A Comprehensive Portfolio Backtesting And Performance Analysis Solution That Empowers Investors To Build And Test AI-Driven Portfolios Delivering Superior Returns While Effectively Managing Risk.

SapienTrade portfolio simulation echosystem enables investors to first build AI-generated portfolios diversified across sectors or market-cap segments, then dynamically optimize stock allocations and rebalance the portfolio at each trading horizon, and finally backtest return and risk performance using extensive portfolio metrics to fine-tune portfolios that best match desired risk–return trade-off.

Our Portfolio Backtesting toolbox evaluates the performance of AI-driven portfolio strategies over time using closed historical market data dating back to 2023. The backtesting framework follows a structured workflow to design, implement, and execute portfolio backtesting strategies.

Portfolio updating strategy. AI investment or trading portfolios are constructed by allocating a defined percentage of capital to selected stock sectors or market-cap classes and specifying the number of top AI-ranked stocks (e.g., 10, 20, 30, etc.) to include for each sector or market-cap group. Additional details are provided here, Read More
Multiple-period portfolio rebalancing. The above AI-generated portfolio undergoes optimization at each rebalancing interval (e.g., monthly), where the optimization engine solves for the optimal asset weights subject to the defined portfolio constraints. At each rebalance date, the portfolio is rolled forward using the terminal portfolio value from the previous holding period and reconstructed based on the newly generated AI-ranked asset universe and portfolio specification.
The multi-period AI portfolio generated in step (2) is subsequently evaluated using the Portfolio Performance Analysis toolbox described below, which computes an extensive set of performance and risk metrics and produces comprehensive visualizations.

Portfolio Performance Analysis toolbox provides a comprehensive suite of portfolio performance metrics with powerful visualizations to test any optimal AI-generated portfolio in backteting.

Performance Overview: CAGR, Cumulative Return, Sharpe Ratio, Sortino Ratio, Calmar Ratio, Risk, Ulcer Index, Annualized Volatility, Max Drawdown, Value At Risk, Conditional Value At Risk, UPI.
Daily Return and Performance: Cash position, Balance, P&L, Earnings, Return.
Risk & Drawdown: Volatility, Max Drawdown, Drawdown, Ulcer Index, UPI, Recovery Factor, Beta, Value at Risk, Conditional Value at Risk.
Risk Ratio: Sharpen, Sortino, Adjusted Sortino, Calmar, Rar, Risk Return Ratio, Gain to Pain Ratio.
Trade Statistics: Win Rate, Win Loss Ratio, Avg. Win, Avg. Loss, Best, Worst, Payoff Ratio, Profit Factor, Profit Ratio, Consecutive Win, Consecutive, Risk of Ruin.

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CFTC Rule 4.41 – simulated, or hypothetical performance results have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because such trades have not actually been executed, the results may have under- or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight.

No representation is being made that any account will or is likely to achieve profits or losses similar to those shown in any simulation. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any trading program. One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk of actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses is a material point which can also adversely affect trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results, and all of these can adversely affect actual trading results. By using our site, you acknowledge you have accepted our: