Hi very excited to see the new backtest module when its ready.
A great feature to have is to include a chart of the Win Rate, SR & Profitability along the life of the backtest. Often backtesting static numbers such as a 50% Win Rate or 0.6 Sharpe Ratio don’t give us a complete picture. These numbers often look like a sinewave and fluctuate up and down over market cycles.
As an example breakout strategies don’t do well when the market is under pressure and volatility is spiking (our win rate might drop to 30% from 65% in a strong market). A standout feature I’ve also been thinking about is to be able to specify a ‘running’ factor such as market breadth or volatility against the above charts so we can see periods when strategies actually outperform - this will help us refine our money management & risk when market conditions change.
These new quant stats will give us an unparalleled edge when optimising strategies - when to use margin, when to stay in cash, when to switch b/n strategies, when to hedge.
cheers
Mandeep