TrendSpider's Strategy Tester provides in-depth analytical data to help you assess the performance of your strategies. Each chart on your Strategy Tester is capable of telling you a lot about different aspects of the behavior of your strategy.
Price Behavior Explorer
The Price Behavior Explorer illustrates how the market behaved while you were in a position.
You can see several important metrics:
- Mean Change (%) - The average percentage change in positions.
- # of Positions - The number of positions.
- Median Change (%) - The median percentage change in positions.
- 2nd/98th Percentile - The middle range of change to spot outliers.
- Random Control (Mean) - The random control average change.
- Min/Max Change (%) - The minimum and maximum percentage change in positions.
Note: The random control line helps you understand if your strategy is the result of an otherwise rising market or the strategy itself. It works by generating random points on the same price chart and tracking their average price behavior using the same math as your strategy.
Performance Chart
The Performance Chart provides a bird's eye view of backtesting results over time and compares the strategy with buy-and-hold results.
You can see four different core metrics:
- Strategy Performance - The cumulative performance of the strategy over time.
- Asset Performance - The baseline performance of the asset over time (buy and hold).
- Positions - The number of positions over time.
- Drawdown - The cumulative drawdown of the strategy over time.
Position Contribution Chart
The Position Contribution Chart shows the percentage of winners versus losers along with the count.
Each strip (red and green) has a number of short vertical lines that indicate the impact of a single position — the further the line stands from a previous one, the higher was the impact of this trade. The chart gives you a sense of consistency of your positions’ outcomes.
For example, if you had only three losing trades, for -1%, -1%, and -3% respectively, then you would have a chart that looks like this:
A complete chart might look like this:
In this example, you might come away with the following insights:
- 66.7% (46, specifically) of your trades lost your money and 33.3% (23, specifically) were profitable.
- Each losing position has lost approximately the same amount of your money.
- Most of the profitable positions had a negligible impact and there was a small number of positions (6) that gave huge outcomes, compared to others.
The interpretation of this chart could be: Your strategy was consistent at losing money, and was spiky when it comes to making money.
Position Return Distribution Chart
The Position Return Distribution Chart shows the distribution of returns to help you see the average loss, average return and average gain, as well as where different trades fell along the spectrum (e.g. to spot outliers).
For example, suppose that your strategy generates the following chart:
You might draw the following conclusions:
- The strategy was pretty consistent when losing money and the vast majority of losing trades ended up losing approximately 2.8%.
- The gains were very inconsistent. The average gain was +8.8%, and there are a few outliers standing for +20% or more.
- The average return of trade was +1.1%. This is a positive number, which is nice.
For more information on Strategy Tester, please refer to the documentation on Understanding Strategy Tester from TrendSpider