Generating strategy performance and return analytics

Traders use strategy performance and return analysis to evaluate the effectiveness of their trading algorithms. Return analysis, often visualized through equity curves, or return distributions, offers insights into the strategy’s profitability over time. Temporal analyses, such as monthly or annual return breakdowns, help identify seasonality or long-term trends that may impact future performance.

By comparing these metrics and analyses against a benchmark, traders can isolate the strategy’s alpha, or the excess return over a passive investment approach. This review enables traders to make data-driven modifications to their strategies, enhancing profitability and risk management. In this recipe, we explore Pyfolio Reloaded strategy performance and return analytics.

Getting ready…

We assume the steps in the Preparing Zipline Reloaded backtest results for Pyfolio Reloaded recipe were followed. We’...