Results & Metrics

Backtest results include:

• Equity curve and drawdowns
• Performance metrics: Sharpe, Sortino, Calmar, CAGR
• Risk metrics: VaR, CVaR, skewness, kurtosis
• Trade analytics: win rate, profit factor, average win/loss

Annualized return (CAGR)

annualized_return is reported as a compounded annual growth rate (CAGR), not a simple linear scaling:

• total_return is the cumulative return at the end of the backtest
• years = N / 252 where N is the number of daily return observations (252 trading days/year)
• annualized_return = (1 + total_return)^(1/years) - 1

Results are persisted for later analysis and reporting.