ELBACKTEST
Summary
The ELBACKTEST function retrieves the backtesting measure.
Examples
=ELBACKTEST("volatility","positions","US0378331005",1,"quantity","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.
=ELBACKTEST("volatility","positions",A10,A11,"quantity","USD","2023-01-01")
Retrieves the metric for the identifier in a cell.
Syntax
ELBACKTEST(measure, granularity, assetIds[], amounts[], amountScheme, 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). | |
| amounts (Optional) | 1 | quantities or weights of the assets. Weights must sum up to 100%. |
| amountScheme (Optional) | quantity | quantity or weight |
| 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. |