About backtest output data

[bs32g1038]

It has nothing to do with the number of indicators, mainly to discuss data related issues.

Blankly Metrics:
cagr: 0.05496190946315571
cum_returns: 0.10125999999999999
sortino: 0.015965089446707815
sharpe: 0.041373845807941685
calmar: 5.896585739465047e-50
volatility: 0.6150518619211591
variance: 0.37828879285268463
var: 0.06339999993087986
cvar: 41.08448129311799
max_drawdown: -4.315592692015137e+47

There are two problems at present.

1. Numbers are confusing. Should we use appropriate units or precision? Such as:

cagr: 5.496% (using a full name may be better.  Compound Annual Growth Rate)
cum_returns: 10.126%

the jeese report as a reference

 Total Closed Trades             |                                221
 Total Net Profit                |            1,699,245.56 (1699.25%)
 Starting => Finishing Balance   |            100,000 => 1,799,245.56
 Total Open Trades               |                                  0
 Open PL                         |                                  0
 Total Paid Fees                 |                         331,480.93
 Max Drawdown                    |                            -22.42%
 Annual Return                   |                             80.09%
 Expectancy                      |                   7,688.89 (7.69%)
 Avg Win | Avg Loss              |                 31,021.9 | 8,951.7
 Ratio Avg Win / Avg Loss        |                               3.47
 Percent Profitable              |                                42%
 Longs | Shorts                  |                          60% | 40%
 Avg Holding Time                | 3.0 days, 22.0 hours, 50.0 minutes
 Winning Trades Avg Holding Time |  6.0 days, 14.0 hours, 9.0 minutes
 Losing Trades Avg Holding Time  |   2.0 days, 1.0 hour, 41.0 minutes
 Sharpe Ratio                    |                               1.88
 Calmar Ratio                    |                               3.57
 Sortino Ratio                   |                               3.51
 Omega Ratio                     |                               1.49
 Winning Streak                  |                                  5
 Losing Streak                   |                                 10
 Largest Winning Trade           |                         205,575.89
 Largest Losing Trade            |                         -50,827.92
 Total Winning Trades            |                                 92
 Total Losing Trades             |                                129

2. There seems to be a problem with the calculation of the max drawdown.

max_drawdown: -4.315592692015137e+47

[EmersonDove]

Hi, check out our latest release. We're not on Jesse's level yet but the metrics are vastly improved pip install blankly --upgrade.
As a heads up the market_order function now uses size instead of funds. This can result in wildly different order sizes but it was a necessary update to be compatible with more exchanges.

[bs32g1038]

Thanks.