Backtester (Work in progress)

Rudimentary backtesting framework for futures markets.

Results

The CAGR is: 0.0751
The annual volatility is: 0.0919
The max drawdown is: -0.2014
The sharpe ratio is: 0.8340
The sortino ratio is: 1.2136
Calmar ratio: 0.3730
Correlation: -0.0958
Alpha, Beta: 0.0834 -0.0458