Analyzing Backtest Results

The BaseResult class captures portfolio data and calculates performance metrics for your investment strategy.

An instance of BaseResult is returned by calling the method generate_positions() on an instance of BacktestController.

Retrieving a Portfolio Summary

To get a string summary of your backtest result:

result_instance.summary

Reporting Properties

BaseResult instances have the following properties for performance reporting:

1. actual_returns: Dataframe of actual returns for assets.
2. annualized_benchmark_return: Annualized return for the benchmark over the entire period.
3. annualized_excess_return: Annualized excess return for the entire period.
4. annualized_return: Annualized return for the entire period under review.
5. annualized_return_over_cash: Annualized return over cash for the entire period.
6. benchmark_returns: Series of returns for the benchmark.
7. benchmark_v: Series of simulated portfolio values if invested 100% in the benchmark at time 0.
8. cash_column_name: String of cash column name in holdings and trades.
9. excess_returns: Series of returns in excess of the benchmark.
10. excess_risk_annualized: Risk in excess of the benchmark.
11. h: Dataframe of asset holdings at the beginning of each datetime period.
12. information_ratio: (Annualized) Information Ratio of the portfolio.
13. num_periods: Number of periods in the backtest.
14. portfolio_hit_rate: Proportion of periods in which the portfolio had positive returns.
15. ppy: Float representing the number of periods per year in the backtest period.
16. returns: Series of the returns for each datetime period compared to the previous period.
17. returns_over_cash: Series of returns in excess of risk-free returns.
18. risk_free_returns: Series of risk-free returns.
19. risk_over_cash_annualized: Risk in excess of the risk-free rate.
20. sharpe_ratio: (Annualized) Sharpe Ratio of the portfolio.
21. total_benchmark_return: Return over the benchmark for the entire period under review.
22. total_excess_return: Excess return for the entire period (portfolio return minus benchmark return).
23. total_return: Total return for the entire period under review.
24. total_return_over_cash: Total returns over cash for the entire period under review.
25. total_risk_free_return: Total return over the risk-free rate for the entire period.
26. trades: Series of trades (also available as u).
27. v: Series of the value of the portfolio for each datetime period.
28. v_with_benchmark: Dataframe with simulated portfolio and benchmark values.
29. years_forecast: Float representing the number of years in the backtest period.

Extend BaseResult For Custom Reporting

If the BaseResult class is missing a property or method you wish it had, you can easily extend the class (i.e. create a new class that inherits from BaseResult) and add your desired functionality!

BacktestController accepts a results_model kwarg (note: if passed, it expects the model to be instantiated). Don't be afraid to roll out your own custom reporting functionality!

Next: Analyzing External Portfolios

It's possible to backtest a portfolio created outside of InvestOS. Let's review how that works: Analyzing External Portfolios.