This is a Notebook algo checker producing a little more detail and yet fairly compact output, for saving metrics like this with the algo itself.
Example output ...
Results: 2011-01-04 to 2014-11-21 Score 4.5065 Constraints met 8/9 Returns 109.8% PASS: Positive Positions 4.47|5.43 PASS: Max position concentration 4.47% <= 5.0% Leverage 0.74|0.94|1.06|1.17 PASS: Leverage range 0.94x-1.06x between 0.8x-1.1x Turnover 2.6|2.9|5.7|6.7 FAIL: 2nd percentile turnover 2.9% < 5.0x Net exposure 2.6|4.9 PASS: Net exposure (absolute value) 2.6% <= 10.0% Beta-to-SPY 0.12|0.14 PASS: Beta 0.12 between +/-0.30 Sectors 0.18|0.18 PASS: All sector exposures between +/-0.20 Style 0.37|0.37 PASS: All style exposures between +/-0.40 Tradable 96|100 PASS: Investment in QTradableStocksUS >= 95.0%
Most of the changes that matter are in check_constraints().
Q announced the new full Improved Backtest Analysis and for efficiency perhaps it could offer a text output like this at some point.
In the Notebook, does anyone know how to pull Alpha, Beta, Sharpe, Drawdown and so on to add to those?