Backtest Results Definitions

In the zip file backtest results. There are 2 folders called StockOutputs and StrategyOutputs. Within the StockOutputs, there are 2 files called StockReturns.csv and StockStats.csv. Inside the StrategyOutputs folder, there will be 3 files called StrategyReturns.csv, StrategyStats.csv, and StrategyTrades.csv.

There are also 3 files called StockSummary.csv, StrategySummary.csv, and output.json in the root folder. The Summary files are just Stats.csv data but all in 1 row. The output.json file has all the results in JSON format.

StockStats.csv

Field	Definition
AnnReturn	Annual Return = Total Yearly Annual Returns / Total Years.
AnnSharpe	Annual Sharpe Ratio = Annual Return - Risk-Free Return / Standard Deviation of Excess Returns.
AnnSortino	Annual Sortino Ratio = Annual Return - Risk-Free Return / Standard Deviation of Negative Excess Returns.
AnnVolatility	Standard Deviation of Yearly Returns.
MaxDrawDown%	Percentage of Max drawdown from peak to trough.
DrawDownDays	Number of days of Max drawdown from peak to trough.
BestMonthRtn	Best Returns in a month.
WorstMonthRtn	Worst Returns in a month.
BestYearRtn	Best Returns in a year.
WorstYearRtn	Worst Returns in a year.
Year	Year of backtest.
Jan - Dec	Monthly Returns.

StockReturns.csv

Field	Definition
Date	Date of Daily Return.
Return	Daily Return = Current Stock Price / Previous Stock Price - 1.
StockPx	Stock Price.

StrategyStats.csv

Field	Definition
AnnReturn	Annual Return = Total Yearly Annual Returns / Total Years.
AnnSharpe	Annual Sharpe Ratio = Annual Return - Risk-Free Return / Standard Deviation of Excess Returns.
AnnSortino	Annual Sortino Ratio = Annual Return - Risk-Free Return / Standard Deviation of Negative Excess Returns.
AnnVolatility	Standard Deviation of Yearly Returns.
MaxDrawDown%	Percentage of Max drawdown from peak to trough.
DrawDownDays	Number of days of Max drawdown from peak to trough.
BestMonthRtn	Best Returns in a month.
WorstMonthRtn	Worst Returns in a month.
BestYearRtn	Best Returns in a year.
WorstYearRtn	Worst Returns in a year.
BestTradeP&L$	Best profit/loss in a given trade in absolute dollars per 1 contract.
WorstTradeP&L$	Worst profit/loss in a given trade in absolute dollars per 1 contract.
BestTradeP&L%	Best profit/loss in a given trade in notional percent returns.
WorstTradeP&L%	Worst profit/loss in a given trade in notional percent returns.
P&L$PerTradeAvg	Profit/Loss per trade average in dollar terms.
P&L$PerDayAvg	Profit/Loss per day average in dollar terms.
P&L%PerTradeAvg	Profit/Loss per trade average in percentage terms.
P&L%PerDayAvg	Profit/Loss per day average in percentage terms.
StratWinRate	Strategy Win Rate = Total Number of Winning trades divided by Total number of trades.
DaysInTradeAvg	Average number of days in option trade.
TotStratTrades	Total number of trades.
TotStratP&L$	Total Profit/Loss for the strategy in dollar terms.
TotStratP&L%	Total Profit/Loss for the strategy in percentage terms = TotStratP&L$ / (CreditReceivedPerTradeAvg * TotStratTrades)
CreditReceivedPerTradeAvg	Credit/Debit Received/Paid per trade average.
%OfTimeInMarket	Percent of time in the market = Number of days in the market divided total number of days in the backtest.
Year	Year of backtest.
Jan - Dec	Monthly Returns.

StrategyReturns.csv

Field	Definition
Date	Date of Daily Return.
Return	Daily Notional Return = Daily Option Profit / Entry Stock Price.
Delta	Total net delta in the position.
StockPx	Stock Price.
TotalProfit	Total 1 lot daily strategy profit.
TotalTrades	Total number of current option positions.

StrategyTrades.csv

Field	Definition
Date	Date of option trade entry.
Ticker	Stock Symbol.
Leg	Leg number of the trade.
Ratio	Ratio of the option trade. (ie 1 for long and -1 for short. -2 could be the middle strike for 2 short options in a butterfly)
Weight	Weightings multiplier for a symbol that affects profit and return calculations. Commonly used for multi-symbol strategies. Click here for more info.
OptionType	call or put
Year	Year of expiration.
Month	Month of expiration.
Strike	Strike of the option.
DTE	Days to expiration.
TradeOptPx	Entry option price.
Delta	Entry option delta.
EntryStockPx	Stock price at the time of option trade entry.
IVR	Implied Volatility Rank of the time of entry.
ExitDate	Exit date of the option trade.
ExitStockPx	Stock price at the time of option trade exit.
ExitOptionPx	Exit option price.
ExpirDate	Expiration date.
ExpirPx	Stock Price at expiration.
Profit	1 lot total strategy profit including commissions and weightings multiplier if any.
TradeType	Opening or Adjustment trade.

JSON output

The output.json or json response from the API has all the results in JSON format.

See Backtest Results API for API call.

Example Response

{
	"strategy": {
		"trades": [{
			"date": "2007-01-05",
			"ticker": "IBM",
			"leg": 1,
			"ratio": -1,
			"weight": 1,
			"optionType": "call",
			"year": 2007,
			"month": 2,
			"strike": 100,
			"dte": 44,
			"tradeOptPx": 1.525,
			"delta": 0.38,
			"entryStockPx": 97.42,
			"ivr": 20.68,
			"exitDate": "2007-02-16",
			"exitStockPx": 98.99,
			"exitOptionPx": 0,
			"expirDate": "2007-02-16",
			"expirPx": 98.99,
			"profit": 151.5,
			"tradeType": "opening"
		}, {
			"date": "2007-02-22",
			"ticker": "IBM",
			"leg": 1,
			"ratio": -1,
			"weight": 1,
			"optionType": "call",
			"year": 2007,
			"month": 3,
			"strike": 100,
			"dte": 24,
			"tradeOptPx": 0.762,
			"delta": 0.37,
			"entryStockPx": 98.5,
			"ivr": 20.67,
			"exitDate": "2007-03-16",
			"exitStockPx": 93.25,
			"exitOptionPx": 0,
			"expirDate": "2007-03-16",
			"expirPx": 93.25,
			"profit": 75.2,
			"tradeType": "opening"
		}, 
		...
		],
		"returns": [{
			"date": "2007-01-05",
			"return": "-0.0001026",
			"delta": -0.38,
			"stockPx": 97.42,
			"totalProfit": 0,
			"totalTrades": 1
		}, {
			"date": "2007-01-08",
			"return": "-0.0070622",
			"delta": -0.470649,
			"stockPx": 98.9,
			"totalProfit": -68.80,
			"totalTrades": 1
		}, {
			"date": "2007-01-09",
			"return": "-0.0056457",
			"delta": -0.538148,
			"stockPx": 100.07,
			"totalProfit": -54.99,
			"totalTrades": 1
		}, 
		...],
		"stats": {
			"summary": {
				"annReturn": 1.33,
				"annSharpe": 0.05,
				"annSortino": 0.11,
				"annVolatility": 6.31,
				"maxDrawDownPct": 18.07,
				"drawDownDays": 707,
				"bestMonthRtn": 4.2,
				"worstMonthRtn": -9.37,
				"bestYearRtn": 9.42,
				"worstYearRtn": -9.85,
				"bestTradePnlDollar": 295,
				"worstTradePnlDollar": -1167.8,
				"bestTradePnlPct": 3.24,
				"worstTradePnlPct": -8.05,
				"pnlDollarPerTradeAvg": 17.37,
				"pnlDollarPerDayAvg": 0.59,
				"pnlPctPerTradeAvg": 0.11,
				"pnlPctPerDayAvg": 0.39,
				"strategyWinRate": 76.16,
				"daysInTradeAvg": 29,
				"totalTrades": 151,
				"totalDollarProfits": 2623.5,
				"totalPctProfits": 11.480646784674969,
				"avgCreditReceived": 151.33,
				"percentOfTimeInMarket": 99.16074887023886
			},
			"monthly": [{
				"year": 2007,
				"Jan": 0.75,
				"Feb": 1.47,
				"Mar": 0.32,
				"Apr": -1.85,
				"May": -4.3,
				"Jun": 0.53,
				"Jul": -3.66,
				"Aug": -1.27,
				"Sep": 1.26,
				"Oct": 0.89,
				"Nov": 3.04,
				"Dec": 0.91,
				"annReturn": -1.91,
				"annSharpe": -0.39,
				"annSortino": -0.67,
				"annVolatility": 7.22
			}, {
				"year": 2008,
				"Jan": 0.51,
				"Feb": -2.09,
				"Mar": -2.19,
				"Apr": 1.05,
				"May": -0.46,
				"Jun": 2.35,
				"Jul": 0.78,
				"Aug": 1.35,
				"Sep": 0.87,
				"Oct": 2.37,
				"Nov": 0.65,
				"Dec": 4.2,
				"annReturn": 9.42,
				"annSharpe": 1.18,
				"annSortino": 2.43,
				"annVolatility": 5.98
			},
			...]
		}
	},
	"stock": {
		"returns": [{
			"date": "2007-01-03",
			"return": 0,
			"stockPx": 97.27,
			"adjClsStockPx": 73.08397
		}, {
			"date": "2007-01-04",
			"return": "0.0106919",
			"stockPx": 98.31,
			"adjClsStockPx": 73.86538
		}, {
			"date": "2007-01-05",
			"return": "-0.0090530",
			"stockPx": 97.42,
			"adjClsStockPx": 73.19668
		}, 
		...],
		"stats": {
			"summary": {
				"annReturn": 7.7,
				"annSharpe": 0.34,
				"annSortino": 0.96,
				"annVolatility": 19.86,
				"maxDrawDownPct": 40.64,
				"drawDownDays": 119,
				"bestMonthRtn": 17.26,
				"worstMonthRtn": -26.27,
				"bestYearRtn": 50.01,
				"worstYearRtn": -23.68
			},
			"monthly": [{
				"year": 2007,
				"Jan": 2.04,
				"Feb": -6.08,
				"Mar": 1.49,
				"Apr": 8.28,
				"May": 4.7,
				"Jun": -1.16,
				"Jul": 5.23,
				"Aug": 5.84,
				"Sep": 1.01,
				"Oct": -1.26,
				"Nov": -8.96,
				"Dec": 2.92,
				"annReturn": 14.04,
				"annSharpe": 0.76,
				"annSortino": 1.14,
				"annVolatility": 16.49
			}, {
				"year": 2008,
				"Jan": -0.37,
				"Feb": 6.8,
				"Mar": 1.26,
				"Apr": 4.89,
				"May": 7.53,
				"Jun": -8.61,
				"Jul": 7.89,
				"Aug": -4.49,
				"Sep": -3.39,
				"Oct": -21.07,
				"Nov": -11.17,
				"Dec": 3.93,
				"annReturn": -16.8,
				"annSharpe": -0.71,
				"annSortino": -0.76,
				"annVolatility": 29.28
			},
			...]
		}
	}
}