Hey All,

As part of our continuous effort to improve QuantConnect, we've recently introduced out-of-sample backtests for live algorithms and Alpha Streams that demonstrate the performance of a backtest run over the live period. As a trader, one of the most important things is to understand the difference between these two curves, if it exists. A lot goes into understanding the Who, What, Where, When, and Why of the difference. Still, we've recently written a piece on a new metric we're introducing to help us quantitatively determine the similarity of these two equity curves.

Check out the research notebook in the backtest to see our thoughts on understanding equity curve similarity through the use of dynamic time warping (DTW) and returns correlation!