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I am trying to calculate returns by assets in my backtest using backtest json file.
In Statistics json field there are main backtests statistics. Net profit is 1877%
Now, I want to calculate returns by assets, In my case, I have only 2 assets (SPY and TLT).
I tried to use TotalPerformance > ClosedTrades json field. There are entry and exit prices in columns of that field.
I have tried to calculate total returns of every closed trade (Exit price / Entry price - 1 per closed trade), but total return is lower than net profit in Statistics, around 1300%.
Why I don't get same profit in those two cases?
Louis Szeto
Hi Mislav
Please be noted that the opening positions at the end of the algorithm will not be included. If this problem persists after excluding them, please share the JSON file for further assistance. Thank you!
Best
Louis
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Mislav Sagovac
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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