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feat: add SQN to backtest result

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closes #11397
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Matthias
2025-03-02 15:47:30 +01:00
parent e1f6702932
commit ccfc690281
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docs/backtesting.md
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@@ -315,6 +315,7 @@ It contains some useful key metrics about performance of your strategy on backte
| Sortino | 1.88 |
| Sharpe | 2.97 |
| Calmar | 6.29 |
| SQN | 2.45 |
| Profit factor | 1.11 |
| Expectancy (Ratio) | -0.15 (-0.05) |
| Avg. stake amount | 0.001 BTC |
@@ -368,6 +369,7 @@ It contains some useful key metrics about performance of your strategy on backte
- `Sortino`: Annualized Sortino ratio.
- `Sharpe`: Annualized Sharpe ratio.
- `Calmar`: Annualized Calmar ratio.
- `SQN`: System Quality Number (SQN) - by Van Tharp.
- `Profit factor`: profit / loss.
- `Avg. stake amount`: Average stake amount, either `stake_amount` or the average when using dynamic stake amount.
- `Total trade volume`: Volume generated on the exchange to reach the above profit.