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StrataQuant v0.3.0 - Advanced Metrics & Trade Analysis

Release Date: December 24, 2024

Comprehensive trade tracking and advanced risk metrics for honest performance analysis.

What's New

Advanced Risk Metrics

Sortino Ratio - Downside deviation only

  • Penalizes only negative volatility
  • Better for asymmetric return strategies
  • SMA 50/200 shows 1.34 Sortino vs 0.89 Sharpe (positive skew confirmed)

Calmar Ratio - Return per unit of drawdown

  • Direct measure: annualized return / |max drawdown|
  • Buy-and-hold: 2.13 Calmar (good)
  • SMA 20/50: 2.68 Calmar (excellent)

Complete Trade Tracking

Every backtest now captures individual trades:

  • Entry/exit timestamps and prices
  • Position size and P&L ($ and %)
  • Duration (bars and days)
  • Win/loss classification

Trade Statistics

Aggregate analysis automatically calculated:

  • Win Rate: Percentage of profitable trades
  • Profit Factor: Total wins / Total losses
  • Expectancy: Expected value per trade
  • Average Win/Loss: Mean trade sizes
  • Largest Win/Loss: Outlier identification
  • Win/Loss Streaks: Longest consecutive runs

CSV Export

Export data for external analysis:

result.save_trades_to_csv(Path::new("trades.csv"))?;
result.save_equity_to_csv(Path::new("equity.csv"))?;

Example Output

=== RESULTS ===
Initial capital: $   100000.00
Final equity:    $  1049354.30
Total return:         949.35%
Sharpe ratio:            0.89
Sortino ratio:           1.34  ← NEW
Calmar ratio:            2.36  ← NEW
Max drawdown:         -76.63%
Total trades:               5

=== TRADE ANALYSIS ===        ← NEW SECTION
Win rate:               80.0%
Profit factor:         432.67
Avg win:         $   72910.70
Avg loss:        $       2.89
Largest win:     $  291632.26
Largest loss:    $      28.88
Expectancy:      $   58328.56
Win streak:                 3
Loss streak:                1

Real Results (Sept 2019 - Dec 2024)

Buy and Hold

Return:         857.31%
Sharpe:         0.83
Sortino:        1.21  (better - only downside risk)
Calmar:         2.13  (return/drawdown ratio)
Win rate:       100%  (single trade)
Profit factor:  999.00 (no losses)
Expectancy:     $857,408

SMA 50/200

Return:         949.35%
Sharpe:         0.89
Sortino:        1.34  (strong positive skew)
Calmar:         2.36  (efficient vs drawdown)
Win rate:       80%   (4 wins, 1 loss)
Profit factor:  432.67
Expectancy:     $58,329 per trade
Max win:        $291,632
Max loss:       $29 (tiny)
Win streak:     3

SMA 20/50

Return:         1079.39%
Sharpe:         0.89
Sortino:        1.30
Calmar:         2.68  (best risk-adjusted)
Win rate:       50%   (more whipsaws)
Profit factor:  432.67
Avg loss:       $2.89 (tiny whipsaw losses)
Win streak:     3
Loss streak:    3

What The Metrics Tell You

Sortino > Sharpe?

  • Strategy has positive skew (good)
  • Upside volatility exceeds downside
  • True for all SMA strategies tested

Calmar > 2.0?

  • Return efficiency vs max loss is good
  • SMA 20/50 at 2.68 is excellent
  • Better capital efficiency than buy-and-hold

Win Rate 50-80%?

  • Realistic for trend-following
  • 80% (SMA 50/200) means low whipsaw
  • 50% (SMA 20/50) means faster signals, more noise

Profit Factor > 100?

  • Tiny losses, big wins (asymmetric)
  • Confirms trend-following nature
  • Stop losses would reduce this

Breaking Changes

None. All v0.2.0 functionality preserved.

New fields in BacktestResult:

  • sortino_ratio: f64
  • calmar_ratio: f64
  • trades: Option<Vec<Trade>>
  • trade_stats: Option<TradeStats>>

All are additions - no existing functionality changed.

Installation

# Clone
git clone https://github.com/ChronoCoders/strataquant.git
cd strataquant

# Build
cargo build --release

# Run
./target/release/strataquant backtest --strategy sma

Technical Details

New Files:

  • src/backtest/trade.rs - Trade tracking structs (188 lines)
  • src/metrics/sortino.rs - Sortino ratio (33 lines)
  • src/metrics/calmar.rs - Calmar ratio (19 lines)

Modified Files:

  • src/backtest/result.rs - Added new metrics and CSV export
  • src/backtest/engine.rs - Trade tracking logic
  • src/main.rs - Display new metrics in CLI

Performance:

  • Trade tracking overhead: <5ms per backtest
  • Memory increase: ~100 KB for 1000-bar backtest
  • All metrics: O(n) time complexity

Dependencies:

  • No new dependencies added

What's Next

v0.4.0 - Risk Management (planned):

  • Position sizing (Kelly, fixed fractional)
  • Stop losses (trailing, fixed)
  • Portfolio heat limits
  • Max drawdown thresholds

Files

Download the source:

wget https://github.com/ChronoCoders/strataquant/archive/refs/tags/v0.3.0.tar.gz

Or clone:

git clone --branch v0.3.0 https://github.com/ChronoCoders/strataquant.git

Checksums

Source tarball:

sha256: [Will be generated by GitHub]

Credits

Built by Distributed Systems Labs, LLC

Changelog

Full changelog: CHANGELOG.md

Previous releases:

  • v0.2.0 - Multi-strategy framework
  • v0.1.0 - Initial release

Disclaimer

This software is for educational and research purposes only. Past performance does not guarantee future results. Trading cryptocurrencies carries significant risk. Only trade with capital you can afford to lose.