backtest
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configuration
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Return
--
Sharpe
Sortino
--
Drawdown
--
Trades
--
Final Value
--
equity curve
Return
--
Final Value
--
Sharpe
--
Sortino
--
Return Diff
--
Equity Diff
--
risk metrics
VaR 95%
--
VaR 99%
--
CVaR 95%
--
CVaR 99%
--
execution
Commission
--
Slippage
--
Total Cost
--
Signals
--
Fill Rate
--
Bars
--
trade statistics
Round Trips
--
Win Rate
--
Profit Factor
--
Expectancy
--
Payoff Ratio
--
W / L
--
Avg Win
--
Avg Loss
--
Largest Win
--
Largest Loss
--
Consec. Wins
--
Consec. Losses
--
monte carlo simulation
P(Profit)
--
Median Ret.
--
Worst (P5)
--
Median (P50)
--
Best (P95)
--
rolling metrics (30-day)
Sharpe Ratio
Max Drawdown
market regimes
Bull
-- of time
Ret: --
Vol: --
Bear
-- of time
Ret: --
Vol: --
Sideways
-- of time
Ret: --
Vol: --
top drawdowns
| # | Depth | Peak | Trough | Start | Trough Date | Recovery | Bars |
|---|
trades
| Date | Type | Symbol | Qty | Price | Comm | Slip |
|---|