Backtest Results & Metrics

This document details the performance metrics in AKQuant backtest results (metrics_df), including their meanings, units, and calculation methods.

Metrics Overview

Name	Description	Unit/Type	Calculation
start_time	Backtest Start Time	Datetime	Time of the first bar.
end_time	Backtest End Time	Datetime	Time of the last bar.
duration	Backtest Duration	Timedelta	end_time - start_time.
total_bars	Total Bars	Int	Total number of bars in backtest.
trade_count	Trade Count	Int	Total number of closed trades (Round-trip).
initial_market_value	Initial Market Value	Float	Initial capital (usually Cash).
end_market_value	End Market Value	Float	Total asset value at the end (Cash + Position Value).
total_pnl	Total PnL	Float	end_market_value - initial_market_value.
unrealized_pnl	Unrealized PnL	Float	Floating PnL of open positions at the end.
total_return_pct	Total Return	%	(End MV - Initial MV) / Initial MV * 100.
annualized_return	Annualized Return	Ratio	(1 + Total Return)^(1/Years) - 1.
volatility	Annualized Volatility	Ratio	Return Std Dev * sqrt(252).
total_profit	Total Profit	Float	Sum of profits from winning trades.
total_loss	Total Loss	Float	Sum of losses from losing trades.
total_commission	Total Commission	Float	Total commission paid.
max_drawdown	Max Drawdown	Ratio	Max drawdown magnitude (e.g., 0.1 for 10%).
max_drawdown_value	Max Drawdown Value	Float	Absolute value of max drawdown.
max_drawdown_pct	Max Drawdown %	%	max_drawdown * 100.
win_rate	Win Rate	%	Winning Trades / Total Trades * 100.
loss_rate	Loss Rate	%	Losing Trades / Total Trades * 100.
winning_trades	Winning Trades	Int	Count of trades with PnL > 0.
losing_trades	Losing Trades	Int	Count of trades with PnL < 0.
avg_pnl	Avg PnL	Float	Average net PnL per trade.
avg_return_pct	Avg Return %	%	Average return percentage per trade.
avg_trade_bars	Avg Trade Bars	Float	Average bars held per trade.
avg_profit	Avg Profit	Float	Average profit of winning trades.
avg_profit_pct	Avg Profit %	%	Average return of winning trades.
avg_winning_trade_bars	Avg Win Trade Bars	Float	Average bars held for winning trades.
avg_loss	Avg Loss	Float	Average loss of losing trades.
avg_loss_pct	Avg Loss %	%	Average return of losing trades.
avg_losing_trade_bars	Avg Loss Trade Bars	Float	Average bars held for losing trades.
largest_win	Largest Win	Float	Max profit in a single trade.
largest_win_pct	Largest Win %	%	Max return in a single trade.
largest_win_bars	Largest Win Bars	Float	Duration (bars) of the largest win trade.
largest_loss	Largest Loss	Float	Max loss in a single trade.
largest_loss_pct	Largest Loss %	%	Max loss rate in a single trade.
largest_loss_bars	Largest Loss Bars	Float	Duration (bars) of the largest loss trade.
max_wins	Max Consecutive Wins	Int	Max number of consecutive winning trades.
max_losses	Max Consecutive Losses	Int	Max number of consecutive losing trades.
sharpe_ratio	Sharpe Ratio	Ratio	(Ann. Return - Risk Free) / Ann. Volatility.
sortino_ratio	Sortino Ratio	Ratio	(Ann. Return - Risk Free) / Downside Volatility.
profit_factor	Profit Factor	Ratio	Total Profit / abs(Total Loss).
ulcer_index	Ulcer Index	Ratio	Measure of drawdown depth and duration.
upi	Ulcer Performance Index	Ratio	(Ann. Return - Risk Free) / Ulcer Index.
equity_r2	Equity R²	Ratio	Linear regression fit of equity curve (0-1).
std_error	Standard Error	Float	Standard error of equity curve regression.
calmar_ratio	Calmar Ratio	Ratio	Annualized Return / Max Drawdown.
exposure_time_pct	Exposure Time %	%	Percentage of time with open positions.
var_95	VaR 95%	Ratio	Value at Risk at 95% confidence (daily).
var_99	VaR 99%	Ratio	Value at Risk at 99% confidence (daily).
cvar_95	CVaR 95%	Ratio	Conditional VaR at 95% (Expected Shortfall).
cvar_99	CVaR 99%	Ratio	Conditional VaR at 99% (Expected Shortfall).
sqn	SQN	Float	System Quality Number.
kelly_criterion	Kelly Criterion	Ratio	Win Rate - (Loss Rate / Profit Factor).

Key Metrics Explained

Risk Metrics

• Max Drawdown: Measures the worst-case scenario. E.g., 30% means buying at the peak results in a 30% loss at the trough.
• Volatility: Measures uncertainty of returns. Higher volatility means larger price swings.
• VaR & CVaR:
  • VaR (Value at Risk): Max expected loss over a day at a given confidence level (e.g., 95%).
  • CVaR (Conditional VaR): Average loss exceeding VaR (Expected Shortfall).

Risk-Reward Metrics

• Sharpe Ratio: Excess return per unit of total risk. >1 is good, >2 is excellent.
• Sortino Ratio: Similar to Sharpe but considers only downside volatility.
• Calmar Ratio: Annualized Return / Max Drawdown.
• SQN: System Quality Number. Measures system stability.
• Kelly Criterion: Optimal position size based on win rate and payoff ratio.

Trades

result.trades_df contains details of every closed trade.

Name	Description	Unit/Type	Calculation
symbol	Symbol	String	Trading symbol.
entry_time	Entry Time	Datetime	Time of entry.
exit_time	Exit Time	Datetime	Time of exit.
entry_price	Entry Price	Float	Average entry price.
exit_price	Exit Price	Float	Average exit price.
quantity	Quantity	Float	Traded quantity.
side	Side	String	long or short.
pnl	Gross PnL	Float	PnL before commission.
net_pnl	Net PnL	Float	pnl - commission.
return_pct	Return	Float	Trade return (decimal).
commission	Commission	Float	Commission paid.
duration_bars	Duration (Bars)	Int	Number of bars held.
duration	Duration	Timedelta	exit_time - entry_time.

Orders

result.orders_df contains all order history.

Name	Description	Unit/Type	Calculation
id	Order ID	String	Unique identifier.
symbol	Symbol	String	Trading symbol.
side	Side	String	buy or sell.
order_type	Type	String	market, limit, stop.
quantity	Quantity	Float	Order quantity.
filled_quantity	Filled Qty	Float	Executed quantity.
limit_price	Limit Price	Float	Price for limit orders.
stop_price	Stop Price	Float	Trigger price for stop orders.
avg_price	Avg Price	Float	Average execution price.
commission	Commission	Float	Commission paid.
status	Status	String	filled, cancelled, rejected, etc.
time_in_force	TIF	String	gtc, day, ioc, etc.
created_at	Created At	Datetime	Creation time.

Positions

result.positions_df contains daily (or per-bar) position snapshots.

Name	Description	Unit/Type	Calculation
date	Date	Datetime	Snapshot time.
symbol	Symbol	String	Trading symbol.
long_shares	Long Shares	Float	Long position quantity.
short_shares	Short Shares	Float	Short position quantity.
close	Close Price	Float	Closing price.
equity	Equity	Float	Total account equity.
market_value	Market Value	Float	Market value of positions.
margin	Margin	Float	Margin used.
unrealized_pnl	Unrealized PnL	Float	Floating PnL.