Share New Research 
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,
Thanks.
Jing Wu
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
Alex Haseldine
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