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Recipe: Interpret Backtest Metrics

Goal

Read backtest outputs consistently when comparing strategy changes.

Generate a run

stacksats strategy backtest \
  --strategy my_strategy.py:MyStrategy \
  --start-date 2020-01-01 \
  --end-date 2025-01-01 \
  --output-dir output

Key metrics to inspect

  • win_rate: windows where dynamic beats uniform.
  • exp_decay_percentile: recency-weighted percentile.
  • score: blended ranking metric.

Artifact checklist

  • backtest_result.json
  • metrics.json
  • plot .svg files

Comparison rules

  • Keep date range and allocation span identical.
  • Compare against same baseline assumptions.
  • Use strict validation outputs to flag overfitting risks.