter how good the report is, it needs to be realized by tools. When we do quantitative transactions, we must use quantitative transaction interfaces /tools, but the current mainstream tools are either too high or too high. The functions are not complete. In this case, you can actually try the quantitative trading interface. One interface can be used by multiple accounts, and the operation frequency will be faster than ordinary tools. (Example: multi-account order interface description)
Batch transactions are indispensable for quantification. When we choose tools, we can consider that multiple accounts can be operated, and the speed is relatively fast, so it will be more worry-free to use.