Backtest Results
Last updated
Last updated
Congratulations– you’ve made it to the backtest results screen.
Unless you’ve triggered this screen (below), you should have a bunch of data..
Underlying: This displays the tickers for the options being backtested.
Dates: The range the test ran.
Legs: Shows the leg(s) of the test.
Entry Conditions: Details the entry conditions selected.
Exit Conditions: Details the exit conditions selected.
Misc: Details any Misc conditions.
P/L: Shows the overall profit or loss of the strategy during the time range.
CAGR: The compound annual growth rate of the strategy during the test. CAGR is based upon net liquidity, so it involves open trades.
Max Drawdown: The max drawdown at EOD. If a trade is open, then the EOD value is used for MDD calculations. If the trade closes, then the loss is used for MDD calculations. (Please note: This is different from the max loss column on the trade log, which is intraday).
MAR Ratio: CAGR / MDD
Win Percentage: % of trades that are profitable
Total Premium: The total amount of credit or debit.
Capture rate: The % of the trade value that was realized.
Starting capital: The amount of $ at the beginning of the backtest.
Ending capital: Starting capital +/- profit loss from closed backtests.
Average per trade: The average amount of $ either profited or lost during the backtest period.
Average winner per lot: Average amount collected during a winning trade per lot.
Average loser per lot: Average amount lost during a losing trade per lot.
Max winner: Highest amount profited during any closed trade (or an ongoing trade if one is open at test completion).
Max loser: Highest amount lost during any closed trade (or an ongoing trade if one is open at test completion).
Average days in trade: The average amount of time spent with an open trade.
Trades: Total number of trades, including an ongoing trade if one is open at test completion.
Winners: Total number of winning trades, including an ongoing trade if one is open at test completion.
Net Liquidity (Net Liq): The sum of the portfolio’s cash, added to the mid-value of any open options position
At the bottom of the backtest results screen is the summary screen. It has two main tabs, the summary and the trade log.
The summary itself consists of two parts. The first part is a graph visually representing the funds by date in the backtest.
The second part contains annual metrics. This is the return of the backtest as well as its maximum drawdown. If the test is multi year, the metric will display each return/MDD as bar graphs by year.
The other tab at the bottom of the backtests results screen is the trade log.
At the top right of the screen there are several options for customizing the trade log.
Sort:
Tests can be sorted by opened, closed and P/L.
The next box can sort ascending and descending.
Filter:
The log can be filtered to view only winners or only losers.
If you click the three vertical lines on the left, you will be able to see the Trade Replay– how the trade behaved over time. The graph also shows VIX and the underlying.
Note, the trade replay is based on 1 minute data, so if you’re using IMSL, that will not be reflected.
This will export the trade log to a .csv file, so it can be opened and used in Microsoft Excel, Google Sheets, IOS, etc. etc.
When a backtest is exported to CSV, the context that is given in the visual trade log on the backtest results screen is lost. Specifically, if you’re wondering about a certain value (e.g. why is my max profit that number), it is helpful to refer to the trade log to see which values are precents vs. raw numbers, etc.
The gear icon will open up a screen with additional customization choices.
Clicking on the red/green eye option on the right side of the screen will allow the selection to be turned on or off in the trade log. The selections are described below:
Opened On: The day, dates and time the trade opened.
Opening Price: Price of the underlying at the time the trade opened.
P/L: The amount the trade profited or lost (measured in $)
Max Loss: The maximum loss the trade was “down” (measured in %)
Max Profit: The maximum gain the trade was “up” (measured in %)
Legs: The quantity, date, strike and type (put/call) of the leg.
Premium: The amount of debit or credit at the time of trade open (impacted by slippage if used).
Closing Price: Price of the underlying at the time the trade closed.
Closing Cost: The amount of debit or credit at the time of trade close (impacted by slippage if used).
Reason for close: The trigger that exited the trade.
Margin Req’d: While we have made every effort to have accurate and realistic margin modeling, margin requirements DO vary between brokerages.
Funds at close: Current funds after the trade closed.
Opening S/L ratio: Total short premium divided by total long premium.
Opening S/L ratio: Total short premium divided by total long premium.
Opening VIX: VIX at time of trade open (will not display unless VIX is an entry condition).
Closing VIX: VIX at time of trade closed (will not display unless VIX is an exit condition).
Gap: Underlying price gap from close of previous day to opening of current day
Movement: Underlying price movement from open of day to opening the trade
It is possible to sort the trade log using several filters, including Max Profit/Loss, P/L, and Opening /Closing.
You can also sort ascending or descending, and filter winners or losers.
If you have a backtest that you want to save, click the down arrow at the backtest results screen.
This will bring up the Save Backtest screen, which let’s you either save a new backtest, or save over (replace) an existing backtest.
If you select the “Create New Backtest” button, you can now name the backtest, along with a description, and tagging, and sharing.
Tags are an easy way of organizing your backtests. You can add a new tag by typing and then hitting the plus button
The tag will then show up in your backtest name (we have two tags here “Add new tags here!” and “CL” in this example).
To share a test, select share test with others when you’re saving the backtest
To get the link to the test, just click the chain link button near the test name
