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Hello,
I'm backtesting a credit spread strategy and have some issues qualifying my backtests because the statistics are innacurate:
- The win / rate is wrong: my attached backtest shows 2 trend up days where I sell 1 PCS ATM which expires worthless each day. Despite that, the win rate is 50% win 50% loss. Average win and average loss and Profit-loss ratio are wrong too.
- At last day of backtest, latest spread is still marked as unrealized, it doesn't process the settlement for last day.
- Total orders shows 6 but I only bought 2 credit spreads so 4 contracts.
- Sortino ratio is 0
Thank you for your help!
Have a good one!
Cedric Tang
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