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Backtesting and log returns
Mikko M
posted
Feature Request

At the moment it seems that all the backtesting results are based on geometric returns. Is there any way to get the numbers in log scale instead? At the moment even a small change in first months of backtest of for example 10 years will make a big difference in everything (including sharpe ratio which I find odd) which is not very beneficial when testing systems.

At least it would be a good idea to add some simple well working ratio that could be used to compare returns in non-geometrical way like average yearly returns ie. CAGR or simple ratio like MAR (some people call it calmar ratio) meaning CAGR / max drawdown.

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