Currently we are mostly focusing on returns of a given strategy during a time period. If the returns were lower than the returns of a different strategy, we swap it out.
In TradFi there are other metrics that are also taken into consideration when doing investment decisions - Sharpe Ratio and volatility being two relevant ones, apart from ROI (already available). Additionally, exposure_time could be relevant, i.e. how long the capital stays locked in a given market on average.
As a first step, in this PR we should add the metrics above when doing the backtesting.
gabrielfior
commented
4 weeks ago
Currently we are mostly focusing on
returnsof a given strategy during a time period. If the returns were lower than the returns of a different strategy, we swap it out.In TradFi there are other metrics that are also taken into consideration when doing investment decisions - Sharpe Ratio and volatility being two relevant ones, apart from ROI (already available). Additionally,
exposure_timecould be relevant, i.e. how long the capital stays locked in a given market on average.As a first step, in this PR we should add the metrics above when doing the backtesting.