Bot Expectation
This report shows what should be and should not be expected from a strategy. The report consists of two main parts:
Return Expectation Report
Rolling Returns Distribution
you need to set two values:
Period (Days): The number of days you want to invest in the strategy.
Desired Return (%): The return you expect from the strategy after the investment period
After setting these values based on your preferences, click Get Report. Below is an explanation of each part of report and how you can use it to better understand the specifications of strategies.
Return Expectation Report
This report includes eight scalars, each highlighting an aspect of the strategy under test.
Metric | Description |
|---|---|
Expected Avg Return (%) | The average return you can expect from the strategy within your investment period, based on backtest results. |
Median Return (%) | There is a 50% chance of achieving this return or higher in the investment period, based on backtest performance. |
Desired Retrun Probability | The probability of making a return greater than or equal to the Expected Return, based on backtest performance. |
Positive Return Probability | The likelihood of generating a positive return within the investment period, based on backtest performance. |
Highest Expected Return | The maximum return you can expect from the strategy, based on backtest results. |
Lowest Expected Return | The minimum return you can expect from the strategy, based on backtest results. |
Rolling Return Distribution
The Strategy Expectation Report analyzes daily returns using a rolling window approach. Beginning at the start of the backtest period, it selects a window of Investment Period days and sums the returns within that window. The window then shifts forward by one day, and a new return is calculated. This process continues throughout the backtest period, capturing returns over time intervals of the specified Investment Period.
The Rolling Return Distribution Report visualizes the distribution of these returns. The horizontal axis represents return values, while the vertical axis shows the probability of obtaining a return within the given intervals. This graph helps assess the likelihood of different returns over the investment period.
All scalar values reported in the Return Expectation Report are derived from this distribution.
Key Considerations
As with any report, Bot Expectation results depend on the quality and duration of backtest data. Using extended periods with diverse market conditions provides more dependable insights.
This report is designed to offer a broader perspective on a strategy’s performance, but profits are never guaranteed in financial markets.
Results are more reliable when Median Return and Expected Avg Return (%) closely match each other.