🔄 Strategy Analysis / Backtest

Backtest for a strategy of selling Brent Winter-25 69/77 Call Spread every month 

📝 Description

The Strategy Backtesting module evaluates the the instant historical performance of a strategy over time. It takes selected structure (e.g. Brent Winter-25 69/77 Call Spread) and for entire history find the closest proxy every month both in terms of contract expiration and strikes. It is traded monthly with defined lot sizes for the lots to give as closest performance is possible to the selected structure. 

It includes three synchronised panels that collectively illustrate profit and loss, P&L seasonality, and drawdowns — providing a holistic view of risk and return dynamics.

This module combines multiple perspectives to help assess:

• Cumulative profitability
• Monthly and yearly performance consistency
• Risk exposure and depth of drawdowns

It is essential for validating trading hypotheses, optimising parameters, and stress-testing robustness before live deployment.

🎛️ Interactive Controls

• Strategy Roll Type - how strategy is rolling trades
  • Rolling - Every month entering to the new position and closing the previous one.
  • Fire and Forget - Every month entering to the new positions and let it expiry.
• Flat Price - show or find the flat price on the P&L chart

• Granularity - Granularly for the P&L seasonality table
  • Month
  • Quarter
  • Half Year
• Table Value: - Value to display in the seasonality table
  • Cum P&L - total cumulative P&L for the period
  • Max Daily P&L - max daily P&L in the period
  • Min Daily P&L - min daily P&L in the period
  • 1σ Daily P&L - 1 standard deviation of daily P&L in the period
  • Mean Daily P&L - mean daily P&L in the period

📌 Chart Components

• Timeline & Mini-map (Top):

• Zoom Control - Drag to isolate specific time windows
• Mini Map - Full range of Underlying and IV / Price history

Profit & Loss with Drawdowns (Top Chart)

• Blue Line: Strategy’s cumulative P&L ($k) over time.
• Gray Line: Flat Price.
• Red Area: Drawdown periods from historical equity peaks.
• Green Dashed Line: High water marks.

Seasonal Performance Table (Middle Chart)

• Rows: Each calendar year (including total and average rows).
• Columns: Months (quarters / half-years, based on granularity setting).
• Cells: Show cumulative P&L (or other selected values)
• Color Shading: Reflects performance — darker blue for deeper losses, greener for gains.
• Totals: Aggregated P&L per year/month and average per month.

Drawdowns Anaylsis (Bottom Chart)

• Lines: Each line represents every drawdown observed in strategy.
• Y-axis: Drawdown in dollars (k$) from previous equity peaks.
• X-axis: Time index (relative to drawdown start) in days
• Use Case: Analysing drawdown profile for the strategy 

📚 Data Sources

• P&L Data: Simulated from historical prices and the strategy’s trade logic.
• Flat Price: Settlement prices of selected underlying
• Drawdown Calculations: Realised from peak-to-trough losses across time.
• Tabular Metrics: Aggregated daily returns grouped by month/quarter/half-year.

🧩 Interpretation Tips

• P&L Chart: Look for long-term trend direction and reaction to crises (e.g., 2020/2022).
• Seasonal Performance Table:
  • Spot consistent strong/weak months.
  • Examine how performance evolved across years.
  • Watch for outliers (e.g., extremely negative months in an otherwise positive year).
• Drawdowns Chart:
  • Identify volatility and capital risk.
  • Check drawdown depth and duration for selected strategy.
  • Use it to evaluate robustness and sensitivity to market regimes.