Performance Report
The report contains the most valuable metrics for evaluating a strategy. These metrics are explained in the table below.
Metric | Description |
|---|---|
Return (%) | The total return generated by the strategy during the backtest period, expressed as a percentage. |
Backtest Time | The specific period over which the backtest is conducted. |
Number of Backtest Days | The total number of days within the backtest period. |
Time in Market (%) | The percentage of the backtest period during which the strategy has open positions. |
Number of Trades | The total number of trades executed by the strategy during the backtest period. |
Win Rate (%) | The percentage of trades that close with a profit. |
Profit/Loss Ratio | The ratio of total net profit to total net loss, also known as the Profit Factor. |
Market Change (%) | The percentage change in the market’s value during the backtest period. |
Sharpe Ratio | A measure of risk-adjusted returns, comparing the strategy’s excess profit to its volatility. Learn more here. |
Calmar Ratio | A measure of risk-adjusted returns that compares the strategy’s excess profit to its maximum drawdown. Learn more here. |
Max Drawdown (%) | The maximum observed loss from a peak to a trough before a new peak is reached, expressed as a percentage. |
Mean Number of Entries | The average number of entries the strategy makes each time it opens a position, including pyramiding entries. |
Best Return (%) | The highest single-trade profit achieved during the backtest period, in percentage. |
Worst Return(%) | The largest single-trade loss incurred during the backtest period, in percentage. |
Average Position's Duration | The average amount of time a position remains open. |
Worst Expected Drawdown (%) | The worst expected drop in the portfolio's value measured as a percentage of the strategy's initial money. |
Maximum Recovery Time (Days) | The maximum number of days the strategy needs to recover from a drop in its portfolio value. |