After a backtest is run and you have clicked on the link to view the report, a download button appears in the top right of the page. When you click that, a zip file containing the trades, all returns and statistics is downloaded.

DownloadZipBacktestStats

Here's what the Zip looks like:

ZipBTstats

Here's the StrategyReturns.csv. Notice the $33.19 in cell G3 is the stock trade where the price went up from 1765.21 to 1798.4 and that difference divided by the opening stock price is 0.019 Return for 1/4/2007.

StratReturns

If you wanted to isolate the options returns you could open the folder StockOutputs and open the StockReturns.csv and net the daily returns. You could also run a strategy without the stock component. For example, here is the file of NDX stock only returns.

StockReturns

The StrategyStats.csv contains the monthly and annual stats.

The StrategyTrades.csv contains all the trades. Even though the trades file shows a quantity of 1 the returns and the backtest report present results based on a notional denominator being constantly funded by $10,000.

See our documentation on how the backtester commissions, slippage, calculating daily returns, calculating annual returns, and graphing an equity line.

related posts

New Backtest Feature: Enter Trades Based on Premium Divided by Strike Difference
Aug
07
Backtesting, options trading, put spread, vertical

New Backtest Feature: Enter Trades Based on Premium Divided by Strike Difference

For spread strategies, you can now define the premium compared to the strike difference for...

Read Post
The Tale of Two Backtests: Why Aren't Opposite Strategies Absolute Returns Equal?
Aug
06
Backtesting, Pairs Trading, options trading, slippage, commission

The Tale of Two Backtests: Why Aren't Opposite Strategies Absolute Returns Equal?

You might think a strategies like short call spreads and long call spreads should have equal and...

Read Post

We're here, if you need us.

Still curious how we can help you?




LET'S CHAT