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Description
Expected Behavior:
The backtesting statistics documented in the QC materials should be thoroughly described, including:
- Formulas or references to academic papers to aid understanding of each statistic
- When applicable, clear instructions on how to use the backtesting function, detailing input arguments, outputs, and usage guidelines
Actual Behavior:
Currently, the backtesting statistics in the QC documentation are limited to a glossary, lacking detailed explanations or references.
Potential Solution:
Verify the actual implementation of the Backtesting Statistics (https://github.com/QuantConnect/Lean/blob/master/Common/Statistics/Statistics.cs). Consider providing more comprehensive descriptions of each statistic and include links to more detailed explanations. For example, the MATLAB documentation (https://www.mathworks.com/help/finance/sharpe.html) could serve as a good reference model.
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