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docs: update backtesting docs

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Matthias
2026-04-12 10:07:05 +02:00
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docs/backtesting.md
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@@ -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