Analyze Your Results

Summary Statistics

The Backtest Results displays the Summary Statistics of your strategy. 

• Start Date:  Start date of your backtest
• End Date:  End date of your backtest
• Portfolio Return:  Percentage return of portfolio
• Max Drawdown: max loss from a peak to trough of the portfolio, before a new peak is attained
• # Opening Trades:the number of opening transactions, excluding closing transactions (i.e. expiration)
• # Winners / Losers: number of trades with profits (winners) or losses (losers).  Both realized and unrealized gains/losses are used to calculate profits/losses
• Average Gain / Loss: average gains of the winning trades and average losses of the losing trades

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If your backtest results change from one backtest run to another, please review our Technical FAQ (Analyzing Results) on why this happens and how to update your strategy accordingly.

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Example

To demonstrate how each of these statistics are computed, here is an example strategy which we will use to analyze the backtest results:

We will use the following Backtest Settings:

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The results of the backtest are as follows: (Download Summary CSV)

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To demonstrate how the summary statistics are computed, we will use the daily profit/loss as well as the transaction logs to manually compute the summary statistics.

Portfolio Return

• Ending portfolio value is $102,210
• Starting portfolio value is $100,000.
• Return on portfolio:  (102,210-100,000)/100,000 = 2.21%

Max Drawdown

• Peak of portfolio: $122,440 (on Feb 24, 2020)
• Trough of portfolio:  $97,815 (on Feb 28, 2020)
• Max DrawDown (%) = (Trough – Peak) / Peak = (97,815-122,440)/122,440 = (-20.11%)
• Max Drawdown ($) = (97,815 – 122,440) = (-24,625)

Number of Opening Trades

• While there are a total of 5 transactions from the transaction logs, there are only 3 opening trades.  2 trades are closing / expiration trades.

Profit / Loss of Each Opening Trade

• 1st Opening Trade:  Sell to Open for $106.18, and Buy To Close for $98.125.
  • Realized Gain:  (106.18 – 98.125) * 10 contracts * 100 = +$8,055
• 2nd Opening Trade: Sell To Open for $46.745 and Buy To Close for $32.36
  • Realized Gain:  (46.745 – 32.36) * 10 contracts * 100 = +$14,385
• 3rd Opening Trade: Since this trade remains open a the end of the backtest, we will need to compute the unrealized gain / loss of this trade using prices at the end of the backtest date (3/3/2020)
  • Price of open option at end of backtest using mid prices from the Option Chain: (72.55 + 73.91) / 2 = $73.23
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  • Sell To Open for $53 but with ending mid-prices at $73.23
  • Unrealized gain/loss:  (53-73.23) * 10 * 100 = (-$20,230)

Number of Winners

• 2 winners:  Trade 1 and Trade 2

Number of Losers

• 1 Loser:  Trade 3 had unrealized losses at end of backtest

Average Gain of Winners

• Trade 1:  $8,055
• Trade 2:  $14,385
• Average:  (14,385 + 8,055) / 2 = $11,220

Average Loss of Losers

• Trade 3:  ($-20,230)
• Average:  (-20,230) / 1 = (-20,230)

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