Interpreting Backtest Report
As soon as the backtest is complete, a comprehensive detailed backtest report is sent to the user’s email address. This report consists of key performance metrics for the strategy. You can also download the Stats pdf and positions CSV from the backtest page too. It makes it very convenient for the user to do their own analysis based on the trades taken by the backtest engine.
Backtest report consists of the below stats
PNL Curve – A PNL curve is a graphical representation of the change in the value of a Profit/loss over a period of time
Capital Required - The total starting capital for the strategy
Total PNL - The total profit/loss generated during the entire backtest period
Drawdown - Drawdown expressed in % terms refers to the degree to which the PNL curve drops from the peak (Highest point) to a trough (Lowest point)
Standard Deviation - Standard deviation is the statistical measure of volatility. It is also expressed in % terms. The lower the Std.dev, the more reliable the strategy.
Sharpe Ratio - Sharpe ratio is a measure for calculating risk-adjusted return. Strategies with higher market excess returns and lower volatility will show higher Sharpe Ratios. So naturally, higher is better. For Annualized Sharpe Ratio, the Risk-free rate is considered as 0
Total Trading Days - Total no. of trading sessions in the selected backtest period
Win Days - This parameter tells you the no. of profitable days
Loss Days - This parameter tells you the no. of loss days
Win Rate –. Simply put, this parameter tells the trading system’s win ratio. The bigger, the better. No of profitable days/Total trading days in the selected backtest period
Avg Monthly Profit – Average profit generated per month
Avg Monthly ROI – Average ROI generated per month, Capital is considered as the base of all returns
Total ROI – Total ROI generated for the duration of the backtest.
Max Profit in a Day — Maximum Profit generated in a trading day
Max Loss in a Day – Maximum Loss generated in a trading day
Avg PL Daily – Total PNL/total trading days in the selected backtest period
Avg Profit on Profit Days – Average Profit generated on Profitable days
Avg Loss on Loss Days – Average Loss generated on Loss days
Avg no. of trades (Buy + Sell) per day – Average no. of trades in a day(Total trades/number of trading sessions in Backtest period)
Month-wise PNL -This shows the month-wise distribution of Profit/Loss over the duration of backtest.
Position CSV– All the positions taken by the strategy during the backtesting period are displayed under this. Additional useful information like condition, price and quantity is mentioned in the report.
Updated on: 13/02/2023