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Are the ratios in the backtester annualized ?

1.) Are the ratios in backtester annualized? I asked the support team and he told me that they use the total returns not the annualized ones.
2.) If the ratios are not annualized, how to annualize them? You can just tell me a method for the Sharpe ratio.
3.) If I run backtest over a 10-year period (or maybe 5-year period), how do I know that my risk-adjusted measures are high enough and can be considered as a great algo? According to QuantStart, it tells us that an annualized Sharpe ratio should be larger than 2. But this is just for annualized ones.

2 responses

Best advice is to ignore all the numbers in the backtest, and just run a tear sheet on the backtest returns. The backtester IDE numbers cannot be trusted for anything.

Your question is timely. We are poised to overhaul the risk and performance metrics in the backtester. Our work is outlined in this post: https://www.quantopian.com/posts/feedback-requested-improvements-to-quantopians-risk-and-performance-calculations

Feedback welcome.

Thanks
Josh

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