Just looking to do a simple plot that compares annual returns from multiple backtests
How do I find annual returns of a backtest in research?
You can use the "get_backtest" function to import a backtest's data into research. Then you can then analyze the risk metrics (and more) by doing:
bt = get_backtest("561bf7e7214f6710e6ff0f16")
bt.risk This will return a pandas dataframe and include the daily returns as a column. You can use pandas date manipulation to aggregate into annual returns.
Alternatively, in a full backtest you can click on the "return" tab on the right-hand side. There you'll see the 12 month returns.
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Can someone provide this pandas date manipulation code so I can breakdown my backtest to annual returns? Thank you.
Try something like this:
# get the backtest object
bt = get_backtest('5ee14f6f0cf6864743b610d9')
# get daily returns
daily_returns = bt.daily_performance['returns']
# resample daily returns and convert to compounded annual returns
annual_returns = (((daily_returns + 1).resample('A').prod() - 1)*100).round(2)
# simplify the datetime index to date only (no time)
annual_returns.index = annual_returns.index.date
# display the annual returns
annual_returns
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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.