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If you do a search for "Sharpe" in the Json file in some text editor (like Notepad++), does it not take you to the 'processed results' section of the json file? From the documentation it looks like the json output file consists of sections, one of which is the algorithm information (whether or not it is running, the project id, etc), another of which is the series of x-y data, and another of which is the processed data (Sharpes, annualized std devs, etc.)
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
"M12_20151104": {
"TradeStatistics": {
"StartDateTime": "2015-02-17T14:35:00Z",
"EndDateTime": "2015-11-04T18:08:00Z",
"TotalNumberOfTrades": 394846,
"NumberOfWinningTrades": 119883,
"NumberOfLosingTrades": 274963,
"TotalProfitLoss": 3345763.65,
"TotalProfit": 13233507.73,
"TotalLoss": -9887744.08,
"LargestProfit": 82134.18,
"LargestLoss": -52655.00,
"AverageProfitLoss": 8.473591349538807535089629913,
"AverageProfit": 110.38685827014672639156510974,
"AverageLoss": -35.960271309230696493710062693,
"AverageTradeDuration": "17:26:03.4130000",
"AverageWinningTradeDuration": "1.04:43:11.7750000",
"AverageLosingTradeDuration": "12:30:50.0790000",
"MaxConsecutiveWinningTrades": 432,
"MaxConsecutiveLosingTrades": 1128,
"ProfitLossRatio": 3.0696892501423190484521437338,
"WinLossRatio": 0.435996843211632110502140288,
"WinRate": 0.3036196390491482755302067135,
"LossRate": 0.6963803609508517244697932865,
"AverageMAE": -86.03486880961184867011442445,
"AverageMFE": 115.11451226554150225657598122,
"LargestMAE": -142276.81,
"LargestMFE": 346143.78,
"MaximumClosedTradeDrawdown": -321999.69,
"MaximumIntraTradeDrawdown": -572538.33,
"ProfitLossStandardDeviation": 473.05669782083,
"ProfitLossDownsideDeviation": 267.861294172797,
"ProfitFactor": 1.3383748227027332204172501196,
"SharpeRatio": 0.0179124223133781233153104795,
"SortinoRatio": 0.0316342507629060580361855185,
"ProfitToMaxDrawdownRatio": 10.390580344968655094046829672,
"MaximumEndTradeDrawdown": -346143.78,
"AverageEndTradeDrawdown": -106.64092091600269472148635131,
"MaximumDrawdownDuration": "57.00:45:00",
"TotalFees": 448537.0
},
"PortfolioStatistics": {
"AverageWinRate": 0.0000066059043788996060557611,
"AverageLossRate": -0.000001045873626477047556611,
"ProfitLossRatio": 6.3161592487527720858481813626,
"WinRate": 0.2126986703796551541129568521,
"LossRate": 0.7873013296203448458870431479,
"Expectancy": 0.5561373444955313485732023101,
"CompoundingAnnualReturn": 0.24596088960037,
"Drawdown": 0.017,
"TotalNetProfit": 0.20352824663,
"SharpeRatio": 1.8252072577079662887420519352,
"Alpha": 0.1876167450427321655076988539,
"Beta": 0.0252493927454079,
"AnnualStandardDeviation": 0.103242213391559,
"AnnualVariance": 0.0106589546259881328,
"InformationRatio": 0.9065737988426274622668957399,
"TrackingError": 0.171961060101545,
"TreynorRatio": 7.4630878882574046020044116773
},
PortfolioStatistics.SharpeRatio is annualized and is the ratio of AnnualizedPerformance to AnnualizedStandardDeviation (calculated using daily returns)
TradeStatistics.SharpeRatio is simply the ratio of AverageProfitLoss to ProfitLossStandardDeviation (calculated using trades)
by the way, when I tried to download some other backtest results I got this (I tried to download too late?):
This XML file does not appear to have any style information associated with it. The document tree is shown below.
AccessDeniedG7MgMAWUsE7rEkfHgvzJ+H0RjeLlDCvAtXXdFWy+P3blq4bH8qGUbs82azUTyP2HFqCBaOzZ4Sw=
On another backtest, the following popped out:
"TotalPerformance": {
"PortfolioStatistics": {
"AverageWinRate": 0.0001810091159595681428710814,
"AverageLossRate": -0.00006255633201391102503542,
"ProfitLossRatio": 2.8935378743004955127604226843,
"WinRate": 0.7410780669144981412639405204,
"LossRate": 0.2589219330855018587360594796,
"Expectancy": 1.8854155213449954664267295988,
"CompoundingAnnualReturn": 0.549470042765186,
"Drawdown": 0.164,
"TotalNetProfit": 0.59601050762,
"SharpeRatio": 1.8082411511951073875973547271,
"Alpha": 0.4683423400262419205155246931,
"Beta": -0.0373557036174521,
"AnnualStandardDeviation": 0.26008345895375,
"AnnualVariance": 0.067643405621346744,
"InformationRatio": 1.6917951309870541112841434756,
"TrackingError": 0.308860423267392,
"TreynorRatio": -12.589606611120538135495412176
},
It is showing a drawdown of 16.4%. on the other hand, when I extracted every single ProfitLoss Record and graphed it, it wasn't showing a drawdown of that size. In fact the cumulative PL curve derived from the ProfitLoss was very smooth (looking more like 4+ sharpe level smooth). any thoughts on this?
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
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