Alternative Data Hedge Fund Strategy Builder
Define Your Strategy
Create alternative data signals and define simple long/short trading rules based on their thresholds.
General Parameters
Alternative Data Signals & Rules
Historical Monthly Data Input
Enter the historical monthly data for your defined signals. Also, input the monthly returns for the underlying asset (e.g., S&P 500 ETF) on which the strategy trades. At least 2 months of data are required.
| Month | Asset Return (%) |
|---|
Backtest Results
Review the performance of your alternative data strategy over the specified period.
Overall Performance Metrics
Initial Portfolio Value: $0.00
Final Portfolio Value: $0.00
Net Cumulative Return: 0.00%
Annualized Return: 0.00%
Annualized Volatility (Std Dev): 0.00%
Sharpe Ratio: 0.00
Maximum Drawdown: 0.00%
Monthly Performance Breakdown
| Month | Signal Value | Asset Return (%) | Strategy Position | Strategy Return (%) | Cumulative Value ($) |
|---|
`; // Small separator }); } // 2. Historical Monthly Data if (historicalData.length > 0) { pdfHtmlContent += `
Historical Monthly Data Input
`; pdfHtmlContent += `Number of Historical Months: ${historicalData.length}
`; pdfHtmlContent += `| Month | Asset Return (%) | `; signals.forEach(signal => { pdfHtmlContent += `${signal.name} | `; }); pdfHtmlContent += `
|---|---|---|
| ${monthIndex + 1} | ${data.assetReturn.toFixed(2)} | `; signals.forEach((signal, signalIndex) => { pdfHtmlContent += `${data.signalValues[signalIndex].toFixed(2)} | `; }); pdfHtmlContent += `
Overall Performance Metrics
`; pdfHtmlContent += `Initial Portfolio Value: $${backtestResultsSummary.initialValue.toLocaleString('en-US', { minimumFractionDigits: 2, maximumFractionDigits: 2 })}
`; pdfHtmlContent += `Final Portfolio Value: $${backtestResultsSummary.finalValue.toLocaleString('en-US', { minimumFractionDigits: 2, maximumFractionDigits: 2 })}
`; pdfHtmlContent += `Net Cumulative Return: ${(backtestResultsSummary.cumulativeReturn * 100).toFixed(2)}%
`; pdfHtmlContent += `Annualized Return: ${(backtestResultsSummary.annualizedReturn * 100).toFixed(2)}%
`; pdfHtmlContent += `Annualized Volatility (Std Dev): ${(backtestResultsSummary.annualizedStdDev * 100).toFixed(2)}%
`; pdfHtmlContent += `Sharpe Ratio: ${backtestResultsSummary.sharpeRatio.toFixed(2)}
`; pdfHtmlContent += `Maximum Drawdown: ${(backtestResultsSummary.maxDrawdown * 100).toFixed(2)}%
`; } // 4. Monthly Performance Breakdown if (backtestPerformed && backtestCumulativeValues.length > 0) { pdfHtmlContent += `Monthly Performance Breakdown
`; pdfHtmlContent += `| Month | Signal Value | Asset Return (%) | Strategy Position | Strategy Return (%) | Cumulative Value ($) |
|---|---|---|---|---|---|
| ${i + 1} | ${monthlySignalValuesUsed[i]} | ${monthData.assetReturn.toFixed(2)} | ${monthlyTradeDecisions[i]} | ${monthlyStrategyReturnDisplay} | $${cumulativeValueDisplay} |