Reading a report

run_backtest returns a Report. The engine computes everything; a UI only draws it. This page decodes what you see.

The series

Field	What it is
dates	Trading dates as YYYYMMDD integers (e.g. 20240102).
equity	The NAV curve, rebased to 1.0 at the first date. 1.35 means +35%.
benchmark	Benchmark equity rebased to 1.0 and aligned to dates — only when a benchmark_key was configured. NaN before the benchmark’s first point.
drawdown	The underwater series: each day’s decline from the running peak, aligned to dates (0 at a new high).
rolling_sharpe / rolling_volatility	252-day rolling annualized figures, aligned to dates.
monthly_returns / yearly_returns	Calendar-period return tables (period label + return), used for the monthly heatmap and calendar-year bars.

Headline metrics

Everything derivable from the equity curve. Returns are fractions (0.20 = 20%).

Metric	Meaning
total_return	End-to-end return over the whole sample.
cagr	Compound annual growth rate.
ann_volatility	Annualized standard deviation of daily returns.
sharpe / sortino	Risk-adjusted return; Sortino penalizes only downside.
max_drawdown	Worst peak-to-trough decline (a negative-ish magnitude).
calmar	CAGR ÷ max drawdown.
max_drawdown_duration	Longest time underwater, in trading days.
ulcer_index / avg_drawdown	Depth-and-duration shape of drawdowns.
recovery_factor	Total return ÷ max drawdown — equity-derived, not from the trade list.

Trade-level metrics

Derived from the realized trade list.

Metric	Meaning
num_trades	Number of closed trades.
win_rate	Fraction of trades that were profitable.
profit_factor	Gross profit ÷ gross loss.
expectancy	Average P&L per trade.
avg_win / avg_loss / payoff_ratio	Average winner, loser, and their ratio.
best_trade / worst_trade	Extremes.
avg_holding_period	Mean bars held per trade.
max_consecutive_losses	Longest losing streak.

Exposure & distribution

Metric	Meaning
time_in_market / avg_exposure	How often / how much you were invested.
best_day / worst_day	Best and worst single-day returns.
skew / kurtosis	Shape of the daily-return distribution.
var_95 / cvar_95	Value-at-risk and conditional VaR at 95%.

Conditional blocks

Some fields appear only when applicable:

• ytd, one_year, three_year — lookback returns, present when the sample is long enough to cover the window.
• benchmark_return, alpha, beta, excess_return, tracking_error, information_ratio — present only when a benchmark was supplied.
• A live segment block — metrics on the post-go-live slice of the curve, present only when live_performance_start was set.
• A bootstrap block — block-bootstrap confidence bands for Sharpe, CAGR and max drawdown, present only when bootstrap_samples > 0 was configured.

For the exact NAV model, metric conventions, and the full JSON contract, see the backtest engine reference.