Nowadays it is pretty easy to generate backtesting reports, given portfolio returns. One of the popular packages in Python is the quantstats package. For example by using quantstats.reports.metrics(returns), one might get a ton of stats such as

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                           Strategy
-------------------------  ----------
Start Period               1997-01-02
End Period                 2021-03-29
Risk-Free Rate             0.0%
Time in Market             63.0%

Cumulative Return          27,109.20%
CAGR                     26.01%

Sharpe                     0.87
Prob. Sharpe Ratio         100.0%
Smart Sharpe               0.83
Sortino                    1.32
Smart Sortino              1.26
Sortino/√2                 0.94
Smart Sortino/√2           0.89
Omega                      1.22

Max Drawdown               -68.87%
Longest DD Days            1686
Volatility (ann.)          32.93%
Calmar                     0.38
Skew                       0.83
Kurtosis                   15.15

Expected Daily %           0.09%
Expected Monthly %         1.95%
Expected Yearly %          25.14%
Kelly Criterion            9.56%
Risk of Ruin               0.0%
Daily Value-at-Risk        -3.3%
Expected Shortfall (cVaR)  -3.3%

Max Consecutive Wins       9
Max Consecutive Losses     7
Gain/Pain Ratio            0.22
Gain/Pain (1M)             1.14

Payoff Ratio               1.06
Profit Factor              1.22
Common Sense Ratio         1.31
CPC Index                  0.69
Tail Ratio                 1.07
Outlier Win Ratio          6.92
Outlier Loss Ratio         3.35

MTD                        -5.79%
3M                         -15.16%
6M                         0.61%
YTD                        -12.67%
1Y                         56.73%
3Y (ann.)                  27.99%
5Y (ann.)                  22.92%
10Y (ann.)                 16.78%
All-time (ann.)            26.01%

Best Day                   31.88%
Worst Day                  -15.47%
Best Month                 34.55%
Worst Month                -21.14%
Best Year                  171.03%
Worst Year                 -27.47%

Avg. Drawdown              -5.38%
Avg. Drawdown Days         43
Recovery Factor            393.61
Ulcer Index                0.24
Serenity Index             53.65

Avg. Up Month              8.92%
Avg. Down Month            -5.94%
Win Days %                 53.43%
Win Month %                58.23%
Win Quarter %              67.39%
Win Year %                 64.0%

What do each of these metrics stand for ? Some of them are pretty obvious but a few might need an explanation

  • Start Period
  • End Period
  • Risk-Free Rate
  • Time in Market
  • Cumulative Return
  • CAGR
  • Sharpe
  • Prob. Sharpe Ratio
  • Smart Sharpe
  • Sortino
  • Smart Sortino
  • Sortino/√2
  • Smart Sortino/√2
  • Omega
  • Max Drawdown
  • Longest DD Days
  • Volatility (ann.)
  • Calmar
  • Skew
  • Kurtosis
  • Expected Daily %
  • Expected Monthly %
  • Expected Yearly %
  • Kelly Criterion
  • Risk of Ruin
  • Daily Value-at-Risk
  • Expected Shortfall (cVaR)
  • Max Consecutive Wins
  • Max Consecutive Losses
  • Gain/Pain Ratio
  • Gain/Pain (1M)
  • Payoff Ratio
  • Profit Factor
  • Common Sense Ratio
  • CPC Index
  • Tail Ratio
  • Outlier Win Ratio
  • Outlier Loss Ratio
  • MTD
  • 3M
  • 6M
  • YTD
  • 1Y
  • 3Y (ann.)
  • 5Y (ann.)
  • 10Y (ann.)
  • All-time (ann.)
  • Best Day
  • Worst Day
  • Best Month
  • Worst Month
  • Best Year
  • Worst Year
  • Avg. Drawdown
  • Avg. Drawdown Days
  • Recovery Factor
  • Ulcer Index
  • Serenity Index
  • Avg. Up Month
  • Avg. Down Month
  • Win Days %
  • Win Month %
  • Win Quarter %
  • Win Year %