Reading your results
After you click BACKTEST, the result appears below the form. The same report is used for saved reports, templates, My Strategies, Strategy Chains and the Portfolio Builder, so this page helps you read all of them.
How the report is laid out
Section titled “How the report is laid out”The report reads from the top down, in the same order every time, and each figure appears once:
- Charges and the expiry filter: they re-work every figure below.
- The answer: the go-live check and what to watch.
- Six headline figures, then the line from gross P&L to what is left after costs.
- How the money came: the equity curve, then the Seasonality table.
- India VIX at entry: the P&L by the market’s volatility when each trade was entered.
- How fragile is it: concentration, one-day risk, Monte Carlo, tail risk, time underwater.
- Trades, All statistics and the Trade log, which stay closed until you click them. Each closed row still shows its key figures.
Every figure has an (i) next to it. Hover or tap it for what the figure is and how to use it.
Notes and flags at the top
Section titled “Notes and flags at the top”Caveats on the report’s own numbers show as short flags, such as HEDGED · 2 WINGS or LEGACY METRICS. Hover or tap the (i) beside a flag for what it means.
| Note or flag | What it means | What to do |
|---|---|---|
| This run took no trades. | Nothing traded, so every number below is zero. | Check the dates, the entry time and any filters (DTE, Wait & Trade). |
| Check the rule’s instrument. | A rule compares two things that are measured on different prices. | Read the note and fix the rule. |
| Market data is missing for part of this range. | Some trading days have no data. The result leaves them out. | Treat the result as covering fewer days than you asked for. |
| Hedged · 2 wings | The run bought protective wings. Every P&L is net of them. | Nothing. Their cost shows as Hedge cost under Costs. |
| Legacy metrics | The report was saved before the metrics convention changed on 24 Sep 2026. Its Sharpe is not comparable with newer reports. | Re-run to compare. |
| 3 held overnight | Positions stayed open past their entry day. See Positional strategies. | Read the drawdown as a lower bound. |
| No trade log saved | Saved reports keep no trade list. | Use Export CSV on the Trade log while the result is open. |
Buttons
Section titled “Buttons”| Button | What it does |
|---|---|
| Send to Telegram | Sends a summary to your Telegram, if you connected it on My Profile. |
| Save Report | Saves the result as you see it now in Saved Reports. Finished backtests are normally saved there automatically, but that save never holds up your result, so if it fails the report is simply missing. If a result does not appear in Saved Reports, click Save Report. |
| Export PDF | Prints the page, or saves it as a PDF. Closed sections are opened in the PDF. |
| Save Instance (Go Live) | Saves a copy of this strategy that you can deploy for paper or live trading. |
The answer
Section titled “The answer”Go-live check
Section titled “Go-live check”The verdict in words, with each of six fixed checks and the figure it tested:
| Check | Passes when |
|---|---|
| Traded days | At least 20 days with a trade. |
| Win rate | Above 50% of traded days. |
| Profit factor | Above 1.5. |
| RMDD | Above 2. |
| Sharpe | Above 1. |
| SQN | Above 1.6. |
All six: Ready to go live. Five: Paper trade first. Four: Needs tuning. Three or fewer: Not ready. A failed check says the line it missed, for example SQN 1.00 needs above 1.6. A DTE chip or an added cost re-checks it on the numbers you see.
The verdict is a checklist on past numbers. “Ready to go live” is not a promise of future profit.
Up to three facts the six checks do not test, each as a label and its figure. Each appears only when it applies, and its (i) says it in a sentence:
- Best 5 days 92% of P&L: a handful of days carried the result.
- Worst day −₹13,611 · all of max DD: the whole drawdown came in one day, a gap or an event day, not a slow bleed.
- Mid VIX days (13 to 18) −₹12,064 · 11 days: one slice of days lost at least a quarter of the result, a candidate for a filter.
None of these is a reason to reject a strategy on its own. Each is a reason to size down or to test a filter.
The six headline figures
Section titled “The six headline figures”The same six figures appear in the same place on every Lion report. The small line under each gives a related figure.
| Figure | What it means | Under it |
|---|---|---|
| After charges / Net P&L | Profit or loss over the window, after government charges; Net P&L once you add brokerage or slippage. | The return on peak margin, and the same per year, when the run measured margin. |
| Max drawdown | The biggest fall of total P&L from a high point, in ₹. The high point starts at ₹0, so an opening loss counts. | The drawdown as a share of the peak margin. |
| RMDD | Net P&L ÷ max drawdown (also called recovery factor). Above 2 passes the go-live check. Lion does not divide by years, so compare it within one window. | Calmar: the same idea per year. |
| Win rate | Share of traded days that ended in profit. Days with no trade are left out. | Winning and losing days, for example 40W / 14L. |
| Profit factor | Total profit on winning days ÷ total loss on losing days. Above 1.5 is healthy. | Risk:reward, the average winning day ÷ the average losing day. |
| Exp.R | Expectancy ÷ the average losing day, as AlgoTest defines it. Above 0 makes money; above 1 is very rare on daily data. | Expectancy, the average P&L of a traded day. |
Example: P&L +₹19,923, max drawdown ₹13,611, RMDD 1.46. The profit covers the worst fall only 1.46 times, under the go-live line of 2.
The backtest itself runs without costs. On an open result, the Costs and filter panel adds them afterwards, without running again. Every figure on the page updates.
| Field | What it does |
|---|---|
| Days to expiry | The chips All, 0 DTE, 1 DTE… show only the trades taken on those days to expiry. |
| Brokerage (₹/fill) | Your broker’s charge per order. |
| Govt charges | STT, exchange charges, SEBI fee, stamp duty and GST, worked out from each fill. Tick the box to apply them. |
| Slippage | The difference between the price you expected and the price you would really get. Type it in ₹/fill or as a % of premium: each fill then pays that % of its own price, so 1% stays 1% whatever expiry filter is on. Beside it, the ₹ a fill it comes to on average. |
The row below shows the sum: Gross P&L − Brokerage − Govt charges − Slippage = Net P&L. A saved report shows Gross P&L − Govt charges = After charges instead.
What is a fill? One entry or one exit of one leg. A leg that opens and closes is 2 fills. Example: a straddle (2 legs) that trades once a day makes 4 fills a day. With ₹20 brokerage per fill, that is ₹80 a day.
How the money came
Section titled “How the money came”Three charts on one time axis. Hover any of them and the same day is marked on all three.
| Chart | What it shows |
|---|---|
| Cumulative P&L | Your total P&L over time. The worst drawdown is shaded from its high point until it recovered. The line above the chart gives its size and dates. |
| Drawdown from peak | How far below its last high the P&L was on each day. |
| Daily P&L | Each day’s P&L: green bars for profit, red for loss. |
A steady rise with shallow dips is better than a curve made by a few tall bars.
Seasonality
Section titled “Seasonality”The results split by Yearly (the tab it opens on), Monthly, Weekly, Weekday, DTE and IV regime (the option’s ATM implied volatility when each trade was entered), with the best and worst period above the table. Use it to see whether the profit came evenly or from one lucky stretch, one expiry day or one volatility regime. Every tuning report (Auto Tune, Bayesian Search, both Walk Forwards) shows the same table for the basket or setting it describes.
| Column | What it means |
|---|---|
| Net P&L | The period’s P&L after the costs above. |
| Max DD | The deepest drawdown inside the period. |
| Return | Net P&L ÷ the run’s peak margin. Shown when the margin is known (not under an expiry filter). |
| Win %, PF | Win rate and profit factor of the period’s days: the same basis as the headline figures. |
| RMDD | The period’s net P&L ÷ its max drawdown. Negative in a losing period. |
| Days W/L | Traded days, then winning and losing days. |
| Avg day | The period’s average P&L per traded day. |
| Best day / Worst day | The period’s best and worst day. |
| VIX open → close / VIX high | India VIX over the period’s traded days: where it started and ended, and its high. |
Reports saved before the period tables existed show Month and Weekday bars here instead. A tab appears only when the run has data for it.
Example: a strategy made ₹1,20,000 in a year, but the month table shows ₹90,000 of it came in March. Without March it made ₹30,000: much weaker than the total suggests.
India VIX at entry
Section titled “India VIX at entry”The same P&L split by India VIX when each trade was entered: Low VIX under 13, Mid VIX 13 to 18, High VIX 18 and above. The bars start from one zero line, so their lengths compare. Days to expiry and the option’s own IV at entry are the DTE and IV regime tabs of the Seasonality table.
Example: Low VIX 43 days, +₹31,987; Mid VIX 11 days, −₹12,064. The strategy suits quiet markets. To test it only on calmer days, use the Volatility Regime Filter on the Auto Tune tabs.
How fragile is it
Section titled “How fragile is it”What one bad day, a few lucky days or a different order of the same days would do.
| Item | What it means |
|---|---|
| Best 5 days | Share of the P&L made on the 5 best days. Above 50%, a handful of days carry the result. |
| Worst day | The largest single-day loss, and how much of the max drawdown it was. |
| Worst leg ÷ avg win day | How many average winning days the worst single leg wiped out. |
| Worst losing streak | The most losing days in a row. Expect to meet it again. |
Monte Carlo
Section titled “Monte Carlo”The app builds 1,000 imaginary histories by picking your real trading days at random, with repeats allowed, as many days as you tested.
| Item | What it means |
|---|---|
| Unlucky (5th %ile) / Typical (median) / Lucky (95th %ile) | The total P&L at those points of the 1,000 histories. Only 5 in 100 were worse than the unlucky one. |
| Typical drawdown / Bad-case drawdown | The worst fall in the middle history and at the 95th point. Plan for the bad case. |
| Chance of profit | Share of the 1,000 histories that ended in profit. |
The same days always give the same numbers: the random picks are fixed.
Example: your test made ₹80,000 over 100 days. Unlucky ₹15,000, typical ₹78,000, lucky ₹1,45,000, bad-case drawdown ₹62,000. Even an unlucky mix of your own days stayed profitable, but you should be ready for a ₹62,000 fall.
Tail risk
Section titled “Tail risk”How bad the bad days were.
| Item | What it means |
|---|---|
| CVaR 5% | The average of the worst 5% of traded days. |
| VaR 95 | The loss that only 1 day in 20 was worse than. |
| Tail ratio | The size of the best days against the worst days. |
| Skew | Above 0, the big days were mostly gains; below 0, mostly losses. Option selling is often below 0: many small gains, a few big losses. |
| Kurtosis | How often extreme days happen compared with a normal bell curve. Higher means more surprise days. |
Time underwater
Section titled “Time underwater”“Underwater” means the total P&L is below its previous best.
| Item | What it means |
|---|---|
| Longest underwater | The longest stretch, in trading sessions, spent below a previous best. |
| Avg recovery | The average length of the drawdowns that recovered. One still going is left out. |
| Underwater now | How many sessions the curve is below its best at the end of the test (0 means it ended at a new high). |
| Drawdowns | How many drawdowns started, including one still open. |
Example: Longest underwater 34 sessions means that once, you waited about seven weeks without a new high. Ask yourself whether you would have kept trading through that.
Trades
Section titled “Trades”Closed until you click it. The closed row shows the most common exit, the average holding time and the break-even slippage.
Inside the trade
Section titled “Inside the trade”| Item | What it means |
|---|---|
| Avg adverse move | On average, the worst point a trade reached against you, in ₹ (MAE). |
| Avg favourable move | On average, the best point a trade reached in your favour (MFE). |
| MFE ÷ MAE | Above 1: on average, trades went further for you than against you. |
The line next to the title says whether these were measured from every minute’s high and low or estimated from the trade results alone.
How trades closed
Section titled “How trades closed”How many trades closed by Stop-loss, Target, Time exit and Other. When the legs of one trade closed for different reasons, the stricter one counts: a stop beats a time exit.
Example: 40 stop-loss, 10 target and 50 time exits: most trades ended at the exit time and the target is rarely reached. You could test a lower target, or none.
Holding time
Section titled “Holding time”How long trades stayed open: Average, Median, Shortest and Longest, and how many trades fell in each length. When every trade was held the same time, one figure shows.
Entry hour
Section titled “Entry hour”When entries spread over several hours (an indicator strategy, say), the P&L by the hour the trade was entered. A time-based strategy enters in one hour, so it is left out.
Slippage sensitivity
Section titled “Slippage sensitivity”What the result would be if every fill were a little worse than the test assumed. Each row adds slippage of +0.2%, +0.5%, +1% or +2% of each fill’s own price, on entries and exits alike, the same unit as a % typed in the Charges box. Cost is that % of all the premium traded, and P&L after is what is left of the P&L shown above. Break-even slippage is the slippage at which the profit would be zero: the P&L ÷ the premium traded.
Example: the fills traded ₹20,80,000 of premium in all (entries and exits). P&L ₹52,000. At +1% the cost is ₹20,800, leaving ₹31,200. Break-even slippage is 52,000 ÷ 20,80,000 = 2.5%. If your real fills are usually 3% worse than the screen price, this strategy would lose money.
All statistics
Section titled “All statistics”Closed until you click it. The closed row shows Sharpe, Sortino and SQN. It holds only figures that are not already on the page (Calmar, risk:reward, expectancy and the return on margin are under the headline figures; traded days in the go-live check; holding time under Trades).
| Group | Figures |
|---|---|
| Return | Avg winning day, Avg losing day. |
| Risk | Sharpe, Sortino, Ulcer index. |
| Quality | SQN, Curve smoothness, Kelly %, Exposure. |
| Trades | Legs traded (and orders sent), Avg per leg, Best leg, Worst leg. |
| Capital | Peak margin. |
Margin is NSE SPAN plus exposure margin, from the exchange’s risk file in force on each trade’s date. The return under the headline P&L is Net P&L ÷ Peak margin, and the yearly figure scales it to a year of 252 trading days. Margin is hidden while a DTE chip is applied.
Example: Net P&L ₹60,000 over 126 trading days, Peak margin ₹2,00,000. The return is 30%, and per year 60,000 ÷ 126 × 252 ÷ 2,00,000 = 60%.
Portfolio results
Section titled “Portfolio results”When the backtest ran several strategies together, extra panels appear after the charts:
- Strategies in this portfolio: each strategy’s own result. Click a column to rank by it; the best in each column is in bold.
- Correlation: how similar the strategies’ daily results were, from −1 to 1, with the average next to the title. Portfolio down days shows the same grid on the days the portfolio lost. Long names are shortened to the part that tells them apart; hover a name for the full one.
- Equity by strategy: each strategy’s cumulative P&L on one chart.
- What-if: switch strategies off or change their lots and see the combined result, without running again.
Example: two strategies with a correlation of 0.9 mostly win and lose together; adding the second one barely reduces the risk. At 0.1, their bad days rarely line up.
Trade log
Section titled “Trade log”The Trade log lists every trade, grouped by day. Click Show trades, then click a day to see its trades: entry and exit time, strike, quantity, prices, why it entered, why it exited, and P&L.
Export CSV downloads the trade list as a spreadsheet file, one row per leg.
Positional strategies
Section titled “Positional strategies”If any trade stayed open overnight, a held overnight flag appears. P&L is counted on the day a trade closes, so losses while a position was open overnight do not show in the drawdown. For positional strategies, the real risk can be larger than the drawdown shown.