# Backtesting

## Results

### Introduction

The backtest results page shows your algorithm's performance. Review the results page to see how your algorithm has performed during the backtest and to investigate how you might improve your algorithm before live trading.

### 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:

StatisticDescription
CapacityThe maximum amount of money an algorithm can trade before its performance degrades from market impact.
EquityThe total portfolio value if all of the holdings were sold at current market rates.
FeesThe total quantity of fees paid for all the transactions.
HoldingsThe absolute sum of the items in the portfolio.
Net ProfitThe dollar-value return across the entire trading period.
PSRThe probability that the estimated Sharpe ratio of an algorithm is greater than a benchmark (1).
ReturnThe rate of return across the entire trading period.
UnrealizedThe amount of profit a portfolio would capture if it liquidated all open positions and paid the fees for transacting and crossing the spread.
VolumeThe 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 for all algorithms:

Chart
Description
Strategy EquityTime series of equity and daily performance
CapacityTime series of strategy capacity snapshots
DrawdownTime series of equity peak-to-trough value
BenchmarkTime series of the benchmark closing price (SPY, by default)
ExposureTime series of long and short exposure ratios
Assets Sales VolumeChart showing the proportion of total volume for each traded security

The following table describes the additional charts that the backtest results page displays for framework algorithms:

ChartDescription
Insight CountTime series of the number of insights emitted
AlphaTime series of the direction and magnitude score of the Alpha model
Alpha AssetsChart showing the number of insights emitted for each security

### 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:

Exceeded maximum points per chart, data skipped

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:

Exceeded maximum series count: Each backtest can have up to 10 series in total.

#### Demonstration

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.

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:

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 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:

1. Open the backtest results page of the backtest for which you want to generate a report.
2. Click the Report tab.
3. If the project doesn't have a description, enter one and then click .
4. Click .
5. The report may take a minute to generate.

6. If the browser says that the report is being generated, repeat step 4.

### Orders

#### 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
• Cancellations
• Option contract exercising

The timestamps in the Order Summary table are based in Eastern Time (ET).

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

#### 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).

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.

To download the log file that was created throughout a backtest, open the backtest result page, click the Logs tab, and then click .

### Project Files

The backtest results page displays the project files used to run the backtest. To view the files, click the Code tab. By default, the main.py or Main.cs file displays. To view other files in the project, click the file name and then select a different file from the drop-down menu.

### 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:

The following table describes the tabs of the embedded backtest result:

TabContent
ChartsSome of the built-in and custom charts that plot the backtest performance
StatisticsThe overall statistics of the backtest
CodeThe project files that produced the backtest

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.

• Runtime statistics
• Charts
• The data in the Overview tab
• The data in the Orders tab

To download the preceding information, open the backtest results page, click the Overview tab, and then click .

### View All Backtests

Follow these steps to view all of the backtests of a project:

1. Open the project that contains the backtests you want to view.
2. In the top-right corner of the IDE, click the Backtest Results icon.
3. 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.

4. (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.
5. (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.
6. (Optional) Use the pagination tools at the bottom to change the page.
7. (Optional) Click a column name to sort the table by that column.
8. Click a row in the table to open the results page of that backtest or optimization.

#### 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:

1. Hover over the backtest you want to rename and then click the pencil icon that appears.
2. 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.

### Errors

If a backtest produces more than 700 MB of data, then LEAN can't upload the results and the backtest results page appears empty.

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