Interface BacktestStatisticsModel

Statistical data calculated from backtest results.

All numeric values are null if calculation is unsafe (NaN, Infinity, etc). Provides comprehensive metrics for strategy performance analysis.

Example

const stats = await Backtest.getData("my-strategy");

console.log(`Total signals: ${stats.totalSignals}`);
console.log(`Win rate: ${stats.winRate}%`);
console.log(`Sharpe Ratio: ${stats.sharpeRatio}`);

// Access raw signal data
stats.signalList.forEach(signal => {
  console.log(`Signal ${signal.signal.id}: ${signal.pnl.pnlPercentage}%`);
});
interface BacktestStatisticsModel {
    annualizedSharpeRatio: number;
    avgFallPnl: number;
    avgPeakPnl: number;
    avgPnl: number;
    calmarRatio: number;
    certaintyRatio: number;
    expectedYearlyReturns: number;
    lossCount: number;
    recoveryFactor: number;
    sharpeRatio: number;
    signalList: IStrategyTickResultClosed[];
    sortinoRatio: number;
    stdDev: number;
    totalPnl: number;
    totalSignals: number;
    winCount: number;
    winRate: number;
}

Properties

annualizedSharpeRatio avgFallPnl avgPeakPnl avgPnl calmarRatio certaintyRatio expectedYearlyReturns lossCount recoveryFactor sharpeRatio signalList sortinoRatio stdDev totalPnl totalSignals winCount winRate

Properties

annualizedSharpeRatio

annualizedSharpeRatio: number

Annualized Sharpe Ratio (sharpeRatio × √365), null if unsafe. Higher is better.

avgFallPnl

avgFallPnl: number

Average fall PNL percentage across all signals (_fall.pnlPercentage), null if unsafe. Lower (more negative) means deeper drawdowns.

avgPeakPnl

avgPeakPnl: number

Average peak PNL percentage across all signals (_peak.pnlPercentage), null if unsafe. Higher is better.

avgPnl

avgPnl: number

Average PNL per signal as percentage, null if unsafe. Higher is better.

calmarRatio

calmarRatio: number

Calmar Ratio (annualized expected return / max drawdown), null if unsafe. Higher is better.

certaintyRatio

certaintyRatio: number

Certainty Ratio (avgWin / |avgLoss|), null if unsafe. Higher is better.

expectedYearlyReturns

expectedYearlyReturns: number

Expected yearly returns based on average trade duration and PNL, null if unsafe. Higher is better.

lossCount

lossCount: number

Number of losing signals (PNL < 0)

recoveryFactor

recoveryFactor: number

Recovery Factor (totalPnl / max drawdown), null if unsafe. Higher is better.

sharpeRatio

sharpeRatio: number

Sharpe Ratio (risk-adjusted return = avgPnl / stdDev), null if unsafe. Higher is better.

signalList

signalList: IStrategyTickResultClosed[]

Array of all closed signals with full details (price, PNL, timestamps, etc.)

sortinoRatio

sortinoRatio: number

Sortino Ratio (avgPnl / downside deviation — stdDev of losses only), null if unsafe. Higher is better.

stdDev

stdDev: number

Standard deviation of returns (volatility metric), null if unsafe. Lower is better.

totalPnl

totalPnl: number

Cumulative PNL across all signals as percentage, null if unsafe. Higher is better.

totalSignals

totalSignals: number

Total number of closed signals

winCount

winCount: number

Number of winning signals (PNL > 0)

winRate

winRate: number

Win rate as percentage (0-100), null if unsafe. Higher is better.

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