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Pair Trading Lab => Questions & Answers => Topic started by: Horacio Moreno on March 11, 2024, 12:17:23 am

Title: Portfolio Backtests - extremely good to be true
Post by: Horacio Moreno on March 11, 2024, 12:17:23 am

Hello,

Here the results of my portfolio backtest. I find this extremely good to be true.  Could someone please explain why this might be happening?.  Thank you!

Strategies:   43   Max Slots:   10   Account Alloc:   100.00 %
Initial Capital:   50000.00   Final Equity:   864103.73
Total ROI:   1628.21 %   CAGR:   158.54 %
Max. DD:   2.90 %   Sharpe Ratio:   12.410
Log. Linearity:   99.282 %   System Score:   155.154
Start Date:   2021-03-01   End Date:   2024-02-29
Commissions:   5849.71   Comm.% P/L   0.71 %

Title: Re: Portfolio Backtests - extremely good to be true
Post by: admin on March 14, 2024, 05:13:02 pm

Replied your support ticket. I would guess the difference is in the leverage (margin %) used.