Hello, this is Quant Pick!

In this post, we will summarize how to view the upgraded Trading View backtest! It may be difficult for those who see it for the first time, but if you read this article all the time, it will be of great help!

The strategy I use in the example I use is the Volatility Breakthrough strategy. System trading is done using Trading View and TVExtbot, and you can see how to view the Trading View backtest along with figures in every corner!

 

The backtest results are divided into three main categories!

 

1. OVERVIEW

The overview is a screen that holds the 'big picture' of what would be the result of trading using these strategies and variables.

- Here, various figures such as the final rate of return, number of trades, win rate, profit/loss ratio, maximum fall, average trade rate, average number of posts per trade, and so on, are shown in the form of a profit curve.

2. PERFORMANCE

- Performance summary shows more detailed figures than overview based on all transaction history.

- By referring to these figures, it is of great help to understand more and more deeply about the strategy.

- Let's find out each element and Quant Pick will interpret it for you!

3. TRADING RECORD

- A transaction list is simply a trading log. It is a database that records when, what, how much, and at what price you buy and sell, and what the results are.

- In the end, an overview and performance summary were formed based on this trading log data.

 

How to see the overview figures!

 

1. P&L

- This item shows how much the final profit will be if you repeatedly trade through the strategy you are using.

2. All cleared trades

- It is an item that holds the number of trades made during a specified period by combining buy and sell into a set.

3. Odds

- The win rate means the number of profitable trades / total number of trades.

4. Revenue Factor

- Profit factor is profit/loss ratio when translated into Korean. The profit/loss ratio is the total amount of profit / total amount of loss.

- In this example, the win rate is 53.4%, but the profit/loss ratio is about 2, which is a great strategy!

 

5. Maximum loss

- The maximum loss is also called MDD (Maximum Drawdown).

- This is a figure that shows how much the cumulative loss has fallen from the peak in the loss section.

- It is recommended to allow up to -20%~-25% of the maximum loss.

- Take a look at the chart below to understand why it is very difficult to recover if you see too much loss!

 

6. Average transaction

- In average trading, it is the average of the sum of the profits and losses of all trading.

- First of all, it must be a positive number (+) to mean that you have made a profit, and the higher the %, the better :)

 

7. Average number of pay per transaction

- Average number of candles in trading refers to how many candles you hold after entering a position according to the strategy.

- The backtest result you are viewing is a simulation based on an hourly bar, and shows that you have an average of 14 candles.

- The implication of this figure is that after buying, it was held for about 14 hours until sold and then liquidated.

- If the strategy is to eat on a daily swing basis instead of an hourly wage, you can interpret it as 14 days!

 

 

How to see the overview backtest graph!

 

In the overview backtest graph, it can be divided into three main categories.

1. Red area: Visualization of the maximum drop (mdd).

2. Blue area: It is a return curve that visualizes the cumulative return of the strategy.

3. Black line: The black line is a line chart showing the price movement of the asset class being traded.

If the red area is small and the blue area is above the black line, it can be easily summarized as a good strategy.

 

How to view performance summary !

The performance summary provides more figures than the overview.

1. Net Profit: This is the final rate of return you would get if you traded using the strategy.

2. Total Revenue: It is the total of the revenue with '+'.

3. Total loss: '-' is the total loss.

4. Maximum loss: It means how much the maximum has fallen from the high.

5. Buy and hold return: It means how much you earned if you stayed after buying.

6. Sharp Ratio: The sharpe ratio is (volatility / return), which is a number that calculates how much return is compared to volatility.

7. Profit Factor: Profit factor refers to the profit/loss ratio.

8. Maximum number of contracts held: It refers to the maximum number of weeks of trading assets. For the convenience of backtesting, I entered $100 and in the section where the minimum was $10,000, it was 0.01 contract, so the decimal point seems to have been omitted!

9. Open P&L: Open P&L shows how much profit or loss would be if you entered a position at the time of the current backtest.

10. Commission paid: It refers to the total amount of commission paid during the transaction.

11. Total trades closed: Shows how many entries & exits were made in the backtest.

12. All open trades: How many positions have entered the current position.

13. Profit Trades: Shows how many wins out of the total number of trades.

14. Odds: Shows the number of profit transactions / % of the total number of transactions.

15. Average trade: In average trade, it is the average of the sum of profits and losses of all trades.

16. Average Profit Trades: Average Profit Trades shows how much you earn on average if you've seen profits.

17. Average Loss Trading: Average Loss Trading shows how much you lost on average if you lost.

18. Average profit/average loss ratio: This is the average profit trading % divided by the average loss trading %.

19. Maximum Profit Trades: Shows the percentage of the most profitable trades at one time.

20. Max Loss Trades: Shows the percentage of the most lost at one time.

21. Average number of candles in trading: Shows how many candles you hold on average after entering a position.

22. Average number of candles in profit trading: Shows how many candles you have held on average in this trading.

23. Average number of candles when trading at a loss: Conversely, in trading at a loss, it shows how many candles you held on average.

 

How to view trading view backtest trade list!

1. Transaction #: Shows how many transactions have been made.

2. Type: Shows the direction of whether the strategy used is long (upward bet) or short (downward bet).

3. Signal: Shows whether it is a buy or close.

4. Date/Time: Shows the exact date and time of entry and exit.

5. Price: Shows the entry price and exit price.

6. Contract: It is the initial amount set in the backtest and refers to the amount of assets traded at the time of entry/exit.

7. Profit: Profit shows what percentage of profit or loss you made on that trade.

8. Cumulative revenue: Cumulative revenue is the number of accumulated gains or losses in the past.

9. Run-up: Run-up refers to the maximum amount of increase compared to the price entered into the position.

10. Drawdown: Drawdown refers to the maximum amount of decline compared to the price entered into the position.

 

Scroll down to the very bottom to see the most recent trading records. If there is a strategy you are using in practice, it is important to compare the recent actual trading profit and loss and backtest profit and loss to recognize whether the gap is small or large. The volatility breakout strategy I'm using doesn't seem to be that big of a difference.

In the last record, the P&L was -5.4% on May 4th, but the reason for the cumulative -11.26% is because 98% of the total assets were entered and liquidated with double leverage. In addition, in the cumulative return, the investment weight, leverage multiple, transaction fee, and slippage that I entered in advance are calculated and finally displayed.

 

Just click the gear (Settings) in the upper left corner of the Trading View backtesting tool!

Settings => Properties => Commission & Slippage Settings!

The reason I put 0.15% on my commission is as follows.

1. The exchange we are using is Binance Futures Exchange.

2. The market price order fee is 0.04%, and the limit fee is 0.02%.

3. I enter/exit only at the market price.

4. In addition to the fee, an additional 0.11% of slippage was given conservatively.

5. This is the reason why I wrote about the fee + slippage = 0.15%.

6. Added 3 more ticks to the plus slippage item!

 

When conducting backtesting, it is recommended to be as critical and conservative as possible. If you overweight, it may not work well in practice, and there may be a big gap between the backtest result and the actual trading performance. In my personal experience, backtesting with 0.2% in spot and 0.15% in futures was narrow! This concludes this post on how to view the Trading View backtesting tool! Thank you~