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Bayesian analysis of backtest results
Thomas Wiecki
posted Aug 31, 2015
Show Q Research Statistics

Last week we announced (https://www.quantopian.com/posts/new-feature-comprehensive-backtest-analysis) the new library we wrote called pyfolio (https://github.com/quantopian/pyfolio) to do comprehensive backtest analysis.

One special feature is the Bayesian analysis that is included. A lot of this work is the result of a summer intern project with Sepideh Sadeghi. See here for a blog post that explains the statistics and benefits of the Bayesian analysis in more depth: http://blog.quantopian.com/bayesian-cone and then come back here to check out the NB that shows you how to do the analyses for your own backtests.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

1 response
Blue Seahawk
Jan 27, 2016

Looks good. In the first graph, there are two "returns", consider naming them distinctly, have seen some with two curves and couldn't tell if one was benchmark or what. Y-axis might beneift from units, percent or or ...

Also 1/10th of white males are red-green colorblind, myself included, bit of confusion. One line blue and I'm good. Grey also good sometimes. Differences in intensity are good, even light green and darker green. Ideally you might find one of us around the office to help with color choices if the system has flexibility in that.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.