Preparing backtest results

Zipline Reloaded is a robust backtesting library that has an integrated ecosystem of tools designed to assess trading strategy performance. This ecosystem makes it easier for traders to transition from strategy development to evaluation. An example of an integrated tool is Alphalens Reloaded which is the focus of this chapter.

We learned in Chapter 7, Event-Based Backtesting Factor Portfolios with Zipline Reloaded that the output DataFrame of a Zipline backtest provides a detailed analysis of a trading strategy’s performance over a specified historical data period. The output includes metrics like cumulative returns, alpha, beta, Sharpe ratio, and maximum drawdown, among many others. We need to manipulate the output DataFrame to extract some of the data so it’s suitable for use with Alphalens Reloaded.

This recipe will walk through the process of extracting the relevant information.

Getting ready…

To install Alphalens Reloaded...