Introduction

Jupyter notebook

Explanation of the backtesting performance metrics:

• Alpha: excess return on an investment relative to the return on a benchmark index
• Beta: Unlike alpha, which measures relative return, beta is the measure of relative volatility
• CAGR: Compound annual growth rate. It is one of the most important performance comparison, because it allows to compare backtests with different periods.
• Max Drawdown: maximum loss from the highest peak.
• Return: Total return.
• Sharpe Ratio: Well known risk-adjusted return.
• VAR: Value at Risk
• Volatility: Standard deviation of the return.