ewrBacktest

Summary

The ewrBacktest function retrieves the backtesting measure.

Examples

=ewrBacktest("volatility","positions","US0378331005",1,"USD","2023-01-01","2025-01-01",,"monthly",90,"relative",TRUE)

Retrieves the 90-day volatility for the Apple share from 2023 until 2025 with monthly sampling frequency.

=ewrBacktest("volatility","positions",A10,A11,"USD","2023-01-01")

Retrieves the metric for the identifier in a cell.

Syntax

ewrBacktest(measure, granularity, assetIds[], weights[], currency, startDate, endDate, rebalancingFrequency, samplingFrequency, metricPeriod, measureType, annualized)

Argument name	Default	Description
measure		The measure to compute (Allowed values: performance, price, volatility, sharpe-ratio, max-drawdown)
granularity		The granularity at which the results should be calculated (individual asset, portfolio).
assetIds		Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID).
weights (Optional)	1	Asset weights
currency		The ISO code of the reference currency for deriving the calculation results. Specify "local" to use the instruments native currency where appropriate. It is mandatory to specify a currency when the granularity is "portfolio".
startDate		Start of the measure period (Format: YYYY-MM-DD).
endDate (Optional)	Current date	End of the measure period (Format: YYYY-MM-DD).
rebalancingFrequency (Optional)	none	The rebalancing frequency of the portfolio (Allowed values: none, monthly, quarterly, annually)
samplingFrequency (Optional)	monthly	The sampling frequency of the portfolio (Allowed values: weekly, monthly, quarterly, annually)
metricPeriod (Optional)		The metric period of the portfolio
measureType (Optional)	relative	Whether the result should be normalized. The input should be "relative" or "absolute". "True" or "False" are still supported for the moment.
annualized (Optional)	FALSE	Whether the result should be expressed as an annualized figure. True or False.