📈 Strategy Analysis / Performance Metrics

Performance metrics for a backtest for a strategy of selling Brent Sep-25 69/77 Call Spread every month 

📝 Description

This table condenses key performance indicators from the strategy backtest into a single, easy-to-interpret view. It breaks down profitability, risk, and trade characteristics across multiple timeframes — Day, Week, Month, and Trade — to support comprehensive performance evaluation.

The Performance Metrics Table provides a detailed statistical breakdown of a backtested strategy’s results. It captures:

• Profitability metrics (P&L, win/loss)
• Risk measures (drawdowns, recovery time)
• Trade distribution and consistency
• Win/loss patterns and ratios

This enables users to validate strategy viability, detect weaknesses, and fine-tune deployment rules.

📌 Table Components

🔹 Global Metrics (Top):

• P&L ($): Total cumulative profit and loss.
• Max Drawdown ($): Worst historical peak-to-trough loss.
• Max Recovery: Longest recovery stretch in time periods.
• Profit Factor: Ratio of total gross profits to total gross losses.

🔹 Timeframe-Specific Statistics (Bottom):

Each timeframe (Day, Week, Month, Trade) includes:

• Cnt - Number of periods or trades
• Min / Max ($) - Lowest and highest single-period returns.
• Mean / Median ($) - Average and middle-value returns.
• Mean Winner/Loser - Average win and loss per winning/losing period.
• Max Consec Winners - Longest winning streak.
• Max Consec Losers - Longest losing streak.
• Win/Loss Ratio (%) - Ratio of average win to average loss.
• Prec Winners (%) - Proportion of periods that were profitable (e.g., 0.54 = 54% win rate).

📚 Data Sources

• Strategy Trades: Simulated based on historical execution of the defined structure.
• Profit/Loss Calculations: Computed per interval from marked-to-market P&L series.
• Drawdowns & Recovery: Derived from rolling equity curve peak and recovery tracking.

🧩 Interpretation Tips

• Mean vs Median: Large divergence suggests outliers — check distribution skew.
• Win/Loss Ratio > 1: On average, winners make more than losers lose — a healthy sign.
• Max Drawdown vs Profit Factor: High drawdowns may still be tolerable if profit factor is strong.
• Consistency Signals:
  • High % winners + stable mean returns = reliable strategy.
  • Low drawdowns with short recovery = resilient under stress.