Understanding Backtest Insights results?

It explains in minute details the result of the Backtest of your strategy which will help the trader in further analyzing its strategy depending on its result based on the profit or loss shown, winning or losing streak, the ration of reward and risk. All the hypothetical trades generated are shown in the charts and transactions table along with profit/loss and portfolio values during every trade.

On click of ‘Backtest Insights’  to discover detail analysis of strategy

 

Metrics details

 

 

  • Symbol: The selected script/instrument/security/Future contracts for which Backtest is executed. 
  • P&L: The net profit or loss realized after taking all the trades generated through the algo.

  • Return %: it gives the percentage return % on initial invested value set while creating strategy.   

  • Closed: Displays the total number of hypothetical trade signals are executed. 

  • Wins vs Losses: Displays the number of trades that ended up being profitable and the ones that ran into losses. This important piece of information can help you decide whether your Risk/Reward ratio based on stop loss/profit-target & average loss/losing trade v/s average gain/winning trade is favorable or not.
  • Long:  it indicates the number of hypothetical buy trade signals generated 
  • Short:  Displays the number of hypothetical sell signals executed

  • Winning Streak (WS): The highest number of subsequent winning trades, one after another.

  • Losing Streak (LS): The highest number of subsequent losing trades, one after another.

  • Sharpe Ratio: Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. It is ratio of the excess expected return on investment per unit of volatility or standard deviation. The higher the ratio the better your strategy is. Any strategy with a Sharpe ratio >1 is supposed to be great!

  • Max Drawdown: Max Drawdown measures the size of the largest loss among all the loss during a period. It does not take into account the frequency of losses. A max dd of 0.97 is better than 1.53. Similarly, a max dd of -0.12 is better than -0.93. The lower the value, the better. It should ideally as close to 0 as possible. If a strategy never made a loss making trade, the Max DD would be zero.

  • VWR: Similar to Sharpe Ratio but offers a timeframe independent approach to strategy evaluation. 

  • SQN: SQN measure how much the statistic of a trading system trades is 'stable', higher value means lower probability that the results are depending on random lucky sequence and higher probability that the trading system captured a real market edge

     

 

Graphical Result details

 

 

 

  • Cumulative P & L chart: Green bar chart represents the cumulative P&L realized after taking all the trades generated through the algo Backtest. And the blue line graph represents the Cumulative Return % on the initial invested value set while creating a strategy. 
  • Buy & Sell Graph: It will represent the date wise, entry point, and exit point along with the entry price or exit price. 
  • Position value:  Movement of your position with unrealised profit

 

 

Transaction details

 

 

KEEV's Backtest result also allow user to see the trade details i.e. entry or exit (entry/exit) based on which the Backtest Profit & Loss and other metrics are calculated. You can find these specific entries and exit date and time by clicking on "Transaction Details".

Transaction details will list the date and time of entry along with the entry price followed by the date and time of exit and also the profit or loss on the transaction.

 

Trigger Types:

Position | Transaction Side | Action  

  • LBEN - Long Buy Entry 
  • LSSL - Long Sell Stoploss
  • LSTSL Long Sell Trailing Stoploss
  • LSTP - Long Sell Take Profit
  • LSSO - Long Sell Square Off
  • LSEX - Long Sell Exit
  • SSEN - Short Sell Entry
  • SBSL - Short Buy Stoploss
  • SBTSL - Short Buy Trailing Stoploss
  • SBTP - Short Buy Take Profit
  • SBSO - Short Buy Square Off
  • SBEX - Short Buy Exit

 

With Brokerage Toggle

We account for all the deductions as per input given for brokerage calculation on website. Brokerage charges include broker's brokerage, STT, transaction charges, GST and SEBI charges.

Unable to find an answer?

Looking for anything specific article which resides in general queries? Just browse the various relevant folders and categories and then you will find the desired article.

Raise a ticket