回测与证据

加密货币回测绩效指标核查表

记录模拟 Sharpe、Sortino、盈亏比或回撤数值背后的收益区间、指标口径、交易台账、权益标记与试验历史。

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Sharpe, Sortino, drawdown, CAGR and profit factor

Paste one periodic series (returns or equity marks) and, separately, closed-trade results. Periodic metrics use the periodic ledger; profit factor uses the trade ledger, as the worksheet below requires.

Result

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Conventions used. Sharpe = mean(r − r_f) ÷ sample standard deviation (n − 1). Sortino = mean(r − target) ÷ √mean(min(0, r − target)²) over all periods, including zero shortfalls, as in the Crypto Backtest Metrics guide. Annualized ratios multiply by √(periods per year), which assumes independent returns; check the autocorrelation line before trusting them. Maximum drawdown compounds the series from a starting value of 1. CAGR = ending value^{(periods per year ÷ periods)} − 1. Profit factor = gross wins ÷ |gross losses|.

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您的研究工作表

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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.

如何使用本工作表

将周期性账户收益、已完成交易的盈亏和按标记价格计算的权益变动路径分别记录。在每项报告的统计量旁写下分母、目标、区间、成本、现金流规则和留出样本历史。

What does the worksheet include?

Blank input ledgers for periodic returns and trades, a convention table for Sharpe, Sortino, profit factor and drawdown, plus trial-history and evidence-boundary checks. The calculator above computes the ratios from your own inputs; it contains no preset performance results.

This resource is educational, not individualized financial advice. Calculator inputs stay in your browser. Check your venue's current contract, margin and fee documentation.