ORCA Algo: Analyze CAGR, Drawdown and Monthly Strategy Performance
Introduction
An algo trading strategy analysis is not just about assessing the CAGR of the strategy. The trader must know about the returns generated by the strategy in history, the highest drawdown experienced by the strategy and also the results that the orders have generated.
In case of traders trying to compare various trading platforms in order to select the right one for themselves, the availability of performance data will make the strategy analysis process easier. ORCA Algo has performance dashboards, historical performance indicators, monthly performance breakdowns and also order details for the trader.
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Understanding Historical CAGR and Drawdown
ORCA Algo shows strategic information such as Compound Annual Growth Rate (CAGR), Maximum Drawdown, Minimum Capital, Maximum Capital, Entry and Exit time, as well as Risk classification.
CAGR is a metric that shows the annualised return over a certain historical period, while Maximum Drawdown shows the maximum peak to trough loss over a certain period. Both these metrics show how returns and downside risk are correlated in a trading strategy.
For example, if one strategy has a higher CAGR than another strategy, this particular strategy will have a higher Maximum Drawdown as well. Hence, traders need to assess return and drawdown rather than only picking up trading strategies with higher CAGR.
Strategy ORCA Algo information highlighting the historical CAGR, maximum drawdown, capital requirements and trading information.
Reviewing Backtesting Performance Metrics
Backtest section gives further information about a strategy's historical performance. It allows traders to look at such factors as:
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Net P&L: The overall profit or loss that a strategy generates within a certain period of backtesting.
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Win Rate: A percentage of profitable trades out of all trades.
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Profit Factor: The ratio of gross profits to gross losses.
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Maximum Drawdown: The largest historical drawdown from an earlier equity peak.
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Average P&L per Trade: Average profits and losses per completed trade.
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Gross Profit and Gross Loss: The sum of profitable and losing trades' amounts.
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Average Win and Average Loss: Average wins and losses in trading.
An equity curve shows how the strategy performance changes over time, whereas the win/loss split shows the share of profitable and losing trades.
The metrics provide different views of strategy behavior. Having a high win rate does not always mean better performance, especially if the average loss is much higher compared to the average profit.
ORCA Algo Backtest dashboard with net P&L, win rate, profit factor, drawdown, and equity curve.
Analysing Monthly Performance Information
Historical performance varies from month to month depending upon market circumstances. The performance dashboard of ORCA Algo has P&L charts by month, drawdown analysis, and monthly breakdown for assisting traders to analyze the variations in historical performance.
The P&L chart by month indicates profitable and loss-making months. The drawdown chart displays the variations in historical performance on the downside. The monthly breakdown displays trading and historical performance by month.
There is a year wise comparison of P&L chart along with an All-Months section having details about trading and performance month wise, wherever available.
By using above mentioned views, the trader may find out periods of consistent performance, losing months and variations in historical performance. Comparison between monthly and yearly data may give some additional information which a CAGR figure cannot give.
ORCA Algo Monthly Performance Dashboard that includes monthly P&L, drawdown, annual returns, and monthly break down.
Examining Detailed Order Records
The performance statistics from the past become even more relevant when the traders are able to analyze the individual orders for the same. The Orders tab in ORCA Algo includes the data on the closed orders and an Order P&L chart.
Order summary contains data such as:
Total number of orders, Net P&L, Win percentage and the most profitable order P&L.
Order data contains details like:
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Date and time of entry and exit
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Name of traded instrument and its options contract
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Whether the trade is long or short
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Amount and entry & exit prices
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Time period of the trade
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Profit and loss of individual order
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Order status
These documents help the trader analyze how the particular trades affected the performance of the strategy historically. Analyzing winning and losing trades will help understand the issue of how often trades were performed.
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Closed orders statistics and P&L per order in ORCA Algo Orders dashboards.
Historical order records with detailed information on entries and exits, instruments, volumes, prices and P&L per order.
What Traders Should Evaluate Before Selecting a Strategy
Prior to allocation of funds via the trading account, traders need to evaluate:
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CAGR vs. Maximum Drawdown
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Monthly and annual consistencies in returns
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Win percentage, profit factor and average wins/losses per trade.
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Performance of orders in detail
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Fund requirements, brokerage charges, slippage and execution risk.
Utilization of various performance measures gives a more holistic evaluation framework than depending on only the rate of returns.
Risk Disclosure
The ORCA Algo past performance data and past testing data serve as mere analytics data and do not guarantee any future returns. The real trading performance may vary due to the factors including but not limited to volatility of the market, brokers, taxation, slippages, and liquidity. Past historical Compound Annual Growth Rate (CAGR), Monthly Returns, and Win Rates do not guarantee future performance.
Conclusion
The ORCA Algo strategy dashboard integrates historical CAGR, maximum drawdown, backtest statistics, monthly performance data, and order performance data. This allows traders to analyze not only general historical performance but also individual trades' performance before taking any strategy-related decisions. Using returns, drawdowns, and orders' performance for decision-making on strategy selection via an algorithmic trading platform is quite beneficial for traders.
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Frequently Asked Questions
What historical performance data is provided by ORCA Algo?
ORCA Algo presents historical CAGR, maximum drawdown, backtesting stats and other performance metrics of the strategy.
Is there an opportunity to analyze the monthly strategy performance in ORCA Algo?
Yes, the dashboard presents monthly P&L, drawdown graphs, monthly statistics and annual performance data, if any.
What does the maximum drawdown mean?
The maximum drawdown represents the largest decrease in a historical performance of the strategy.
Does ORCA Algo provide historical orders?
Yes, the Orders section shows historical orders, including their entry price, exit price, quantity, holding period and P&L.
Will the historical CAGR and win rate bring profits in the future?
No, historical performance figures do not provide any guarantees for the future profit generation.
Disclaimer: This blog is dedicated exclusively for educational purposes. Please note that the securities and investments mentioned here are provided for informative purposes only and should not be construed as recommendations. Kindly ensure thorough research prior to making any investment decisions. Participation in the securities market carries inherent risks, and it's important to carefully review all associated documents before committing to investments. Please be aware that the attainment of investment objectives is not guaranteed. It's important to note that the past performance of securities and instruments does not reliably predict future performance.
