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P&L Analysis 50 Rolling Windows Stress Testing

Analyzing your strategy
Fetching historical prices...
Computing 50 rolling windows...
Calculating P&L and metrics...
Stress-testing across market conditions...
Preparing your report...
Main Results

Buy and Hold, backtested

Overall performance of the strategy — Returns, Risk, and Performance against the market.

Strategy Parameters
StrategyBuy & Hold
PeriodDec 2020 – Dec 2025
FrequencyMonthly
Initial investment€ 1,000
Amount per period€ 200
Total invested€ 16,800
Portfolio Composition
S&P 50060%
Bonds (Aggregate)25%
Gold15%
Total Profit & Loss
+€0
+37%
Return on total invested capital over the full period
Capital Overview
€ 16,800
Invested
Amount
€ 23,000
Portfolio
Value
0
Ann. Return (CAGR)
0
Max Drawdown
0
Sharpe Ratio
Scroll to explore
Portfolio Evolution

How your portfolio performed over time

Total Invested
€ 1,000
Peak PnL
€ 0
Worst PnL
€ 0
Final PnL
€ 0
Total Fees
€ 0
Stress Exposure
Dec 2020 Dec 2025
3
Crises Traversed
11 mo
In Stress Zones
4.2 mo
Avg Recovery
0 days
Longest Recovery
Reality Check

But are these results
reliable?

We ran your strategy across multiple time windows. We compare your window results with all the windows to assess if your results rely on timing luck.

Strategy tested across multiple overlapping time windows
Your result ranked against all possible entry dates
Detects whether your timing was lucky, unlucky, or typical
Representativeness
0%
Representative
Your position among all windows
P50
Your P&L
—
Median P&L
—

Benchmarking

Your strategy versus
the MSCI World index

Strategy
MSCI World
Robustness Analysis

How strong is this strategy, really?

We stress-tested your strategy across 50 different market windows — bull runs, crashes, and everything in between. This score measures how consistently it delivers strong, stable returns regardless of when you invest.

0%
Robust
Poor
Medium
Robust
Very Robust
78%
Score breakdown
iPercentage of rolling windows where the strategy ended with a positive return. A high win rate means the strategy is profitable across most market conditions.
Win Rate
—
iHow consistent returns are across all rolling windows. A high score means returns stay tightly grouped around the median, with few extreme outliers.
Return Stability
—
iHow much capital is preserved in worst-case scenarios. Compares the 10th percentile outcome to the median. A high score means limited downside even in bad periods.
Tail Risk
—
iHow stable the strategy's risk profile stays across windows. Measures consistency of Sharpe ratios and drawdowns. A high score means predictable risk behavior.
Risk Consistency
—
Explore full analysis
Return Distribution

What returns does this strategy typically deliver?

We replayed your strategy from 50 different start dates, same duration. Each bar groups scenarios by their final return. The dashed line marks your result — a tight distribution means consistent performance.

22% of scenarios end in a loss
The Journey

How your gains could have evolved

P&L evolution across all rolling windows — your path is highlighted in teal. The shaded band covers the full range of scenarios from best to worst case.

Your Path
Mean
All scenarios (min–max)
What to Really Expect

The numbers you should actually plan for

Your single window is one data point. These are the expected metrics based on all scenarios — the numbers you should trust when making a decision. The range bar covers the 5th to 95th percentile, where 90% of outcomes land.

Robustness Summary
This strategy delivers consistent results across market conditions — returns, risk, and ratios remain stable regardless of the entry point.
Benchmark Comparison

Does your strategy
beat the market?

Your strategy compared to a passive MSCI World investment — not just once, but across every single rolling window.

0%
—
Index Wins
Under­performing
Comparable
Outperformer
0%
Score breakdown
iPercentage of rolling windows where your strategy outperformed the benchmark. Above 50% means you beat the market more often than not.
Win Rate
—
Windows beating the index
iThe Information Ratio: how reliably your strategy delivers excess return versus the benchmark, adjusted for the variability of that outperformance.
Alpha Consistency
—
How reliably the strategy delivers excess return
iDifference in risk-adjusted returns (Sharpe ratio) between your strategy and the benchmark. Positive means you earn more per unit of risk taken.
Sharpe Advantage
—
Risk-adjusted return differential vs the index
Scroll to explore the full comparison
Performance Trajectory

Your strategy vs the market

Cumulative profit & loss averaged across all rolling windows — how your strategy's returns stack up against a passive MSCI World investment over time.

Your Strategy
MSCI World
Strategy Avg. P&L
€ 0
Market Avg. P&L
€ 0
Average Delta P&L
€ 0
Beyond the Average

What could actually happen

The chart above shows the average path. But averages smooth out reality. Here, each metric is shown across all 50 scenarios — from the best outcome to the worst, so you know exactly what range to expect.

How to read this chart
Worst 10% 25th Mean 75th Best 10%
The box covers 50% of outcomes (25th–75th percentile). The line extends to the 5th–95th percentile range. The vertical mark is the median.
Your Strategy
MSCI World
Your single-window result
P&L
Strategy wins
Strategy
MSCI
Ann. Return
Strategy wins
Strategy
MSCI
Volatility
Strategy wins
Strategy
MSCI
Max Drawdown
Strategy wins
Strategy
MSCI
Sharpe Ratio
Strategy wins
Strategy
MSCI
Sortino Ratio
Strategy wins
Strategy
MSCI
Calmar Ratio
Strategy wins
Strategy
MSCI
Benchmark Assessment
Your strategy beats the MSCI World in the majority of scenarios, with a positive median alpha. However, it does so with slightly higher drawdowns — a risk-return tradeoff worth noting.
Portfolio Efficiency

Is your portfolio on
the efficient frontier?

How well does your portfolio balance allocation and diversification? We measure both your Sharpe efficiency and how effectively your assets reduce risk through low correlations.

0%
—
Inefficient
Moderate
Efficient
Optimal
0%
Score breakdown
iHow close your Sharpe ratio is to the best achievable with your assets. 100% means your weights are optimal. Contributes 70% of the total score.
Allocation · 70%
—
Sharpe — / Best —
iBased on the Diversification Ratio (Choueifaty) — how much your assets' correlations reduce portfolio risk. Higher means your assets genuinely move independently. Contributes 30% of the total score.
Diversification · 30%
—
DR = —
Scroll to explore the frontier
Efficient Frontier

Risk vs return, mapped

Each dot is a possible allocation of your assets. The curve shows the best achievable return for each level of risk. Click any point to compare.

Sharpe ratio LowHigh
Comparison

Your portfolio vs selected

Your Portfolio
Select a point
Annualized Return
—
Annualized Return
—
Volatility
—
Volatility
—
Sharpe Ratio
—
Sharpe Ratio
—
Max Drawdown
—
Max Drawdown
—
Allocation
—
Allocation
—
The Verdict
0 /100
Strong.

Your strategy is being assessed.

Efficiency

Robustness

Market Edge

We analyzed your strategy across multiple time windows to deliver a comprehensive assessment.

Past performance does not guarantee future results.

Parameter Optimization

Can your strategy do better?

Bayesian optimization tests hundreds of parameter variations across rolling windows, then validates on held-out recent data to avoid overfitting.

Optimization goal
Balancing metric
Walk-forward validated
Anti-overfitting
Bayesian optimization
~60 seconds
Trades Analysis

Every trade, visualized

Portfolio value over time. Each vertical bar marks a trade — hover to see what was bought and how much was invested.

61 Total Trades
58 Buy Orders
3 Sell Orders
0 Ann. Turnover
€ 0 Fees Paid
Trade Log

All transactions

DateAssetActionQuantityPriceAmountFeesP&L
Dec 2025
S&P 500
Buy0.42€ 4,812+€ 312
Dec 2025
Bonds Agg
Buy1.18€ 102-€ 28
Dec 2025
Gold
Buy0.015€ 1,842+€ 84
Nov 2025
S&P 500
Buy0.39€ 4,680+€ 187
Nov 2025
Bonds Agg
Buy1.22€ 99-€ 14
Nov 2025
Gold
Buy0.016€ 1,790+€ 62
Oct 2025
S&P 500
Buy0.41€ 4,550+€ 402
Oct 2025
Bonds Agg
Buy1.15€ 101+€ 6

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