Backtest Statistics¶

The Backtest Statistics worker calculates a portfolio performance in a given date range and returns its statistics. You can set the specific date range which the worker will use to calculate the portfolio performance.

Parameters¶

The Backtest Statistics worker must receive specific parameters in order to execute properly. When parameters are not set correctly it may cause the worker to not work as expected.

Portfolio¶

Select an existing portfolio using Fixed Portfolio, Get Latest or Upstream Data variants.

Benchmark¶

Set the benchmark to be applied to backtest calculation using Tag variant.

Risk Free Rate Index¶

Select a Risk Free Rate Index using Fixed Value variant.

Periodicity¶

Select the periodicity to be used inside the calculation using Fixed Value or Upstream Data variants. The periodicity options are: Daily, Weekly, Monthly.

Date Range¶

Select the Date Range to be applied in the Backtest calculation using Fixed Value. The Date Range can be set as a Custom Range, Last N Periods, Period to Date(Start) and Period to Date(False)

Result¶

Once this worker finishes to execute successfully, it will return an object containing the expression's result to the workflow, which can be used by downstream workers. Below you can see an example of the Backtest Statistics' result object hierarchy. You can check the Output Types article to learn more about result objects types.

Portfolio (object)
Benchmark (object)