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[Strategy backtests] Add financial metrics #544

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gabrielfior opened this issue Nov 4, 2024 · 1 comment
Closed

[Strategy backtests] Add financial metrics #544

gabrielfior opened this issue Nov 4, 2024 · 1 comment

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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.

@gabrielfior
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Duplicated by gnosis/prediction-market-agent-tooling#545

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