# Backtest Management

## Create Backtest

### Request

Create a new backtest given a project Id and compile Id. The `/backtests/create`

API accepts requests in the following format:

`CreateBacktestRequest` Model - Request to create a new backtest. | |
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projectId | `integer` Project Id we sent for compile. |

compileId | `string` Compile Id for the project to backtest. |

backtestName | `string` Name for the new backtest. |

Example |
{ "projectId": 0, "compileId": "string", "backtestName": "string" } |

### Responses

The `/backtests/create`

API provides a response in the following format:

#### 200 Success

`BacktestResponse` Model - Collection container for a list of backtests for a project. | |
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backtest | `BacktestResult Array` Collection of backtests for a project. |

debugging | `boolean` Indicates if the backtest is run under debugging mode. |

success | `boolean` Indicate if the API request was successful. |

errors | `string Array` List of errors with the API call. |

Example |
{ "backtest": [ { "note": "string", "name": "string", "organizationId": 0, "projectId": 0, "completed": true, "optimizationId": "string", "backtestId": "string", "tradeableDates": 0, "researchGuide": { "minutes": 0, "backtestCount": 0, "parameters": 0 }, "backtestStart": "2021-11-26T15:18:27.693Z", "backtestEnd": "2021-11-26T15:18:27.693Z", "created": "2021-11-26T15:18:27.693Z", "snapshotId": 0, "status": "Completed.", "error": "string", "stacktrace": "string", "progress": 0, "hasInitializeError": true, "charts": { "Chart Name": { "name": "string" }, "Chart Name 2": { "name": "string" } }, "parameterSet": { "name": "string", "value": 0 }, "rollingWindow": { "tradeStatistics": { "startDateTime": "2021-11-26T15:18:27.693Z", "endDateTime": "2021-11-26T15:18:27.693Z", "totalNumberOfTrades": 0, "numberOfWinningTrades": 0, "numberOfLosingTrades": 0, "totalProfitLoss": 0, "totalProfit": 0, "totalLoss": 0, "largestProfit": 0, "largestLoss": 0, "averageProfitLoss": 0, "averageProfit": 0, "averageLoss": 0, "averageTradeDuration": "string", "averageWinningTradeDuration": "string", "averageLosingTradeDuration": "string", "medianTradeDuration": "string", "medianWinningTradeDuration": "string", "medianLosingTradeDuration": "string", "maxConsecutiveWinningTrades": 0, "maxConsecutiveLosingTrades": 0, "profitLossRatio": 0, "winLossRatio": 0, "winRate": 0, "lossRate": 0, "averageMAE": 0, "averageMFE": 0, "largestMAE": 0, "largestMFE": 0, "maximumClosedTradeDrawdown": 0, "maximumIntraTradeDrawdown": 0, "profitLossStandardDeviation": 0, "profitLossDownsideDeviation": 0, "profitFactor": 0, "sharpeRatio": 0, "sortinoRatio": 0, "profitToMaxDrawdownRatio": 0, "maximumEndTradeDrawdown": 0, "averageEndTradeDrawdown": 0, "maximumDrawdownDuration": "string", "totalFees": 0 }, "portfolioStatistics": { "averageWinRate": 0, "averageLossRate": 0, "profitLossRatio": 0, "winRate": 0, "lossRate": 0, "expectancy": 0, "startEquity": 0, "endEquity": 0, "compoundingAnnualReturn": 0, "drawdown": 0, "totalNetProfit": 0, "sharpeRatio": 0, "probabilisticSharpeRatio": 0, "sortinoRatio": 0, "alpha": 0, "beta": 0, "annualStandardDeviation": 0, "annualVariance": 0, "informationRatio": 0, "trackingError": 0, "treynorRatio": 0, "portfolioTurnover": 0, "valueAtRisk99": 0, "valueAtRisk95": 0 }, "closedTrades": [ { "symbol": { "value": "string", "id": "string", "permtick": "string" }, "entryTime": "2021-11-26T15:18:27.693Z", "entryPrice": 0, "direction": "Long", "quantity": 0, "exitTime": "2021-11-26T15:18:27.693Z", "exitPrice": 0, "profitLoss": 0, "totalFees": 0, "mae": 0, "mfe": 0, "duration": "string", "endTradeDrawdown": 0 } ] }, "runtimeStatistics": { "Equity": "$100.00", "Fees": "-$100.00", "Holdings": "$100.00", "Net Profit": "$100.00", "Probabilistic Sharpe Ratio": "50.00%", "Return": "50.00%", "Unrealized": "$100.00", "Volume": "$100.00" }, "statistics": { "Total Orders": "string", "Average Win": "string", "Average Loss": "string", "Compounding Annual Return": "string", "Drawdown": "string", "Expectancy": "string", "Start Equity": "string", "End Equity": "string", "Net Profit": "string", "Sharpe Ratio": "string", "Sortino Ratio": "string", "Probabilistic Sharpe Ratio": "string", "Loss Rate": "string", "Win Rate": "string", "Profit-Loss Ratio": "string", "Alpha": "string", "Beta": "string", "Annual Standard Deviation": "string", "Annual Variance": "string", "Information Ratio": "string", "Tracking Error": "string", "Treynor Ratio": "string", "Total Fees": "string", "Estimated Strategy Capacity": "string", "Lowest Capacity Asset": "string", "Portfolio Turnover": "string" }, "totalPerformance": { "tradeStatistics": { "startDateTime": "2021-11-26T15:18:27.693Z", "endDateTime": "2021-11-26T15:18:27.693Z", "totalNumberOfTrades": 0, "numberOfWinningTrades": 0, "numberOfLosingTrades": 0, "totalProfitLoss": 0, "totalProfit": 0, "totalLoss": 0, "largestProfit": 0, "largestLoss": 0, "averageProfitLoss": 0, "averageProfit": 0, "averageLoss": 0, "averageTradeDuration": "string", "averageWinningTradeDuration": "string", "averageLosingTradeDuration": "string", "medianTradeDuration": "string", "medianWinningTradeDuration": "string", "medianLosingTradeDuration": "string", "maxConsecutiveWinningTrades": 0, "maxConsecutiveLosingTrades": 0, "profitLossRatio": 0, "winLossRatio": 0, "winRate": 0, "lossRate": 0, "averageMAE": 0, "averageMFE": 0, "largestMAE": 0, "largestMFE": 0, "maximumClosedTradeDrawdown": 0, "maximumIntraTradeDrawdown": 0, "profitLossStandardDeviation": 0, "profitLossDownsideDeviation": 0, "profitFactor": 0, "sharpeRatio": 0, "sortinoRatio": 0, "profitToMaxDrawdownRatio": 0, "maximumEndTradeDrawdown": 0, "averageEndTradeDrawdown": 0, "maximumDrawdownDuration": "string", "totalFees": 0 }, "portfolioStatistics": { "averageWinRate": 0, "averageLossRate": 0, "profitLossRatio": 0, "winRate": 0, "lossRate": 0, "expectancy": 0, "startEquity": 0, "endEquity": 0, "compoundingAnnualReturn": 0, "drawdown": 0, "totalNetProfit": 0, "sharpeRatio": 0, "probabilisticSharpeRatio": 0, "sortinoRatio": 0, "alpha": 0, "beta": 0, "annualStandardDeviation": 0, "annualVariance": 0, "informationRatio": 0, "trackingError": 0, "treynorRatio": 0, "portfolioTurnover": 0, "valueAtRisk99": 0, "valueAtRisk95": 0 }, "closedTrades": [ { "symbol": { "value": "string", "id": "string", "permtick": "string" }, "entryTime": "2021-11-26T15:18:27.693Z", "entryPrice": 0, "direction": "Long", "quantity": 0, "exitTime": "2021-11-26T15:18:27.693Z", "exitPrice": 0, "profitLoss": 0, "totalFees": 0, "mae": 0, "mfe": 0, "duration": "string", "endTradeDrawdown": 0 } ] }, "nodeName": "string", "outOfSampleMaxEndDate": "2021-11-26T15:18:27.693Z", "outOfSampleDays": 0 } ], "debugging": true, "success": true, "errors": [ "string" ] } |

`BacktestResult` Model - Results object class. Results are exhaust from backtest or live algorithms running in LEAN. | |
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note | `string` Note on the backtest attached by the user. |

name | `string` Name of the backtest. |

organizationId | `integer` Organization ID. |

projectId | `integer` Project ID. |

completed | `boolean` Boolean true when the backtest is completed. |

optimizationId | `string` Optimization task ID, if the backtest is part of an optimization. |

backtestId | `string` Assigned backtest ID. |

tradeableDates | `integer` Number of traadeable days. |

researchGuide | `ResearchGuide object` A power gauge for backtests, time and parameters to estimate the overfitting risk. |

backtestStart | `string($date-time)` The starting time of the backtest. |

backtestEnd | `string($date-time)` The ending time of the backtest. |

created | `string($date-time)` Backtest creation date and time. |

snapshotId | `integer` Snapshot id of this backtest result. |

status | `string Enum` Status of the backtest. Options : ['Completed.', 'In Queue...', "'Running: _%'"] |

error | `string` Backtest error message. |

stacktrace | `string` Backtest error stacktrace. |

progress | `number` Progress of the backtest in percent 0-1. |

hasInitializeError | `boolean` Indicates if the backtest has error during initialization. |

charts | `ChartSummary object` Charts updates for the live algorithm since the last result packet. |

parameterSet | `ParameterSet object` Parameters used in the backtest. |

rollingWindow | `AlgorithmPerformance object` Rolling window detailed statistics. |

runtimeStatistics | `RuntimeStatistics object` Runtime banner/updating statistics in the title banner of the live algorithm GUI. |

statistics | `StatisticsResult object` Statistics information sent during the algorithm operations. |

totalPerformance | `AlgorithmPerformance object` The algorithm performance statistics. |

nodeName | `string` The backtest node name. |

outOfSampleMaxEndDate | `string($date-time)` End date of out of sample data. |

outOfSampleDays | `integer` Number of days of out of sample days. |

Example |
{ "note": "string", "name": "string", "organizationId": 0, "projectId": 0, "completed": true, "optimizationId": "string", "backtestId": "string", "tradeableDates": 0, "researchGuide": { "minutes": 0, "backtestCount": 0, "parameters": 0 }, "backtestStart": "2021-11-26T15:18:27.693Z", "backtestEnd": "2021-11-26T15:18:27.693Z", "created": "2021-11-26T15:18:27.693Z", "snapshotId": 0, "status": "Completed.", "error": "string", "stacktrace": "string", "progress": 0, "hasInitializeError": true, "charts": { "name": "string" }, "parameterSet": { "name": "string", "value": 0 }, "rollingWindow": { "tradeStatistics": { "startDateTime": "2021-11-26T15:18:27.693Z", "endDateTime": "2021-11-26T15:18:27.693Z", "totalNumberOfTrades": 0, "numberOfWinningTrades": 0, "numberOfLosingTrades": 0, "totalProfitLoss": 0, "totalProfit": 0, "totalLoss": 0, "largestProfit": 0, "largestLoss": 0, "averageProfitLoss": 0, "averageProfit": 0, "averageLoss": 0, "averageTradeDuration": "string", "averageWinningTradeDuration": "string", "averageLosingTradeDuration": "string", "medianTradeDuration": "string", "medianWinningTradeDuration": "string", "medianLosingTradeDuration": "string", "maxConsecutiveWinningTrades": 0, "maxConsecutiveLosingTrades": 0, "profitLossRatio": 0, "winLossRatio": 0, "winRate": 0, "lossRate": 0, "averageMAE": 0, "averageMFE": 0, "largestMAE": 0, "largestMFE": 0, "maximumClosedTradeDrawdown": 0, "maximumIntraTradeDrawdown": 0, "profitLossStandardDeviation": 0, "profitLossDownsideDeviation": 0, "profitFactor": 0, "sharpeRatio": 0, "sortinoRatio": 0, "profitToMaxDrawdownRatio": 0, "maximumEndTradeDrawdown": 0, "averageEndTradeDrawdown": 0, "maximumDrawdownDuration": "string", "totalFees": 0 }, "portfolioStatistics": { "averageWinRate": 0, "averageLossRate": 0, "profitLossRatio": 0, "winRate": 0, "lossRate": 0, "expectancy": 0, "startEquity": 0, "endEquity": 0, "compoundingAnnualReturn": 0, "drawdown": 0, "totalNetProfit": 0, "sharpeRatio": 0, "probabilisticSharpeRatio": 0, "sortinoRatio": 0, "alpha": 0, "beta": 0, "annualStandardDeviation": 0, "annualVariance": 0, "informationRatio": 0, "trackingError": 0, "treynorRatio": 0, "portfolioTurnover": 0, "valueAtRisk99": 0, "valueAtRisk95": 0 }, "closedTrades": [ { "symbol": { "value": "string", "id": "string", "permtick": "string" }, "entryTime": "2021-11-26T15:18:27.693Z", "entryPrice": 0, "direction": "Long", "quantity": 0, "exitTime": "2021-11-26T15:18:27.693Z", "exitPrice": 0, "profitLoss": 0, "totalFees": 0, "mae": 0, "mfe": 0, "duration": "string", "endTradeDrawdown": 0 } ] }, "runtimeStatistics": { "Equity": "$100.00", "Fees": "-$100.00", "Holdings": "$100.00", "Net Profit": "$100.00", "Probabilistic Sharpe Ratio": "50.00%", "Return": "50.00%", "Unrealized": "$100.00", "Volume": "$100.00" }, "statistics": { "Total Orders": "string", "Average Win": "string", "Average Loss": "string", "Compounding Annual Return": "string", "Drawdown": "string", "Expectancy": "string", "Start Equity": "string", "End Equity": "string", "Net Profit": "string", "Sharpe Ratio": "string", "Sortino Ratio": "string", "Probabilistic Sharpe Ratio": "string", "Loss Rate": "string", "Win Rate": "string", "Profit-Loss Ratio": "string", "Alpha": "string", "Beta": "string", "Annual Standard Deviation": "string", "Annual Variance": "string", "Information Ratio": "string", "Tracking Error": "string", "Treynor Ratio": "string", "Total Fees": "string", "Estimated Strategy Capacity": "string", "Lowest Capacity Asset": "string", "Portfolio Turnover": "string" }, "totalPerformance": { "tradeStatistics": { "startDateTime": "2021-11-26T15:18:27.693Z", "endDateTime": "2021-11-26T15:18:27.693Z", "totalNumberOfTrades": 0, "numberOfWinningTrades": 0, "numberOfLosingTrades": 0, "totalProfitLoss": 0, "totalProfit": 0, "totalLoss": 0, "largestProfit": 0, "largestLoss": 0, "averageProfitLoss": 0, "averageProfit": 0, "averageLoss": 0, "averageTradeDuration": "string", "averageWinningTradeDuration": "string", "averageLosingTradeDuration": "string", "medianTradeDuration": "string", "medianWinningTradeDuration": "string", "medianLosingTradeDuration": "string", "maxConsecutiveWinningTrades": 0, "maxConsecutiveLosingTrades": 0, "profitLossRatio": 0, "winLossRatio": 0, "winRate": 0, "lossRate": 0, "averageMAE": 0, "averageMFE": 0, "largestMAE": 0, "largestMFE": 0, "maximumClosedTradeDrawdown": 0, "maximumIntraTradeDrawdown": 0, "profitLossStandardDeviation": 0, "profitLossDownsideDeviation": 0, "profitFactor": 0, "sharpeRatio": 0, "sortinoRatio": 0, "profitToMaxDrawdownRatio": 0, "maximumEndTradeDrawdown": 0, "averageEndTradeDrawdown": 0, "maximumDrawdownDuration": "string", "totalFees": 0 }, "portfolioStatistics": { "averageWinRate": 0, "averageLossRate": 0, "profitLossRatio": 0, "winRate": 0, "lossRate": 0, "expectancy": 0, "startEquity": 0, "endEquity": 0, "compoundingAnnualReturn": 0, "drawdown": 0, "totalNetProfit": 0, "sharpeRatio": 0, "probabilisticSharpeRatio": 0, "sortinoRatio": 0, "alpha": 0, "beta": 0, "annualStandardDeviation": 0, "annualVariance": 0, "informationRatio": 0, "trackingError": 0, "treynorRatio": 0, "portfolioTurnover": 0, "valueAtRisk99": 0, "valueAtRisk95": 0 }, "closedTrades": [ { "symbol": { "value": "string", "id": "string", "permtick": "string" }, "entryTime": "2021-11-26T15:18:27.693Z", "entryPrice": 0, "direction": "Long", "quantity": 0, "exitTime": "2021-11-26T15:18:27.693Z", "exitPrice": 0, "profitLoss": 0, "totalFees": 0, "mae": 0, "mfe": 0, "duration": "string", "endTradeDrawdown": 0 } ] }, "nodeName": "string", "outOfSampleMaxEndDate": "2021-11-26T15:18:27.693Z", "outOfSampleDays": 0 } |

`ResearchGuide` Model - A power gauge for backtests, time and parameters to estimate the overfitting risk. | |
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minutes | `integer` Number of minutes used in developing the current backtest. |

backtestCount | `integer` The quantity of backtests run in the project. |

parameters | `integer` Number of parameters detected. |

Example |
{ "minutes": 0, "backtestCount": 0, "parameters": 0 } |

`ChartSummary` Model - Contains the names of all charts | |
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Example |
{ "Chart Name": { "name": "string" }, "Chart Name 2": { "name": "string" } } |

`ParameterSet` Model - Parameter set. | |
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name | `string` Name of parameter. |

value | `number` Value of parameter. |

Example |
{ "name": "string", "value": 0 } |

`AlgorithmPerformance` Model - The AlgorithmPerformance class is a wrapper for TradeStatistics and PortfolioStatistics. | |
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tradeStatistics | `TradeStatistics object` A set of statistics calculated from a list of closed trades. |

portfolioStatistics | `PortfolioStatistics object` Represents a set of statistics calculated from equity and benchmark samples. |

closedTrades | `Trade Array` The algorithm statistics on portfolio. |

Example |
{ "tradeStatistics": { "startDateTime": "2021-11-26T15:18:27.693Z", "endDateTime": "2021-11-26T15:18:27.693Z", "totalNumberOfTrades": 0, "numberOfWinningTrades": 0, "numberOfLosingTrades": 0, "totalProfitLoss": 0, "totalProfit": 0, "totalLoss": 0, "largestProfit": 0, "largestLoss": 0, "averageProfitLoss": 0, "averageProfit": 0, "averageLoss": 0, "averageTradeDuration": "string", "averageWinningTradeDuration": "string", "averageLosingTradeDuration": "string", "medianTradeDuration": "string", "medianWinningTradeDuration": "string", "medianLosingTradeDuration": "string", "maxConsecutiveWinningTrades": 0, "maxConsecutiveLosingTrades": 0, "profitLossRatio": 0, "winLossRatio": 0, "winRate": 0, "lossRate": 0, "averageMAE": 0, "averageMFE": 0, "largestMAE": 0, "largestMFE": 0, "maximumClosedTradeDrawdown": 0, "maximumIntraTradeDrawdown": 0, "profitLossStandardDeviation": 0, "profitLossDownsideDeviation": 0, "profitFactor": 0, "sharpeRatio": 0, "sortinoRatio": 0, "profitToMaxDrawdownRatio": 0, "maximumEndTradeDrawdown": 0, "averageEndTradeDrawdown": 0, "maximumDrawdownDuration": "string", "totalFees": 0 }, "portfolioStatistics": { "averageWinRate": 0, "averageLossRate": 0, "profitLossRatio": 0, "winRate": 0, "lossRate": 0, "expectancy": 0, "startEquity": 0, "endEquity": 0, "compoundingAnnualReturn": 0, "drawdown": 0, "totalNetProfit": 0, "sharpeRatio": 0, "probabilisticSharpeRatio": 0, "sortinoRatio": 0, "alpha": 0, "beta": 0, "annualStandardDeviation": 0, "annualVariance": 0, "informationRatio": 0, "trackingError": 0, "treynorRatio": 0, "portfolioTurnover": 0, "valueAtRisk99": 0, "valueAtRisk95": 0 }, "closedTrades": [ { "symbol": { "value": "string", "id": "string", "permtick": "string" }, "entryTime": "2021-11-26T15:18:27.693Z", "entryPrice": 0, "direction": "Long", "quantity": 0, "exitTime": "2021-11-26T15:18:27.693Z", "exitPrice": 0, "profitLoss": 0, "totalFees": 0, "mae": 0, "mfe": 0, "duration": "string", "endTradeDrawdown": 0 } ] } |

`TradeStatistics` Model - A set of statistics calculated from a list of closed trades. | |
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startDateTime | `string($date-time)` The entry date/time of the first trade. |

endDateTime | `string($date-time)` The exit date/time of the first trade. |

totalNumberOfTrades | `integer` The total number of trades. |

numberOfWinningTrades | `integer` The total number of winning trades. |

numberOfLosingTrades | `integer` The total number of losing trades. |

totalProfitLoss | `number` The total profit/loss for all trades (as symbol currency). |

totalProfit | `number` The total profit for all winning trades (as symbol currency). |

totalLoss | `number` The total loss for all losing trades (as symbol currency). |

largestProfit | `number` The largest profit in a single trade (as symbol currency). |

largestLoss | `number` The largest loss in a single trade (as symbol currency). |

averageProfitLoss | `number` The average profit/loss (a.k.a. Expectancy or Average Trade) for all trades (as symbol currency). |

averageProfit | `number` The average profit for all winning trades (as symbol currency). |

averageLoss | `number` The average loss for all winning trades (as symbol currency). |

averageTradeDuration | `string` The average duration for all trades. |

averageWinningTradeDuration | `string` The average duration for all winning trades. |

averageLosingTradeDuration | `string` The average duration for all losing trades. |

medianTradeDuration | `string` The median duration for all trades. |

medianWinningTradeDuration | `string` The median duration for all winning trades. |

medianLosingTradeDuration | `string` The median duration for all losing trades. |

maxConsecutiveWinningTrades | `integer` The maximum number of consecutive winning trades. |

maxConsecutiveLosingTrades | `integer` The maximum number of consecutive losing trades. |

profitLossRatio | `number` The ratio of the average profit per trade to the average loss per trade. |

winLossRatio | `number` The ratio of the number of winning trades to the number of losing trades. |

winRate | `number` The ratio of the number of winning trades to the total number of trades. |

lossRate | `number` The ratio of the number of losing trades to the total number of trades. |

averageMAE | `number` The average Maximum Adverse Excursion for all trades. |

averageMFE | `number` The average Maximum Adverse Excursion for all trades. |

largestMAE | `number` The average Maximum Favorable Excursion for all trades. |

largestMFE | `number` The largest Maximum Adverse Excursion in a single trade (as symbol currency). |

maximumClosedTradeDrawdown | `number` The maximum closed-trade drawdown for all trades (as symbol currency). |

maximumIntraTradeDrawdown | `number` The maximum intra-trade drawdown for all trades (as symbol currency). |

profitLossStandardDeviation | `number` The standard deviation of the profits/losses for all trades (as symbol currency). |

profitLossDownsideDeviation | `number` The downside deviation of the profits/losses for all trades (as symbol currency). |

profitFactor | `number` The ratio of the total profit to the total loss. |

sharpeRatio | `number` The ratio of the average profit/loss to the standard deviation. |

sortinoRatio | `number` The ratio of the average profit/loss to the downside deviation. |

profitToMaxDrawdownRatio | `number` The ratio of the total profit/loss to the maximum closed trade drawdown. |

maximumEndTradeDrawdown | `number` The maximum amount of profit given back by a single trade before exit (as symbol currency). |

averageEndTradeDrawdown | `number` The average amount of profit given back by all trades before exit (as symbol currency). |

maximumDrawdownDuration | `string` The maximum amount of time to recover from a drawdown (longest time between new equity highs or peaks). |

totalFees | `number` The sum of fees for all trades. |

Example |
{ "startDateTime": "2021-11-26T15:18:27.693Z", "endDateTime": "2021-11-26T15:18:27.693Z", "totalNumberOfTrades": 0, "numberOfWinningTrades": 0, "numberOfLosingTrades": 0, "totalProfitLoss": 0, "totalProfit": 0, "totalLoss": 0, "largestProfit": 0, "largestLoss": 0, "averageProfitLoss": 0, "averageProfit": 0, "averageLoss": 0, "averageTradeDuration": "string", "averageWinningTradeDuration": "string", "averageLosingTradeDuration": "string", "medianTradeDuration": "string", "medianWinningTradeDuration": "string", "medianLosingTradeDuration": "string", "maxConsecutiveWinningTrades": 0, "maxConsecutiveLosingTrades": 0, "profitLossRatio": 0, "winLossRatio": 0, "winRate": 0, "lossRate": 0, "averageMAE": 0, "averageMFE": 0, "largestMAE": 0, "largestMFE": 0, "maximumClosedTradeDrawdown": 0, "maximumIntraTradeDrawdown": 0, "profitLossStandardDeviation": 0, "profitLossDownsideDeviation": 0, "profitFactor": 0, "sharpeRatio": 0, "sortinoRatio": 0, "profitToMaxDrawdownRatio": 0, "maximumEndTradeDrawdown": 0, "averageEndTradeDrawdown": 0, "maximumDrawdownDuration": "string", "totalFees": 0 } |

`PortfolioStatistics` Model - Represents a set of statistics calculated from equity and benchmark samples. | |
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averageWinRate | `number` The average rate of return for winning trades. |

averageLossRate | `number` The average rate of return for losing trades. |

profitLossRatio | `number` The ratio of the average win rate to the average loss rate. |

winRate | `number` The ratio of the number of winning trades to the total number of trades. |

lossRate | `number` The ratio of the number of losing trades to the total number of trades. |

expectancy | `number` The expected value of the rate of return. |

startEquity | `number` Initial Equity Total Value. |

endEquity | `number` Final Equity Total Value. |

compoundingAnnualReturn | `number` Annual compounded returns statistic based on the final-starting capital and years. |

drawdown | `number` Drawdown maximum percentage. |

totalNetProfit | `number` The total net profit percentage. |

sharpeRatio | `number` Sharpe ratio with respect to risk free rate: measures excess of return per unit of risk. |

probabilisticSharpeRatio | `number` Probabilistic Sharpe Ratio is a probability measure associated with the Sharpe ratio. It informs us of the probability that the estimated Sharpe ratio is greater than a chosen benchmark. |

sortinoRatio | `number` Sortino ratio with respect to risk free rate; measures excess of return per unit of downside risk. |

alpha | `number` Algorithm "Alpha" statistic - abnormal returns over the risk free rate and the relationshio (beta) with the benchmark returns. |

beta | `number` Algorithm beta statistic - the covariance between the algorithm and benchmark performance, divided by benchmark variance. |

annualStandardDeviation | `number` Annualized standard deviation. |

annualVariance | `number` Annualized variance statistic calculation using the daily performance variance and trading days per year. |

informationRatio | `number` Information ratio - risk adjusted return. |

trackingError | `number` Tracking error volatility (TEV) statistic - a measure of how closely a portfolio follows the index to which it is benchmarked. |

treynorRatio | `number` Treynor ratio statistic is a measurement of the returns earned in excess of that which could have been earned on an investment that has no diversifiable risk. |

portfolioTurnover | `number` The average Portfolio Turnover. |

valueAtRisk99 | `number` The 1-day VaR for the portfolio, using the Variance-covariance approach. Assumes a 99% confidence level, 1 year lookback period, and that the returns are normally distributed. |

valueAtRisk95 | `number` The 1-day VaR for the portfolio, using the Variance-covariance approach. Assumes a 95% confidence level, 1 year lookback period, and that the returns are normally distributed. |

Example |
{ "averageWinRate": 0, "averageLossRate": 0, "profitLossRatio": 0, "winRate": 0, "lossRate": 0, "expectancy": 0, "startEquity": 0, "endEquity": 0, "compoundingAnnualReturn": 0, "drawdown": 0, "totalNetProfit": 0, "sharpeRatio": 0, "probabilisticSharpeRatio": 0, "sortinoRatio": 0, "alpha": 0, "beta": 0, "annualStandardDeviation": 0, "annualVariance": 0, "informationRatio": 0, "trackingError": 0, "treynorRatio": 0, "portfolioTurnover": 0, "valueAtRisk99": 0, "valueAtRisk95": 0 } |

`Trade` Model - Represents a closed trade. | |
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symbol | `Symbol object` Represents a unique security identifier. This is made of two components, the unique SID and the Value. The value is the current ticker symbol while the SID is constant over the life of a security. |

entryTime | `string($date-time)` The date and time the trade was opened. |

entryPrice | `number` The price at which the trade was opened (or the average price if multiple entries). |

direction | `string Enum` Direction of a trade. Options : ['Long', 'Short'] |

quantity | `number` The total unsigned quantity of the trade. |

exitTime | `string($date-time)` The date and time the trade was closed. |

exitPrice | `number` The price at which the trade was closed (or the average price if multiple exits). |

profitLoss | `number` The gross profit/loss of the trade (as account currency). |

totalFees | `number` The total fees associated with the trade (always positive value) (as account currency). |

mae | `number` The Maximum Adverse Excursion (as account currency). |

mfe | `number` The Maximum Favorable Excursion (as account currency). |

duration | `string` The duration of the trade. |

endTradeDrawdown | `number` The amount of profit given back before the trade was closed. |

Example |
{ "symbol": { "value": "string", "id": "string", "permtick": "string" }, "entryTime": "2021-11-26T15:18:27.693Z", "entryPrice": 0, "direction": "Long", "quantity": 0, "exitTime": "2021-11-26T15:18:27.693Z", "exitPrice": 0, "profitLoss": 0, "totalFees": 0, "mae": 0, "mfe": 0, "duration": "string", "endTradeDrawdown": 0 } |

`Symbol` Model - Represents a unique security identifier. This is made of two components, the unique SID and the Value. The value is the current ticker symbol while the SID is constant over the life of a security. | |
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value | `string` The current symbol for this ticker. |

id | `string` The security identifier for this symbol. |

permtick | `string` The current symbol for this ticker. |

Example |
{ "value": "string", "id": "string", "permtick": "string" } |

`RuntimeStatistics` Model | |
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Equity | `string` Total portfolio value. |

Fees | `string` Transaction fee. |

Holdings | `string` Equity value of security holdings. |

Net Profit | `string` Net profit. |

Probabilistic Sharpe Ratio | `string` Probabilistic Sharpe Ratio. |

Return | `string` Return. |

Unrealized | `string` Unrealized profit/loss. |

Volume | `string` Total transaction volume. |

Example |
{ "Equity": "$100.00", "Fees": "-$100.00", "Holdings": "$100.00", "Net Profit": "$100.00", "Probabilistic Sharpe Ratio": "50.00%", "Return": "50.00%", "Unrealized": "$100.00", "Volume": "$100.00" } |

`StatisticsResult` Model - Statistics information sent during the algorithm operations. | |
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Total Orders | `string` Total nuber of orders. |

Average Win | `string` The average rate of return for winning trades. |

Average Loss | `string` The average rate of return for losing trades. |

Compounding Annual Return | `string` Annual compounded returns statistic based on the final-starting capital and years. |

Drawdown | `string` Drawdown maximum percentage. |

Expectancy | `string` The expected value of the rate of return. |

Start Equity | `string` Initial Equity Total Value. |

End Equity | `string` Final Equity Total Value. |

Net Profit | `string` The total net profit percentage. |

Sharpe Ratio | `string` Sharpe ratio with respect to risk free rate; measures excess of return per unit of risk. |

Sortino Ratio | `string` Sortino ratio with respect to risk free rate; measures excess of return per unit of downside risk. |

Probabilistic Sharpe Ratio | `string` Is a probability measure associated with the Sharpe ratio. It informs us of the probability that the estimated Sharpe ratio is greater than a chosen benchmark. |

Loss Rate | `string` The ratio of the number of losing trades to the total number of trades. |

Win Rate | `string` The ratio of the number of winning trades to the total number of trades. |

Profit-Loss Ratio | `string` The ratio of the average win rate to the average loss rate. |

Alpha | `string` Algorithm "Alpha" statistic - abnormal returns over the risk free rate and the relationshio (beta) with the benchmark returns. |

Beta | `string` Algorithm "beta" statistic - the covariance between the algorithm and benchmark performance, divided by benchmark's variance. |

Annual Standard Deviation | `string` Annualized standard deviation. |

Annual Variance | `string` Annualized variance statistic calculation using the daily performance variance and trading days per year. |

Information Ratio | `string` Information ratio - risk adjusted return. |

Tracking Error | `string` Tracking error volatility (TEV) statistic - a measure of how closely a portfolio follows the index to which it is benchmarked. |

Treynor Ratio | `string` Treynor ratio statistic is a measurement of the returns earned in excess of that which could have been earned on an investment that has no diversifiable risk. |

Total Fees | `string` Total amount of fees. |

Estimated Strategy Capacity | `string` The estimated total capacity of the strategy at a point in time. |

Lowest Capacity Asset | `string` Provide a reference to the lowest capacity symbol used in scaling down the capacity for debugging. |

Portfolio Turnover | `string` The average Portfolio Turnover. |

Example |
{ "Total Orders": "string", "Average Win": "string", "Average Loss": "string", "Compounding Annual Return": "string", "Drawdown": "string", "Expectancy": "string", "Start Equity": "string", "End Equity": "string", "Net Profit": "string", "Sharpe Ratio": "string", "Sortino Ratio": "string", "Probabilistic Sharpe Ratio": "string", "Loss Rate": "string", "Win Rate": "string", "Profit-Loss Ratio": "string", "Alpha": "string", "Beta": "string", "Annual Standard Deviation": "string", "Annual Variance": "string", "Information Ratio": "string", "Tracking Error": "string", "Treynor Ratio": "string", "Total Fees": "string", "Estimated Strategy Capacity": "string", "Lowest Capacity Asset": "string", "Portfolio Turnover": "string" } |

#### 401 Authentication Error

`UnauthorizedError` Model - Unauthorized response from the API. Key is missing, invalid, or timestamp is too old for hash. | |
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www_authenticate | `string` Header |