Performance metrics help evaluate the effectiveness of trading strategies. Qubx provides a comprehensive set of metrics to analyze strategy performance from different angles.
Return Metrics
| Metric |
Description |
| Total Return |
Total percentage return over the backtest period |
| Annualized Return |
Return normalized to a yearly basis |
| Daily/Monthly Returns |
Returns broken down by time periods |
| Compound Annual Growth Rate (CAGR) |
Smoothed annualized return |
Trading Volume Metrics
| Metric |
Description |
bps_volume |
Gross P&L per unit of traded volume, in basis points: (gain + fees) / traded volume × 10,000. It is the per-side commission rate at which net P&L would be zero, so it can be compared directly with a fee rate (for example 5 bps taker on Binance UM vip0). |
gain already includes funding payments, so funding counts as P&L.- Traded volume is the sum of
|filled quantity × fill price × quantity multiplier| over all fills. Opening and closing trades both count. The quantity multiplier (contract size) comes from the session instruments, then from the instrument lookup; a symbol found in neither counts with 1 and is named in a warning.
- It is NaN when nothing was traded.
- It appears in
result.performance()["bps_volume"], in the tearsheet table ("Bps volume") and in the saved metadata, so backtests can be searched by it: BacktestStorage("s3://backtests/").search("bps_volume > 20"). Runs saved before it was added have no value.