Portfolio Performance Report

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A Portfolio Performance Report is generated by 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.

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.

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.
The Based on Monthly Equity node shows the monthly equity correlation of the symbols in the portfolio.
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,

  1. Hover the mouse pointer over the name of the performance measure.
    If there is a description, the pointer will change to a Description 12 Cursor.gif pointer.
  2. Click on the name. The description will appear on the bottom of the report.

For more information on using performance reports, see Using Performance Report.

Saving Portfolio Performance Report

That is possible to save Portfolio Performance report for future reference. To do that:

  1. In the Portfolio Performance Report window click Save Portfolio Save.png toolbar button.
  2. In the Save As dialog window appeared navigate to the required file location.
  3. In the File Name field type in the file name.
  4. In the Save as type field select the file type. There are 3 types available: *.XLSX (MS Excel), *.ODS (Open Office Workbook) and *.CSV; *.TXT (Text file with the List of Trades only).
  5. Click Save.

When saving the file in *.XLSX or *.ODS format select the sections to be saved in the pop-up window. You can use Check/Uncheck All buttons to select/disable all checkboxes.

For saving file in *.CSV; *.TXT format select no separator or a comma/semicolon as a separator in the appeared window. Then select from two options available: export all trades or setup a date to perform export from.

  • To save data in an *.XLSX format a version of Microsoft Excel that supports Visual Basic for applications must be installed on the computer. Once saved the *.XLSX file may be read by any Excel compatible application.
  • To save data in an *.ODS format OpenOffice package must be installed on the computer. Once saved the *.ODS file may be read by any *.ODS compatible application.