Backtesting
Results
View Backtest Results
The backtest results page automatically displays when you deploy a backtest. The backtest results page presents the equity curve, trades, logs, performance statistics, and much more information.
The content in the backtest results page updates as your backtest executes. You can close or refresh the window without interrupting the backtest because the backtesting node processes on our servers. If you close the page, you can view all of the project's backtests to open the page again. Unless you explicitly make the backtest public, only you can view its results. If you delete a backtest result or you are inactive for 12 months, we archive your backtest results.
Runtime Statistics
The banner at the top of the backtest results page displays the runtime statistics of your backtest.
The following table describes the default runtime statistics:
| Statistic | Description |
|---|---|
| Capacity | The maximum amount of money an algorithm can trade before its performance degrades from market impact. |
| Equity | The total portfolio value if all of the holdings were sold at current market rates. |
| Fees | The total quantity of fees paid for all the transactions. |
| Holdings | The absolute sum of the items in the portfolio. |
| Net Profit | The dollar-value return across the entire trading period. |
| PSR | The probability that the estimated Sharpe ratio of an algorithm is greater than a benchmark (1). |
| Return | The rate of return across the entire trading period. |
| Unrealized | The amount of profit a portfolio would capture if it liquidated all open positions and paid the fees for transacting and crossing the spread. |
| Volume | The total value of assets traded for all of an algorithm's transactions. |
To add a custom runtime statistic, call the SetRuntimeStatistic method with a name and value. The value argument can be a string or a number.
SetRuntimeStatistic(name, value);
self.SetRuntimeStatistic(name, value)
Built-in Charts
The backtest results page displays a set of built-in charts to help you analyze the performance of your algorithm. The following table describes the charts displayed on the page:
| Chart | Description |
|---|---|
| Strategy Equity | Time series of equity and daily performance |
| Capacity | Time series of strategy capacity snapshots |
| Drawdown | Time series of equity peak-to-trough value |
| Benchmark | Time series of the benchmark closing price (SPY, by default) |
| Exposure | Time series of long and short exposure ratios |
| Assets Sales Volume | Chart showing the proportion of total volume for each traded security |
| Portfolio Turnover | Time series of the portfolio turnover rate |
Custom Charts
The results page shows the custom charts that you create.
Supported Chart Types
We support the following types of charts:
If you use SeriesType.Candle and plot enough values, the plot displays candlesticks. However, the Plot method only accepts one numerical value per time step, so you can't plot candles that represent the open, high, low, and close values of each bar in your algorithm. The charting software automatically groups the data points you provide to create the candlesticks, so you can't control the period of time that each candlestick represents.
To create other types of charts, save the plot data in the ObjectStore and then load it into the Research Environment. In the Research Environment, you can create other types of charts with third-party charting packages.
Supported Markers
When you create scatter plots, you can set a marker symbol. We support the following marker symbols:
Chart Quotas
Custom charts are limited to 4,000 data points. Intensive charting requires hundreds of megabytes of data, which is too much to stream online or display in a web browser. If you exceed the quota, the Cloud Terminal displays the following message:
You can create up to 10 custom chart series per algorithm. If you exceed the quota, your algorithm stops executing and the Cloud Terminal displays the following message:
Demonstration
For more information about creating custom charts, see Charting.
Adjust Charts
You can manipulate the charts displayed on the backtest results page.
Toggle Charts
To display and hide a chart on the backtest results page, in the Select Chart section, click the name of a chart.
Toggle Chart Series
To display and hide a series on a chart on the backtest results page, click the name of a series at the top of a chart.
Adjust the Display Period
To zoom in and out of a time series chart on the backtest results page, perform either of the following actions:
- Click the , , , or period in the top-right corner of the chart.
- Click a point on the chart and drag your mouse horizontally to highlight a specific period of time in the chart.
If you adjust the zoom on a chart, it affects all of the charts.
After you zoom in on a chart, slide the horizontal bar at the bottom of the chart to adjust the time frame that displays.
Resize Charts
To resize a chart on the backtest results page, hover over the bottom-right corner of the chart. When the resize cursor appears, hold the left mouse button and then drag to the desired size.
Move Charts
To move a chart on the backtest results page, click, hold, and drag the chart title.
Refresh Charts
Refreshing the charts on the backtest results page resets the zoom level on all the charts. If you refresh the charts while your algorithm is executing, only the data that was seen by the Lean engine after you refreshed the charts is displayed. To refresh the charts, in the Select Chart section, click the reset icon.
Storage
You can store data in the ObjectStore during a backtest and then load the data into the Research Environment for further analysis. The Research Environment is a Jupyter notebook-based environment with access to many third-party libraries, so you can produce plots and display DataFrames in many more ways than the backtest results page supports.
Key Statistics
The backtest results page displays many key statistics to help you analyze the performance of your algorithm.
Overall Statistics
The Overview tab on the backtest results page displays tables for Overall Statistics and Rolling Statistics. The Overall Statistics table displays the following statistics:
- Probabilistic Sharpe Ratio (PSR)
- Total Trades
- Average Loss
- Drawdown
- Net Profit
- Loss Rate
- Profit-Loss Ratio
- Beta
- Annual Variance
- Tracking Error
- Total Fees
- Lowest Capacity Asset
- Sharpe Ratio
- Average Win
- Compounding Annual Return
- Expectancy
- Win Rate
- Alpha
- Annual Standard Deviation
- Information Ratio
- Treynor Ratio
- Estimated Strategy Capacity
Some of the statistics above are sampled throughout the backtest to produce a time series of rolling statistics. The time series are displayed in the Rolling Statistics table. You can download the data in the Overall Statistics and Rolling Statistics tables for further analysis.
Ranking
The backtest results page displays an Ranking section that shows the PSR and rank (percentile) of your algorithm.
The rank of your algorithm is calculated as
$$ CDF\left(\frac{PSR_{algo} - \overline{PSR}}{\sigma_{PSR}}\right) $$where $CDF$ is the normal cumulative distribution function and $PSR_{algo}$ is your algorithm's PSR. $\overline{PSR}$ and $\sigma_{PSR}$ are the mean PSR and the standard deviation of PSR values, respectively, calculated from all of the backtests that have the following attributes:
- Occurred in the last 30 days
- Had more than 90 tradable days
- Had a PSR value in the interval (0, 100)
Research Guide
For information about the Research Guide, see Research Guide.
Reports
The backtest report provides a summary of your algorithm's performance in PDF format. Follow these steps to generate one:
- Open the backtest results page of the backtest for which you want to generate a report.
- Click the Report tab.
- If the project doesn't have a description, enter one and then click .
- Click .
- If the browser says that the report is being generated, repeat step 4.
The report may take a minute to generate.
Orders
The backtest results page displays the orders of your algorithm and you can download them to your local machine.
View in the GUI
To see the orders that your algorithm created, open the backtest results page and then click the Orders tab. If there are more than 10 orders, use the pagination tools at the bottom of the Orders Summary table to see all of the orders. Click on an individual order in the Orders Summary table to reveal additional information regarding the following:
- Submissions
- Fills
- Partial fills
- Updates
- Cancellations
- Option contract exercises and expiration
The timestamps in the Order Summary table are based in Eastern Time (ET).
Download CSV
To download the orders in CSV format, open the backtest results page, click the Orders tab, and then click . The content of the CSV file is the content displayed in the Orders Summary table when the table rows are collapsed. To retrieve all of the content in the Orders Summary table, download the backtest results JSON file.The timestamps in the CSV and JSON files are based in Coordinated Universal Time (UTC).
Insights
The backtest results page displays the insights of your algorithm and you can download them to your local machine.
View in the GUI
To see the insights your algorithm has emitted, open the backtest result page and then click the Insights tab. If there are more than 10 insights, use the pagination tools at the bottom of the Insights Summary table to see all of the insights. The timestamps in the Insights Summary table are based in Eastern Time (ET).
Download JSON
To download the insights in JSON format, open the backtest result page, click the Insights tab, and then click . The timestamps in the CSV file are based in Coordinated Universal Time (UTC).
Logs
The backtest results page displays the logs of your backtest and you can download them to your local machine. The timestamps of the statements in the log file are based in your algorithm time zone.
View in the GUI
To see the log file that was created throughout a backtest, open the backtest result page and then click the Logs tab.
Download Log File
To download the log file that was created throughout a backtest, open the backtest result page, click the Logs tab, and then click .
Share Results
The backtest results page enables you to share your backtest results. You need to make a backtest public in order to share it. To make a backtest public, on the backtest results page, click the Share tab and then click . Once you make a backtest public, the Share tab displays a link to the backtest report, a link to an embedded backtest result, and a script to embed the embedded backtest result into a website.
The following widget is an example of an embedded backtest result:
To attach the embedded backtest result to a forum discussion, see Create Discussions or Post Comments.
After you've made your backtest results public, the results are always stored, anyone with the link can access the results, and the results can't be made private again because someone may have already cloned your project.
View All Backtests
Follow these steps to view all of the backtests of a project:
- Open the project that contains the backtests you want to view.
- In the top-right corner of the IDE, click the
Backtest Results icon. - (Optional) In the top-right corner, select the Show field and then select one of the options from the drop-down menu to filter the table by backtest or optimization results.
- (Optional) In the bottom-right corner, click the Hide Error check box to remove backtest and optimization results from the table that had a runtime error.
- (Optional) Use the pagination tools at the bottom to change the page.
- (Optional) Click a column name to sort the table by that column.
- Click a row in the table to open the results page of that backtest or optimization.
A table containing all of the backtest results for the project is displayed. If there is a play icon to the left of the name, it's a backtest result. If there is a fast-forward icon next to the name, it's an optimization result.
Rename Backtests
We give an arbitrary name (for example, "Smooth Apricot Chicken") to your backtest result files, but you can follow these steps to rename them:
- Hover over the backtest you want to rename and then click the pencil icon that appears.
- Enter the new backtest name and then click .
Clone Backtests
Hover over the backtest you want to clone, and then click the clone icon that appears to clone the backtest.
A new project is created with the backtest code files.
Delete Backtests
Hover over the backtest you want to delete, and then click the trash can icon that appears to delete the backtest.
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