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[Strategy backtests] Add financial metrics #545

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gabrielfior opened this issue Nov 4, 2024 · 0 comments · Fixed by #548
Closed

[Strategy backtests] Add financial metrics #545

gabrielfior opened this issue Nov 4, 2024 · 0 comments · Fixed by #548

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@gabrielfior
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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.

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