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Paper Trading and Backtesting

You can view and manage all your strategies of Paper Trading and Backtesting here.

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There are 3 menu options here - Backtesting, Paper Trading and Combined Results.

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Table Fields for Backtesting and Paper Trading


The table covers the following fields:

  • Last Activity At - Shows last time the strategy was run.
  • Code - Code of the Strategy.
  • Strategy - Name of the Strategy
  • Tag - User defined tag for the strategy. User can tag different strategies under different tags from Tweak.
  • Source - Type of the Strategy viz. Build, Tweak or Develop.
  • Customize - Tweak you strategy from here.
  • Instrument(s) - Instrument on which the strategy is being run.
  • Qty. (Lots) - Quantity/Lots being traded.
  • Status - States the Status of the strategy if it is Started or Stopped.
  • Reports - The Report for a particular strategy consists of the Summary and the P&L Table. Jump to the Reports topic for a complete description.
  • Logs - You can access the logs from here. Jump to the Logs topic for a complete description.
  • Add to Portfolio - Adds strategy to Portfolio.
  • Action - Option to whether Start or Stop the Strategy.

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A look at the Backtesting/Paper Trading/Combined Results toolbar


Refresh - If you are not able to see an entry (possibly a most recent one) in the table, click Refresh to check again.

Density - Choose the density of the data you see. Options are Larger, Middle and Compact

Full Screen - The current tab on your browser goes Full Screen. Click again to go back to normal. This is similar to pressing F11 on most browsers and operating systems.

Settings - You can select which columns should be visible through here.

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Combined Results Fields


The table covers the following fields:

  • Last Activity At - Shows last time the strategy was run.
  • Code - Code of the Strategy.
  • Strategy - Name of the Strategy.
  • Tag - User defined tag for the strategy. User can tag different strategies under different tags from Tweak.
  • Source - Type of the Strategy viz. Build, Tweak or Develop.
  • Backtesting PnL - Net PnL of the strategy.
  • Backtesting PnL % - Net PnL of the strategy in absolute percentage.
  • Max Drawdown - Max drawdown the strategy suffered during backtesting period.
  • Number of Trades - No. of signals strategy generated during the backtesting.
  • Number of Wins - No. of wins during the backtesting period.
  • Number of Losses - No. of losses during the backtesting period.
  • Number of Long Trades - No. of Long Trades strategy generated during backtesting period.
  • Number of Short Trades - No. of Short Trades strategy generated during backtesting period.
  • Max Gain - Max Gain during backtesting period.
  • Min Gain - Min Gain during backtesting period. This is different than Drawdown in a way that it considers the minimum possible return from strategy.
  • Avg. Profit per winning trade - Cumulative Profit for winning trades divided by No. of Wins.
  • Avg. Profit per losing trade - Cumulative Loss for winning trades divided by No. of Wins.
  • Add to Portfolio - Adds the Strategy to Portfolio from where it can be traded in live market.
  • Action - Lets users delete the strategy card from the account.

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Note

The Source field will have one of the three values - CHOOSE, CHOOSE (TWEAK), BUILD_PYTHON (TWEAK).

Choose reflects in Choose Strategy from the Summary Bar.

Choose Tweak reflects in Tweak Strategy from the Summary Bar.

Choose Premium reflects in Build Strategy from the Summary Bar.

Reports


The Reports consist of a Summary and a P&L Table.

  • Summary - Summary statistics of the strategy performance.
    • Net PnL - The cumulative backtesting P&L.
    • Net PnL % - The cumulative backtesting P&L percentage.
    • Max Drawdown - The maximum loss your strategy has encountered during the execution.
    • Max Drawdown % - The maximum loss your strategy has encountered during the execution in percentage.
    • Number of Trades - Total trades (entry and exit counted as one) during the session.
    • Number of Wins - Count of trades where the trade P&L was non-negative.
    • Number of Losses - Count of trades where the trade P&L was negative.
    • Number of Long Trades - Count of trades where the entry transaction type was 'BUY'.
    • Number of Short Trades - Count of trades where the entry transaction type was 'SELL'.
    • Max Gain - P&L of the trade with the maximum P&L value among all trades.
    • Min Gain - P&L of the trade with the minimum P&L value among all trades.
    • Avg. Profit per winning trade - Cumulative Profit for winning trades divided by No. of Wins.
    • Avg. Profit per losing trade - Cumulative Loss for winning trades divided by No. of Losses.
  • P&L Table - Profit and Loss Details.
    • Instrument - Instrument strategy being performed on.
    • Entry Time - Entry time of trade.
    • Entry - Entry trade type such as Buy/Sell.
    • Entry Qty. - Quantity traded.
    • Entry Price - Price at which entry trade was executed.
    • Exit Time - Exit time of trade.
    • Exit - Exit trade type such as Buy/Sell.
    • Exit Qty. - Quantity traded. This depends on the number of profit booking trades embedded in the strategy logic.
    • Exit Price - Price at which exit trade was executed.
    • PnL (Rs.) / PnL % - PnL amount and PnL % of each trade.
    • PnL Cum. (Rs.) / PnL Cum. % - Cumulative PnL amount and Cumulative PnL % of each trade.

Note

See the Formulae section below to know more about the Summary Fields.

Logs


You can see the complete running of the strategy as it progresses here.

You can Refresh the logs periodically using the button.

You can also download the logs for later reference using the Download Logs button.

Formulae


  • Net PnL: The cumulative backtesting P&L. This is the sum of all the Absolute P&L values of the previous trades.

    pnl_absolute = (exit_price - entry_price)*exit_quantity for a long trade

    pnl_absolute = (entry_price - exit_price)*exit_quantity for a short trade

  • Max Drawdown %: The maximum loss your strategy has encountered during the execution in percentage.

    max_drowdown_percentage = (Max Drawdown) / (corresponding entry_price) // exit _ quantity x 100

  • Avg. Profit per winning trade: Cumulative Profit for winning trades divided by No. of Wins.

    avg_profit_per_winning_trade = (Total P&L of winning trades) / (Count of winning trades)

  • Avg. Profit per losing trade: Cumulative Loss for winning trades divided by No. of Wins.

    avg_profit_per_losing_trade = (Total P&L of losing trades) / (Count of losing trades)


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