diff --git a/docs/backtesting.md b/docs/backtesting.md index 5c758880b..00776ed66 100644 --- a/docs/backtesting.md +++ b/docs/backtesting.md @@ -421,16 +421,14 @@ It contains key metrics about the performance of your strategy on backtesting da - `Total profit %`: Total profit. Aligned to the `TOTAL` row's `Tot Profit %` from the first table. Calculated as `(End capital − Starting capital) / Starting capital`. - `CAGR %`: Compound annual growth rate. - `Sharpe (closed trades)`: Annualized Sharpe ratio including only closed trades (ignoring open trades with profits or losses). -- `Sharpe (wallet balance)` Annualized Sharpe ratio calculation but including unrealized profits. - `Sortino (closed trades)`: Annualized Sortino ratio including only closed trades (ignoring open trades with profits or losses). -- `Sortino (wallet balance)` Annualized Sortino ratio calculation but including unrealized profits. - `Calmar (closed trades)`: Annualized Calmar ratio including only closed trades (ignoring open trades with profits or losses). -- `Calmar (wallet balance)` Annualized Calmar ratio calculation but including unrealized profits. - `SQN`: System Quality Number (SQN) - by Van Tharp. - `Profit factor`: Sum of the profits of all winning trades divided by the sum of the losses of all losing trades. - `Expectancy (Ratio)`: Expectancy ratio, which is the average profit or loss per trade. A negative expectancy ratio means that your strategy is not profitable. - `Avg. daily profit`: Average profit per day, calculated as `(Total Profit / Backtest Days)`. - `Avg. stake amount`: Average stake amount, either `stake_amount` or the average when using dynamic stake amount. +- `Market change`: Change of the market during the backtest period. Calculated as the average of all pairs' changes from the first to the last candle using the "close" column. - `Total trade volume`: Volume generated on the exchange to reach the above profit. - `Long / Short trades`: Split long/short trade counts (only shown when short trades were made). - `Long / Short profit %`: Profit percentage for long and short trades (only shown when short trades were made). @@ -445,15 +443,20 @@ It contains key metrics about the performance of your strategy on backtesting da - `Rejected Entry signals`: Trade entry signals that could not be acted upon due to `max_open_trades` being reached. - `Entry/Exit Timeouts`: Entry/exit orders which did not fill (only applicable if custom pricing is used). - `Min/Max balance (closed trades)`: Lowest and Highest Wallet balance during the backtest period based on closed trades trades. -- `Min/Max balance (wallet balance)`: Lowest and Highest Wallet balance during the backtest period - including capital tied in open trades. -- `Min/Max balance dates (wallet balance)`: Dates when the minimum and maximum unrealized balance occurred. - `Max % of account underwater`: Maximum percentage your account has decreased from the top since the simulation started. Calculated as the maximum of `(Max Balance - Current Balance) / (Max Balance)`. - `Absolute drawdown`: Maximum absolute drawdown experienced, including percentage relative to the account calculated as `(Absolute Drawdown) / (DrawdownHigh + startingBalance)`.. - `Absolute drawdown (wallet balance)`: Maximum absolute drawdown experienced based on the unrealized balance, including percentage relative to the account calculated as `(Absolute Drawdown) / (DrawdownHigh + startingBalance)`. - `Drawdown duration`: Duration of the largest drawdown period. - `Profit at drawdown start` / `Profit at drawdown end`: Profit at the beginning and end of the largest drawdown period. - `Drawdown start` / `Drawdown end`: Start and end datetime for the largest drawdown (can also be visualized via the `plot-dataframe` sub-command). -- `Market change`: Change of the market during the backtest period. Calculated as the average of all pairs' changes from the first to the last candle using the "close" column. +- `Min/Max balance (wallet balance)`: Lowest and Highest Wallet balance during the backtest period - including capital tied in open trades. +- `Min/Max balance dates (wallet balance)`: Dates when the minimum and maximum unrealized balance occurred. +- `Sharpe (wallet balance)` Annualized Sharpe ratio calculation including unrealized profits. +- `Sortino (wallet balance)` Annualized Sortino ratio calculation including unrealized profits. +- `Calmar (wallet balance)` Annualized Calmar ratio calculation including unrealized profits. + +!!! Tip "Wallet based Metrics" + The metrics under the "Wallet based Metrics" section are calculated based on the unrealized balance, which includes the capital tied in open trades. This provides a more comprehensive view of the strategy's performance, as it accounts for both realized and unrealized profits and losses. ### Daily / Weekly / Monthly / Yearly breakdown