Backtest Alpha

Hi there, 

I'm just wondering about the 'alpha' statistic that comes up in the 'overall statistics' of a backtest. Is the figure an annual average? 

What is the benchmark?

And for example, if it says alpha = 0.205 does this mean 0.205% average alpha per year? If so I am very confused because my algorithm returns over 3000% (2000-2018) compared to about 97% in the same timeperiod for the S&P500. 

Is there anywhere that explains the alpha shown in the backtest statistics?


Any help would be greatlky appreciated, 


Update Backtest

The alpha is calculated with the following formula

alpha = strategyAnnualPerformance - (RiskFreeRate + Beta * benchmarkAnnualPerfomance - RiskFreeRate))

Where RiskFreeRate is 0 by default. The strategyAnnualPerformance is the compounding annualized return of your strategy. 

The default benchmark is “SPY”. You can set your custom benchmark with SetBenchmark(symbol); 

This is how LEAN calculates the alpha

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