Sensitivity Analysis

Performance Metrics

Key metrics include Sharpe ratio, maximum drawdown, win rate, profit factor, and average trade duration. Compare against baseline strategies and adjust parameters based on out-of-sample results.

Common Issues

Common issues with sensitivity analysis include look-ahead bias in backtesting, overfitting to historical regimes, inadequate handling of exchange downtime, and insufficient logging for debugging.

Implementation

Implementation of sensitivity analysis follows a modular architecture. Configuration files define parameters, strategy modules handle logic, and exchange adapters manage execution.

Configuration Example

Configuration for sensitivity analysis uses YAML or JSON format. Key parameters include timeframes, signal thresholds, position sizing rules, and risk limits.

# Example configuration for Sensitivity Analysis
strategy:
  name: sensitivity-analysis
  timeframe: 5m
  indicators:
    - rsi
    - ema_fast
    - ema_slow
  entry_conditions:
    - rsi_oversold
    - ema_crossover_bullish
  exit_conditions:
    - rsi_overbought
    - stop_loss_hit
  risk:
    max_position_size: 0.02
    stop_loss_pct: 0.015

Production Notes

In production, sensitivity analysis requires monitoring for API rate limits, database connection pooling, log rotation, alert thresholds, and automated restart procedures. Document runbooks for incident response.