PortfolioTesteR (version 0.1.4)

backtest_metrics: Calculate Comprehensive Backtest Metrics

Description

Computes performance metrics including Sharpe ratio, maximum drawdown, win rate, and other statistics from backtest results.

Usage

backtest_metrics(result)

Value

List containing performance metrics

Arguments

result

Backtest result object from run_backtest()

Examples

# Create a backtest result to use
data(sample_prices_weekly)
momentum <- calc_momentum(sample_prices_weekly, lookback = 12)
selected <- filter_top_n(momentum, n = 10)
weights <- weight_equally(selected)
result <- run_backtest(sample_prices_weekly, weights)

# Calculate metrics
metrics <- backtest_metrics(result)
print(metrics$sharpe_ratio)