Pyalgotrading Analytics

4 min read

Metric Values and Statistics

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The Cumulative Returns chart illustrates how our strategy's returns value has evolved over time in percentage.
Positive values indicate gains, while negatives reflect losses. Bigger positive returns are more favourable.
Keep in mind, this chart focuses on gains and losses, excluding risk and timing considerations.
There are 2 sub categories of cumulative returns chart depending on the scale we are using. One is normal scaled and other is log scaled

The End of Year Returns chart showcases our strategy's annual performance as a percentage.
It quantifies its overall performance, considering gains or losses throughout each year.

In the Monthly Returns Distribution Histogram, we see the frequency distribution of different levels of returns over consecutive months.
This histogram helps us understand the range and patterns in monthly returns, shedding light on our strategy's volatility and performance trends.

The Daily Returns Chart portrays the percentage change in our strategy's returns between trading days.
It provides insights into short-term volatility, trend analysis, and risk assessment.

A Rolling Volatility (6 months) Plot showcases the changing volatility of an investment over time using a rolling window of six months.
This plot reveals how the investment's price fluctuations vary as the window moves across the dataset.
It provides insights into short-term volatility patterns, helping investors understand how the investment's risk level evolves in response to different market conditions.

A Rolling Sharpe (6 months) Plot illustrates the dynamic changes in the Sharpe ratio over time using a rolling window of six months.
The plot shows how the risk-adjusted performance of an investment fluctuates as the window moves through the dataset.
This visualization helps investors understand how the Sharpe ratio varies with changing market conditions and provides insights into the investment's consistency and risk-return trade-offs over short-term periods.

A Rolling Sortino (6 months) Plot visualizes the variation in the Sortino ratio over time using a rolling window of six months.
This plot demonstrates how the investment's risk-adjusted performance, considering only downside volatility, changes as the window progresses through the data.
It offers insights into how the Sortino ratio evolves with market conditions, helping investors assess the investment's ability to generate favorable risk-adjusted returns over short-term intervals.

A Worst 5 Drawdown Periods plot displays the top five periods during which the strategy experienced the largest declines from peak to trough.
This visualization helps strategists understand the most significant loss-making episodes in the strategy's run.
It shows the magnitude and duration of these drawdowns, providing insights into the strategy's risk and potential vulnerabilities.

The Underwater Plot visually narrates our strategy's performance concerning its past peaks.
It showcases how much our returns value has dropped from its highest point over time.
This aids in visualising periods of drawdown and recovery, offering insights into historical risk and resilience.

The Monthly Returns Heatmap offers a colour-coded view of our strategy's performance across months.
Shades of green indicate positive returns, while shades of red signify losses.
This visual tool helps spot trends and patterns, aiding in identifying strong and weak performance periods.