π Description
The P&L Distribution (Backtester) panel visualizes the statistical distribution of historical profit-and-loss outcomes from a full rolling backtest.
Each bar represents the frequency of a specific P&L value, allowing traders to quickly assess mean performance, volatility, and asymmetry in the backtest results.
This view highlights how consistent or variable the strategyβs realized performance has been across time, providing a compact snapshot of overall strategy risk and reward.
Key Use Cases:
Risk Analysis: Identify typical gain/loss ranges and tail risk exposure.
Return Consistency: Determine whether results are tightly clustered or widely spread.
Performance Comparison: Contrast distributions for different strategies or roll methods.
Drift and Hedge Testing: Evaluate how dynamic delta hedging or drift adjustments impact daily P&L variance.
ποΈ Interactive Controls
| Control | Description |
|---|---|
| Dynamic Delta Hedge | Enables or disables simulated delta hedging for the strategy. Helps assess impact of hedging on return distribution and volatility. |
| Period | Defines the time interval used for P&L aggregation. Common choices: Daily, Weekly, Monthly, or Trades. |
| Strategy Roll Type | Determines how positions are maintained during backtest: Rolling (continuous position rollover) or Fire and Forget (letting postion expire). |
| Hover Cursor | Displays precise numeric statistics for the selected histogram bar, including value range and count. |
π Chart Components
Histogram (Main Panel)
X-Axis: Profit and Loss ($) β shows the range of observed daily or period returns.
Y-Axis: Count β frequency of occurrences for each P&L bucket.
Bars: Represent the number of samples that fall into each P&L range; higher bars = more frequent results.
Statistical Markers:
Mean (ΞΌ): Centerline indicating average performance.
Β±1 Std Dev (Ο): Blue vertical lines marking one standard deviation from the mean β illustrating volatility of returns.
Tooltip Data: Displays the precise range and observation count when hovering on any bar.
π Data & Methodology
Source: Derived from the backtest engine using the currently selected strategy definition and pricing configuration.
Computation:
Reconstructs daily (or chosen period) P&L values for all backtested intervals.
Aggregates results into histogram bins.
Computes descriptive statistics β mean, median, and standard deviation.
Dynamic Delta Hedge: When enabled, adjusts daily P&L for re-hedging actions based on underlying movement.
Roll Logic: The βRollingβ mode keeps the position active through contract expiries; βFire and Forgetβ terminates each trade independently.
The distribution provides an empirical view of realized backtest outcomes β no assumptions of normality are applied.
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