Documentation

Understand your
backtest results

Everything you need to interpret your analysis. Strategies explained, metrics demystified, methodology made transparent.

Investment Strategies

strategies,
from passive to active

Tab 1

Strategy Results

The main overview of your backtest. Shows how much money you made (or lost), your portfolio composition, capital evolution, and key performance metrics for your selected time window.

What does this section assess?

The overall profitability and behavior of your strategy on the time window you selected. This is your first-look summary before diving into robustness, benchmarking, or efficiency.

What you'll see
Strategy Parameters
A recap of your backtest configuration: strategy name, time period, frequency, initial and recurring amounts, and total invested.
Portfolio Composition
A visual allocation bar showing how your capital is distributed across assets, with each asset's weight in percentage.
Hero P&L
The total profit or loss displayed prominently. Green = profit, red = loss. This is the result of your selected time window.
Capital Overview
Two waterfall bars comparing your Total Invested amount to the Final Portfolio Value, giving a clear visual of capital growth or decline.
Metrics Strip
Three key numbers at a glance: Annualized Return (CAGR, or XIRR for strategies with multiple cash flows), Max Drawdown, and Sharpe Ratio. See the glossary for definitions.
Capital Evolution Chart
Interactive line chart showing how your portfolio value changed over time. Toggle between P&L Evolution and Portfolio Value views. A cumulative invested line is shown as reference.
Evolution Stats
Five summary cards below the chart: Total Invested, Peak P&L (best unrealized gain), Worst P&L (deepest unrealized loss), Final P&L, and Total Fees paid.
Stress Exposure
A timeline showing which historical market crises your backtest period traversed. Includes stats on number of crises, time spent in stress zones, average recovery time, and longest recovery.
Representativeness Gauge
A 0–100% gauge measuring how typical your selected window is compared to all 50 rolling windows. Shows your percentile position and compares your P&L to the median. A high score means your results are representative; a low score means your window may be an outlier.
Benchmark Comparison
Six-metric bar chart comparing your strategy against the benchmark (default: MSCI World) on CAGR, Volatility, Max Drawdown, Sharpe, Sortino, and Calmar. Each metric shows which one wins. Below, an alpha strip displays your Excess Return and Beta coefficient.
How to interpret

A positive P&L is necessary but not sufficient. Check the Sharpe ratio — are you being compensated for the risk you're taking? Look at the max drawdown — could you stomach that loss in practice? If the capital evolution line is highly volatile, even a profitable strategy may be uncomfortable to hold. Use the representativeness gauge to check whether your window is typical or an outlier before drawing conclusions.

Tab 2

Robustness

A strategy that worked once may have been lucky. This section tests it across 50 different time windows and produces a single reliability score.

What does this section assess?

Whether your strategy's performance is consistent and repeatable, or just the result of favorable market timing. The robustness score (0–100) is computed from 4 pillars using a weighted geometric mean — meaning if any single pillar scores zero, the overall score drops to zero. All pillars are evaluated across all 50 rolling windows.

Key elements
Robustness Gauge (0–100)
The headline score displayed as an animated gauge, with a confidence track showing where your score falls (Poor → Medium → Robust → Very Robust). A callout below provides a plain-language interpretation of the result.
Pillar 1 — Gain-to-Pain Ratio 25%
Ratio of risk-free adjusted gains to losses across all 50 windows. Measures how much you earn for every unit of pain endured. Higher is better.
Pillar 2 — Return Stability 25%
How consistent are returns across windows? Measured using the interquartile range (IQR) relative to the median. A tight spread indicates predictable behavior.
Pillar 3 — Tail Risk 25%
How bad are the worst cases? Evaluated using the 10th percentile of returns relative to the median. Mild worst-case losses score higher.
Pillar 4 — Risk Consistency 25%
Are the Sharpe ratio and max drawdown stable across windows? Combines the consistency of both metrics. A stable risk profile means the strategy doesn't depend on specific market regimes.
Return Distribution Histogram
Shows the spread of final returns across all 50 windows. A dashed line marks your selected window's result. A badge indicates the percentage of scenarios that end in a loss. A tight, right-skewed distribution is ideal.
P&L Trajectories (Spaghetti Chart)
All 50 P&L evolution curves overlaid on one chart, with your path highlighted in teal. Shaded bands cover the full range of scenarios — darker areas indicate more likely paths. The mean trajectory is shown as a dashed line.
What to Really Expect
A set of metric cards showing the expected value for each key metric (P&L, CAGR, Sharpe, Drawdown, etc.) based on all 50 windows. Each card displays the median, your result, and a range bar covering the 5th to 95th percentile — where 90% of outcomes land.
Robustness Summary
A mini-verdict at the bottom summarizing the robustness findings in plain language, with a direct link to continue to the benchmark comparison tab.
How to interpret the score
0–30Poor
30–50Medium
50–75Robust
75–100Very Robust

A score above 50 means the strategy works across most market conditions. Below 30 means it likely depends on specific timing.

Tab 3

Benchmarking

Every backtest is compared head-to-head against a benchmark (default: MSCI World via URTH ETF). Not just once — across all 50 rolling windows.

What does this section assess?

Whether your strategy genuinely outperforms the market, or just rides the same wave. The benchmark edge score (0–100) is computed from 3 pillars: Win Rate (15%), Information Ratio (55%), and Sharpe Advantage (30%). A strategy with positive returns but negative alpha is essentially an expensive index fund.

Key elements
Benchmark Edge Gauge (0–100)
The headline score displayed as an animated gauge, with a confidence track (Index Wins → Underperforming → Comparable → Outperformer). A callout below provides a plain-language interpretation.
Pillar 1 — Win Rate 15%
Percentage of rolling windows where your strategy outperformed the benchmark. Above 50% means you beat the market more often than not.
Pillar 2 — Alpha Consistency (Information Ratio) 55%
How reliably your strategy delivers excess return versus the benchmark, adjusted for the variability of that outperformance. IR = mean(excess) / std(excess)
Pillar 3 — Sharpe Advantage 30%
Difference in risk-adjusted returns (Sharpe ratio) between your strategy and the benchmark. Positive means you earn more per unit of risk taken.
Performance Trajectory
Cumulative P&L chart showing your strategy vs the benchmark averaged across all rolling windows. Three stats are displayed: Strategy Avg. P&L, Market Avg. P&L, and the Average Delta between them.
Boxplot Comparisons (7 metrics)
Side-by-side horizontal boxplots comparing the full distribution of your strategy vs the benchmark across 7 metrics: P&L, Ann. Return, Volatility, Max Drawdown, Sharpe, Sortino, and Calmar. Each row shows a delta chip and a winner badge. A “How to read” guide explains the box (25th–75th percentile), whiskers (5th–95th), median mark, and your single-window result dot.
Benchmark Assessment
A plain-language conclusion summarizing whether your strategy beats the market, with a direct link to continue to the portfolio efficiency tab.
How to interpret the score
0–30Index Wins
30–50Underperforming
50–75Comparable
75–100Outperformer

A score above 50 means your strategy delivers comparable or better results than the benchmark in most scenarios. Below 30, you'd likely be better off buying the index.

Tab 4

Efficiency

Modern Portfolio Theory meets rolling-window robustness. Measures both how well your weights are allocated and how effectively your assets diversify risk.

What does this section assess?

Whether your portfolio allocation is efficient — meaning you're getting the maximum possible return for your level of risk. The efficiency score (0–100) is computed from 2 pillars: Allocation Efficiency (70%) and Diversification (30%). Requires at least 2 assets; for single-asset backtests, a comparison view is shown instead.

Key elements
Efficiency Gauge (0–100)
The headline score displayed as an animated gauge, with a confidence track (Inefficient → Moderate → Efficient → Optimal). A callout below provides a plain-language interpretation.
Pillar 1 — Allocation Efficiency 70%
How close your Sharpe ratio is to the best achievable with your assets. 100% means your weights are optimal. Computed as: your Sharpe / max possible Sharpe × 100.
Pillar 2 — Diversification 30%
Based on the Diversification Ratio (Choueifaty) — how much your assets' low correlations reduce portfolio risk. A DR of 1.0 means no diversification benefit; 1.8+ scores near 100.
Rebalancing Suggestions
Two side-by-side comparisons showing the exact weight adjustments needed to reach: (1) the Max Sharpe portfolio, and (2) the same-risk point on the frontier. Each shows current vs target weights, with before/after metrics for return, volatility, and Sharpe.
Efficient Frontier Chart
A scatter plot with volatility on the X-axis and annualized return on the Y-axis. Each dot is a possible allocation of your assets, color-coded by Sharpe ratio. The curved envelope shows the best achievable portfolios. Key points are marked: your portfolio, the Max Sharpe portfolio, and the Min Variance portfolio. Click any point to compare metrics.
Comparison Panel
Click any dot on the frontier chart to compare it with your portfolio. Shows side-by-side: Annualized Return, Volatility, Sharpe Ratio, Max Drawdown, and the full allocation breakdown for both portfolios.
Efficiency Summary
A plain-language conclusion summarizing your portfolio's efficiency, with a direct link to continue to the verdict tab.
How to interpret the score
0–45Inefficient
45–65Moderate
65–85Efficient
85–100Optimal

For single-asset backtests, the efficiency score is not available. Instead, the frontier chart shows your asset plotted against individual alternatives for comparison.

Tab 5

Trades

The full transaction history: every buy, every sell, every fee. See exactly what the strategy did and when.

What does this section assess?

The granular execution of your strategy. Useful for understanding trade frequency, average position size, and verifying the strategy behaves as expected.

Key elements
Trade Timeline
Visual chart showing buy and sell events plotted on the price history. Green markers = buys, red = sells.
Metrics Strip
Total trades, average trade size, total fees paid, and time in market.
Trade Log Table
Full table of every transaction with date, action (buy/sell), quantity, price, and fees. Exportable as CSV.
How to interpret

Check trade frequency — too many trades means high fees. Look for clustering (many trades at once) which may indicate the strategy reacts too aggressively. The CSV export lets you reconcile with your own analysis tools.

Reference

Metrics Glossary

Every metric computed in your backtest, with formula and interpretation ranges. All values are medians across the 50 rolling windows.

Total Return

The overall percentage gain or loss on your investment, including all cash flows.

(Final Value − Total Invested) / Total Invested
Positive = profit Negative = loss

IRR Internal Rate of Return / XIRR

Annualized return that accounts for the timing and size of each cash flow. The true measure of performance for strategies with multiple investments (DCA, Value Averaging, etc.).

Σ CFt / (1 + IRR)t = 0
> 8% strong 3–8% decent < 0% loss

CAGR Compound Annual Growth Rate

The smoothed annualized return assuming profits are reinvested. Used for single-flow strategies (Buy & Hold). For multi-flow strategies, IRR/XIRR is used instead.

(Final Value / Total Invested)1/years − 1
> 10% strong 5–10% solid < 0% capital loss

Sharpe Ratio

Return per unit of total risk (volatility). Measures how well the strategy compensates you for the uncertainty you endure. Computed using weekly returns for stability.

(Rp − Rf) / σp   (annualized, weekly returns)
> 1.0 good 0.5–1.0 acceptable < 0.5 poor

Sortino Ratio

Like Sharpe, but only penalizes downside volatility. Ignores upside moves, which investors actually want. Computed using weekly returns.

(Rp − Rf) / σdownside   (annualized, weekly returns)
> 1.5 excellent 0.5–1.5 reasonable

Calmar Ratio

Annualized return divided by worst drawdown. Measures return relative to the worst pain you'd experience.

Annualized Return / |Max Drawdown|
> 1.0 return exceeds worst drop

Volatility Annualized

Standard deviation of weekly returns, annualized. Measures how much the portfolio value fluctuates. Falls back to daily returns when fewer than 14 days of data.

σannual = σweekly × √52
< 15% low 15–25% moderate > 25% high

Max Drawdown

The largest peak-to-trough decline in portfolio value. Answers: “What's the worst it can get?”

(Trough − Peak) / Peak
> −15% mild −15% to −30% typical < −30% severe

Max Drawdown Duration

The longest period (in days) from a peak to full recovery. Answers: “How long could I be underwater?”

max(recovery_date − peak_date) across all drawdown periods
< 90 days quick recovery 90–365 days typical > 365 days prolonged

Value at Risk 5% VaR

The 5th percentile of returns across all rolling windows. In 95% of scenarios, your return will be better than this number.

VaR5% = Percentile(returns, 5)
> −5% resilient −5% to −15% typical < −15% concerning

Win Rate

Percentage of rolling windows where the strategy was profitable. A high win rate means the strategy works across most market conditions.

Profitable Windows / Total Windows
> 70% robust 50–70% acceptable < 50% unreliable

Excess Return

The median difference in annualized returns between your strategy and the benchmark across all rolling windows. Positive = outperformance.

Median(Rstrategy − Rbenchmark) across 50 windows
> 0 outperformance < 0 underperformance

Information Ratio

Measures the consistency of outperformance. Higher means the excess return is reliable, not driven by a few lucky windows. Contributes 55% of the Benchmark Edge Score.

IR = mean(Rp − Rb) / σ(Rp − Rb)
> 0.5 consistent edge 0–0.5 marginal < 0 no edge

Beta

Sensitivity to benchmark movements. A beta of 1.2 means the strategy moves 20% more than the market.

Cov(Rp, Rb) / Var(Rb)
< 1.0 less volatile than market > 1.0 more volatile
Reference

Limitations

No backtest is a crystal ball. Here's what our simulations do not account for.

Past performance ≠ future results
A strategy that performed well historically may not continue to do so. Market conditions, regulations, and macroeconomic factors change over time.
No slippage or spread
All orders are executed at the exact daily close price. In reality, you would face a bid-ask spread and potential slippage, especially on less liquid assets.
Daily granularity only
Signals are evaluated at market close. Intraday price movements are not captured — a stop-loss that would trigger mid-day is not simulated.
Close prices only
We use adjusted close prices, not full OHLC data. This means intraday highs and lows are not considered in drawdown or signal calculations.
No taxes
Gains and losses do not reflect any tax implications. Capital gains tax, withholding tax on dividends, and other fiscal considerations are not modeled.
No liquidity modeling
We assume you can buy or sell any amount at any time without affecting the price. For large positions or illiquid assets, this may not hold.
Dividend adjustment not guaranteed
Prices are split-adjusted. Dividend adjustment depends on the data provider and instrument type — it is not guaranteed for all tickers.
50 windows, not infinite
Robustness is measured across 50 rolling time windows. This provides a strong signal but does not cover every possible market scenario. Edge cases may exist outside this sample.
Disclaimer: SigmaGrid is an analytical and educational tool. It does not constitute financial advice, investment recommendation, or solicitation to buy or sell any financial instrument. Past performance does not guarantee future results. SigmaGrid and its operators assume no responsibility for any investment decisions made based on the information provided. Always consult a qualified financial advisor before making investment decisions.