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Calmar ratio and R Squared
Bruno Santos
posted Mar 29, 2015

Hello,

I've noticed that Calmar Ratio appears in the contestant summary accesible via the contest leaderboard, however I haven't found it anywhere on the backtester. It's calculated as AnnualReturn divided by MaxDrawdown, correct? Is there any way I can see the calmar ratio when backtesting kmy algorithm?

About the "Annual Volatility", is it a different name for standard deviation? If not, how is it calculated?

What about the "stability"? Is it a different name for R-squared, beta or a combination of both? If not, how can I calculate beta and R-squared when backtesting my algorithm?

Thanks in advance.

Bruno

2 responses
Alisa Deychman
Apr 1, 2015

The Calmar Ratio is calculated as:

calmar = annual return /  max_drawdown

And the Annual Volatility is calculated as,

Ann_vol = standard_deviation(daily_returns) * sqrt(252)

And stability as, 

stability = R^2(context.portfolio.portfolio_value)

You're welcome to compute these calculations on your own to see how your metrics change throughout the backtest! Gary shared a nifty function to show values at end of a backtest: https://www.quantopian.com/posts/print-run-summary

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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.

Bruno Santos
Apr 8, 2015

Thank you very much Alisa, your reply was extremely helpful!

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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.