Interface BacktestStatisticsModel

Statistical data calculated from backtest results.

All numeric values are null if calculation is unsafe (NaN, Infinity, etc). Provides comprehensive metrics for strategy performance analysis.

Example

const stats = await Backtest.getData("my-strategy");

console.log(`Total signals: ${stats.totalSignals}`);
console.log(`Win rate: ${stats.winRate}%`);
console.log(`Sharpe Ratio: ${stats.sharpeRatio}`);

// Access raw signal data
stats.signalList.forEach(signal => {
  console.log(`Signal ${signal.signal.id}: ${signal.pnl.pnlPercentage}%`);
});
interface BacktestStatisticsModel {
    annualizedSharpeRatio: number;
    avgConsecutiveLossPnl: number;
    avgConsecutiveWinPnl: number;
    avgDuration: number;
    avgFallPnl: number;
    avgLossDuration: number;
    avgPeakPnl: number;
    avgPnl: number;
    avgWinDuration: number;
    buyerPressure: number;
    buyerStrength: number;
    calmarRatio: number;
    certaintyRatio: number;
    expectancy: number;
    expectedYearlyReturns: number;
    lossCount: number;
    medianPnl: number;
    medianStepSize: number;
    pressureImbalance: number;
    recoveryFactor: number;
    sellerPressure: number;
    sellerStrength: number;
    sharpeRatio: number;
    signalList: IStrategyTickResultClosed[];
    sortinoRatio: number;
    stdDev: number;
    totalPnl: number;
    totalSignals: number;
    trend: "bullish" | "bearish" | "sideways" | "neutral";
    trendConfidence: number;
    trendStrength: number;
    winCount: number;
    winRate: number;
}

Properties

annualizedSharpeRatio avgConsecutiveLossPnl avgConsecutiveWinPnl avgDuration avgFallPnl avgLossDuration avgPeakPnl avgPnl avgWinDuration buyerPressure buyerStrength calmarRatio certaintyRatio expectancy expectedYearlyReturns lossCount medianPnl medianStepSize pressureImbalance recoveryFactor sellerPressure sellerStrength sharpeRatio signalList sortinoRatio stdDev totalPnl totalSignals trend trendConfidence trendStrength winCount winRate

Properties

annualizedSharpeRatio

annualizedSharpeRatio: number

Annualized Sharpe Ratio (sharpeRatio × √tradesPerYear), null if unsafe. Higher is better.

avgConsecutiveLossPnl

avgConsecutiveLossPnl: number

Average sum of pnlPercentage across consecutive losing streaks. Null if no loss streak. Closer to 0 is better.

avgConsecutiveWinPnl

avgConsecutiveWinPnl: number

Average sum of pnlPercentage across consecutive winning streaks. Null if no win streak.

avgDuration

avgDuration: number

Average trade duration in minutes ((closeTimestamp - pendingAt) / 60_000), null if unsafe.

avgFallPnl

avgFallPnl: number

Average fall PNL percentage across all signals (_fall.pnlPercentage), null if unsafe. Lower (more negative) means deeper drawdowns.

avgLossDuration

avgLossDuration: number

Average duration in minutes of losing trades.

avgPeakPnl

avgPeakPnl: number

Average peak PNL percentage across all signals (_peak.pnlPercentage), null if unsafe. Higher is better.

avgPnl

avgPnl: number

Average PNL per signal as percentage, null if unsafe. Higher is better.

avgWinDuration

avgWinDuration: number

Average duration in minutes of winning trades.

buyerPressure

buyerPressure: number

Fraction of up-moves among decisive close-to-close moves. 0..1. Higher = buyers more frequent.

buyerStrength

buyerStrength: number

Share of upward absolute movement in total close-to-close movement. 0..1.

calmarRatio

calmarRatio: number

Calmar Ratio (annualized expected return / max drawdown), null if unsafe. Higher is better.

certaintyRatio

certaintyRatio: number

Certainty Ratio (avgWin / |avgLoss|), null if unsafe. Higher is better.

expectancy

expectancy: number

Per-trade Expectancy (winProbavgWin + lossProbavgLoss), null if unsafe. Higher is better.

expectedYearlyReturns

expectedYearlyReturns: number

Expected yearly returns based on average trade duration and PNL, null if unsafe. Higher is better.

lossCount

lossCount: number

Number of losing signals (PNL < 0)

medianPnl

medianPnl: number

Median pnlPercentage — robust to outliers; reveals distribution skew when paired with avgPnl.

medianStepSize

medianStepSize: number

Median |close[i] - close[i-1]| / close[i-1] across trade closes, in %. Robust to outliers.

pressureImbalance

pressureImbalance: number

buyerStrength - sellerStrength ∈ [-1, 1]. Positive = bullish bias on magnitude.

recoveryFactor

recoveryFactor: number

Recovery Factor (totalPnl / max drawdown), null if unsafe. Higher is better.

sellerPressure

sellerPressure: number

Fraction of down-moves among decisive moves. 0..1. Equals 1 - buyerPressure.

sellerStrength

sellerStrength: number

Share of downward absolute movement in total close-to-close movement. 0..1.

sharpeRatio

sharpeRatio: number

Sharpe Ratio (risk-adjusted return = avgPnl / stdDev), null if unsafe. Higher is better.

signalList

signalList: IStrategyTickResultClosed[]

Array of all closed signals with full details (price, PNL, timestamps, etc.)

sortinoRatio

sortinoRatio: number

Sortino Ratio (avgPnl / downside deviation — RMS of losing trades only), null if unsafe. Higher is better.

stdDev

stdDev: number

Standard deviation of returns (volatility metric), null if unsafe. Lower is better.

totalPnl

totalPnl: number

Cumulative PNL across all signals as percentage, null if unsafe. Higher is better.

totalSignals

totalSignals: number

Total number of closed signals

trend

trend: "bullish" | "bearish" | "sideways" | "neutral"

Bivariate trend classification (slope × R²).

trendConfidence

trendConfidence: number

R² of the log-price regression, in [0, 1].

trendStrength

trendStrength: number

Log-price regression slope, in %/day.

winCount

winCount: number

Number of winning signals (PNL > 0)

winRate

winRate: number

Win rate as percentage (0-100), null if unsafe. Higher is better.

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