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Backtester: annualized return figures & ratios

When I backtest a strategy, it shows the cumulative returns and cumulative Sharpe/Sortino. Is there any way to view the annualized figures instead? I find them much more insightful.

If not, does the Quantopian team have plans to add this option? The ability to toggle between cumulative and annualized figures would be easy to implement and really valuable for people like me.

7 responses

You can get the cumulative metrics from the full backtest. Take a look at the tabs on the left-hand side:

And here are the periods:

Could you explain how you'd like to use the annualized metrics? I'd be curious to hear the use case. Thanks!

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Thanks, Alisa. When I refer to annualized figures, I'm talking about the compound annual growth rate (exponential mean) for the entire backtest, which is not the same as just taking the arithmetic mean of the 12 month returns for all the years. The use case is just that relatively small changes in the CAGR can result in large changes in cumulative returns, which makes it a less robust performance metric in backtesting. This is particularly true for long backtests (I use 2003-present) as cumulative returns can often be large and hard to interpret.

I would like to request that the Quantopian team add the option to see annualized figures. The calculations are relatively simple: for example, CAGR can be calculated as (1+cumulative return)^(1/(trading days/250)).

I wanted to clarify my post - the numbers in the risk metrics details are rolling statistics. Based on 1 month, 3 month, 6 month, and 12 month periods. Sorry for the confusion!

Hi Param,

I appreciate your request. I just wanted to note that the rolling 3, 6, and 12 month periods are intended to give you insight into the quality of the returns. I think the rolling periods may actually be better than CAGR for this purpose. There's no averaging at all - we are simply reporting the returns for the trailing period.

Thanks again,
fawce

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Can somebody give me advise how to compare two algo performance using existing Quantopian risk metric.
1. Running on 12 years span .
2. Running on 8 years span.

+1 for having the CAGR provided in the backtest report.

@Alisa Deychman

I also can see why we would need this, can you please simply add an "Averages" column at the top of that table. Quite easy to do I imagine.