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Backtesting

Saturday, May 4th 2019

Backtest: Downloading Return Results to Excel

Backtest and download the trades, all returns and statistics for an options strategy.

Summary

After running a backtest and clicking the report link, a download button appears in the top right of the page. When clicked, a zip file containing the trades, all returns, and statistics is downloaded. The StrategyReturns.csv file shows the stock trade and the return for a specific date. The StrategyStats.csv file contains monthly and annual stats, while the StrategyTrades.csv file contains all trades. The backtester also allows for running a strategy without the stock component.

After a backtest is run and you have clicked on the link to view the report, a download button appears in the top right of the page. When you click that, a zip file containing the trades, all returns and statistics is downloaded.

Here's what the Zip looks like:

Here's the StrategyReturns.csv. Notice the $33.19 in cell G3 is the stock trade where the price went up from 1765.21 to 1798.4 and that difference divided by the opening stock price is 0.019 Return for 1/4/2007.

If you wanted to isolate the options returns you could open the folder StockOutputs and open the StockReturns.csv and net the daily returns. You could also run a strategy without the stock component. For example, here is the file of NDX stock only returns.

The StrategyStats.csv contains the monthly and annual stats.

The StrategyTrades.csv contains all the trades. Even though the trades file shows a quantity of 1 the returns and the backtest report present results based on a notional denominator being constantly funded by $10,000.

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