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.
`rolling_sharpe` / `rolling_vol`	252-day rolling annualized figures, aligned to `dates`.

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.

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.
`recovery_factor`	Total return ÷ max drawdown.

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%.

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.

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