Key Performance Indicator and Backtesting

Usage:

• Measuring expected performance of a trading strategy by testing it on historical data.
• Measure both risk and return characterstics of the statergy.
• History Repeats Itself - Historical performance forecasts future performance.

Popular performance measures include

• Cumulative Annual Growth Rate
• Annualized Voltility
• Sharpe Ratio
• Sortino Ratio
• Maximum Drawdown
• Calmar Ratio

Installation

pip install KPIs

Importing Methods

from KPIs import(
   CAGR,
   Volatility,
   SharpeRatio,
   Sortino,
   MaxDrawdown,
   Calmar,
)

Calling a function

 CAGR_Value=CAGR(ticker)
 print("Cumulative annual growth rate of {} = {}".format(ticker,CAGR_Value))

Example

from KPIs import(
    CAGR,
)

ticker="AMZN"
CAGR_Value=CAGR(ticker)
print("Cumulative annual growth rate of {} = {}".format(ticker,CAGR_Value))

Note

• I have tried to implement all key performance measures, will be updating with more methods soon. Thanks for your patience.

Change Log

0.1

-First Release