Backtesting and evidence

Crypto backtest performance-metric audit worksheet

Record the return intervals, metric conventions, trade ledger, equity marks and trial history behind a simulated Sharpe, Sortino, profit factor or drawdown figure.

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Sharpe, Sortino, drawdown, CAGR e fator de lucro

Cole uma série periódica (retornos ou marcas de patrimônio) e, separadamente, os resultados de trades fechados. Métricas periódicas usam o livro-razão periódico; o fator de lucro usa o livro-razão de trades, conforme exigido na planilha abaixo.

Resultado

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Convenções utilizadas. Sharpe = média(r − r_f) ÷ desvio padrão amostral (n − 1). Sortino = média(r − alvo) ÷ √média(min(0, r − alvo)²) em todos os períodos, incluindo déficits zero, como no guia de Métricas de Backtest de Cripto. As taxas anualizadas multiplicam por √(períodos por ano), o que assume retornos independentes; verifique a linha de autocorrelação antes de confiar nelas. O drawdown máximo compõe a série a partir de um valor inicial de 1. CAGR = valor final^{(períodos por ano ÷ períodos)} − 1. Fator de lucro = ganhos brutos ÷ |perdas brutas|.

PLANILHA INTERATIVA

Sua planilha de pesquisa

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Nada preenchido ainda

Blank research template. It records inputs and conventions; it does not calculate a metric, verify a market edge or recommend a trade.

1. Identify the run

Strategy name, version and fingerprint:

Dataset source, instrument, venue and date retrieved:

Timezone, sampling interval and evaluation window:

Account/equity base, starting balance and external cash-flow treatment:

Software, engine version, price-mark rule and fill assumptions:

Fees, spread, slippage, funding and other cost treatment:

Benchmark and question chosen before seeing this result:

2. Choose the correct observation ledger

Use one row per fixed observation interval for periodic account-return measures. State whether each return is time-weighted, how open positions are marked, how deposits and withdrawals are handled, and whether flat periods remain in the series. Do not replace missing observations with zero.

UTC interval end	Equity / NAV	External cash flow	Net period return	Risk-free return	Sortino target	Mark / missing-data note



Total			–

Keep a separate row per completed trade for profit factor. Include every winner and loser under one declared gross or net convention; do not mix period returns with trade P&L.

Trade ID	Gross winning P&L	Gross losing P&L	Fees	Other costs	Net result


Total	–	–	–	–	–

3. Write each metric convention before comparison

Measure	State the calculation inputs and convention	Result / unit
Sharpe	Periodic excess-return series; mean convention; standard-deviation convention; risk-free input
Sortino	Periodic return series; target; downside-deviation denominator and treatment of zero shortfalls
Profit factor	Gross or net trade P&L; treatment of open trades, costs and a zero-loss denominator
Maximum drawdown	Equity-mark frequency; cash-flow adjustment; peak and trough timestamps; dollar and percentage depth
Annualized statistic	Period conversion and dependence assumptions; any autocorrelation treatment

For the Sortino example in the related guide, the stated convention is the mean of return minus target divided by the square root of the mean squared shortfalls, including zero shortfalls across all observations. Other implementations can use different targets or denominators. Record the actual formula used by the software.

If periods are monthly, do not assume multiplying a monthly Sharpe by the square root of 12 is valid when returns are dependent. State the assumptions and inspect serial dependence. A ratio based on a short or selected sample is especially uncertain.

4. Preserve the search and validation record

Candidate / version	Parameter or asset choices tried	Why retained or rejected	Date / data window inspected	Holdout touched?

Record the full number and scope of trials, discarded variants and any later-period data opened during selection. A selection-adjusted statistic still cannot repair look-ahead bias, unreliable data, unrealistic fills or an unsuitable return series.

5. Reconcile and state limits

Arithmetic independently reproduced from the retained input rows.
Sampling interval, units, target, costs, open-position marks and cash flows are stated.
Trade-based metrics use a trade ledger; periodic metrics use a periodic return ledger.
Drawdown uses the declared equity-mark frequency; gaps and missing marks remain visible.
Trial count, revisions, holdout use and cost sensitivity are recorded.
Synthetic, historical, paper and actual fill evidence are labeled separately.

Result or unresolved discrepancy:

What would change the interpretation?

Next review date:

Read the Crypto Backtest Metrics guide for worked fictional calculations. Keep this worksheet with the source data and software version. A metric summarizes a chosen sample; it does not predict a future result.

COMO USAR ESTA PLANILHA

Mantenha os retornos periódicos da conta, o P&L de trades concluídos e o caminho de patrimônio marcado em registros separados. Escreva o denominador, alvo, intervalo, custos, regra de fluxo de caixa e histórico de holdout ao lado de cada estatística relatada.

O que a planilha inclui?

Livros-razão de entrada em branco para retornos periódicos e trades, uma tabela de convenções para Sharpe, Sortino, fator de lucro e drawdown, além de verificações de histórico de teste e limites de evidência. A calculadora acima calcula os índices a partir de suas próprias entradas; não contém resultados de desempenho predefinidos.

Este recurso é educacional, não um aconselhamento financeiro individualizado. As entradas da calculadora permanecem no seu navegador. Verifique a documentação atual de contrato, margem e taxas da sua corretora.