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A Portfolio Performance Report is generated by [[<span style="color: red;">'''LINK'''</span>/0297_Portfolio/22-9704_BacktestingPortfolio.html name=""; |Backtesting a Portfolio]]. | |||
Once the portfolio backtesting is complete, a Portfolio Performance Report is displayed in a separate window on the desktop. Reports can be displayed only one at a time. | |||
The report is used to analyze, based on the historical data, the strategy's performance for the entire portfolio. | |||
Performance Report features a two-panel design. Left panel is a "tree" navigation structure, while the right panel displays the performance data. Each section of the report is accessed by clicking the appropriate section name in the left panel. | |||
Performance measurements are organized into five categories: Strategy Analysis, Trade Analysis, Periodical Analysis, Breakdown by Symbols, and Correlation Analysis. A description for each of the measurements within a group is available in the group‘s root section. | |||
Two of the five categories are unique to portfolio backtesting. | |||
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== Breakdown by Symbols == | |||
The Breakdown by Symbols category shows the performance of each symbol in the portfolio. | |||
The '''Overview''' node shows the net profit and total number of trades of each symbol. | |||
The '''Ratios''' node shows the performance ratios of each symbol. The ratios available are Upside Potential, Sharpe Ratio, Sortino Ratio, Fouse Ratio, Calmar Ratio, Sterling Ratio, Avg. win / Avg. loss, Profit Factor, and Percent Profitable. | |||
The '''Equity Curve Analysis''' node shows equity curve statistics for each symbol. | |||
The performance statistics available are Maximum Equity Drawdown, Maximum Equity Run-up, Avg. Monthly Return, and Standard Deviation of Returns. | |||
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== Correlation Analysis == | |||
The Correlation Analysis category shows the equity correlation among the symbols in the portfolio. | |||
The '''Based on Daily Equity''' node shows the daily equity correlation of the symbols in the portfolio. | |||
<br>The '''Based on Monthly Equity''' node shows the monthly equity correlation of the symbols in the portfolio. | |||
<br>The '''Based on Annual Equity''' node shows the annual equity correlation of the symbols in the portfolio. | |||
The description for each performance measure is described in the report. | |||
To show the description of the performance measure, | |||
# Hover the mouse pointer over the name of the performance measure. <br>If there is a description, the pointer will change to a '''Description''' http://www.multicharts.com/img/wiki/toolbar/BTReport/12_Cursor.gif pointer. | |||
# Click on the name. The description will appear on the bottom of the report. | |||
For a more information on using performance reports, see [[<span style="color: red;">'''LINK'''</span>/0280_Backtesting/22-8004_BTReport.html name=""; |Using Performance Report]]. | |||
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[[Category:Portfolio Backtesting]] | [[Category:Portfolio Backtesting]] |