Back Testing Reports

When you perform a back test, Vanguard AI tests your strategy and reports important metrics. These results can also be exported as a report in PDF, simply click on the PRINT button found on the Back Test Metrics window.

A cool feature is that you can click on a stock in the TRADE LOG and it will show precisely when you did the trade in the chart. It’s a very helpful tool to analyze your trades and see what went right (or wrong!). Just click on the TAB beside the PORTFOLIO PERFORMANCE to change the chart view.

Total number of trades 
Total number of transactions.

Trading days
The number of trading days the back test was performed

Average number of trades per month 
Average number of trades per month, including buy sell, and exit trades. 

Number of profitable trades 
Total number of profitable trades since the beginning of the back test. 

Number of loosing trades 
Total number of un-profitable trades since the beginning of the back test. 

Initial Capital
The starting capital during the start of the back test period.

Ending Capital
The ending portfolio amount during the end of the back test period.

Total profit 
Total profit in currency amount since the beginning of the back test. 

Total loss 
Total loss in currency amount since the beginning of the back test. 

Percent profit 
Percentage of profitable trades in since the beginning of the back test. 

Largest profit 
Largest single-trade profit in currency amount. 

Largest loss 
Largest single-trade loss in currency amount. 

Average Position Size
The average investment amount per trade or transaction.

Win Rate
The percentage of trades that are winners.

Profit Factor
A measure of the strategy’s profitability. A reading of less than 1 means the strategy is unprofitable while a reading of more than 1 means the strategy is profitable.

Reward to Risk Ratio
This metric measures how much the strategy is able to profit for every Peso it risks. The higher the number, the bigger the expected returns.
Example:
A RRR of 2:1 means that your strategy could earn ₱2 for every ₱1 loss.

Expectancy per Trade
Show the typical profit made per trade. A negative value would mean that the strategy, on average, is losing that much money per trade. A positive value would mean that, on average, the strategy will make that much profit per trade.

Maximum Drawdown 
The maximum account drawdown, defined as the percent retrenchment from equity peak  to equity valley. A drawdown is in effect from the time an equity retrenchment begins until a new equity high is reached. The maximum drawdown can be used to gauge the maximum loss to expect from the strategy.

Return on Maximum Drawdown
This is a metric to analyze portfolio performance or returns in relation to the maximum drawdown. It is computed as Portfolio Return / Max Drawdown. This higher the number, the better the portfolio performance.

Sharpe ratio 
A measure developed by William Sharpe that is defined as the incremental average return of an investment over the risk free rate. Risk (denominator) is defined as the standard  deviation of the investment returns. A typical reading would be

below 0 = poor strategy
0 to 1 = average strategy
above 1 = good strategy

Profit Distribution Graph
Shows the number of trades that has a gain or loss % as indicated on the horizontal x-axis. This can show a strategy’s characteristics, for example:
A short term mean reversion strategy would have a lot of trades around the 5-10% mark while a trend following strategy would typically have fewer trades but more spread out towards bigger percentage profits.

Monthly P/L
Shows the monthly performance of the portfolio during the back test period. The total profit and loss is shown as a lighter green and red colored bars while the net performance is shown as a solid green or red colored bar.

Gainers/Losers Graphs
Shows the top 5 winners and losers for the strategy during the back testing period. This is computed on a net basis for all trades per stock.

Volatility
Our back tester computed the portfolio’s annual volatility. Portfolios which higher volatility are perceived to be riskier than portfolios with low volatility. For context, Philippine equity mutual funds have an average volatility of 15%.

Trade Logs
Shows all the transaction details for each trade. This can be exported as an excel file.