SPY 200-Day Trend

Sample result. A real backtest on the live engine, shown so you can explore the actual research output — metrics, robustness, charts, and trade analysis.

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Adequate risk-adjusted performance

Sharpe 0.56 · significant 21.6% max drawdown · 100% confidence Sharpe > 0

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Research only — not investment advice. Results are simulated or historical, depend on the stated assumptions and data, and are not a recommendation. Verify independently. Full disclaimer →

Ann. return+9.6%

Sharpe0.56

Sortino0.59

Max drawdown-21.6%

Volatility11.4%

RobustnessB+

Recompute live Risk-free rate 4.00% Trade cost 5 bps Risk-free moves Sharpe & Sortino instantly (client-side); the trade-cost slider re-derives net performance server-side. No new backtest, no credit.

Result caveats

Largest date gap is 5 days; inspect missing history or market closure.
Indicator warm-up: the longest indicator window used (200-day SMA or equivalent; 200 daily observations) means signals are inactive before 2015-10-19. The performance series includes this flat warm-up interval.

Charts Robustness Deepen Equity Compare Exposure Trades Trade lab Seasonality Audit

Research Robustness Scorecard

B+72.1/100

Assessed grade A- (80/100) on 90% evidence coverage — complete the n/a checks below to lift the overall grade toward it.

Grade B+ (72/100) — good robustness. Strong on: statistical significance, sample length, activity / trade count, cost robustness, data quality. Among the 90% of evidence actually assessed the grade is A- (80/100); completing the unassessed checks moves the overall grade toward that band.

Statistical significance

100

Sample length

100

Activity / trade count

Out-of-sample evidence

Overfitting probability

n/a

Risk profile

Tail risk

Return stability

Alpha purity

Cost robustness

100

Data quality

The robustness score weighs statistical significance, sample size, activity, out-of-sample evidence, overfitting probability, risk, tail risk, return stability, alpha purity, cost margin, and data quality. The headline grade is conservative (unassessed checks score zero); assessed_grade is the grade among the evidence measured. A high grade is necessary but not sufficient — confirm with independent replication before any capital decision.

Analysis of user-supplied returns. Helvetic did not source or verify this data. Figures are annualised at the stated frequency. Research only — not investment advice.

Performance

Total ReturniCumulative growth over the whole period, before any annualisation.final_equity / first_equity - 1

+174.2%

Annualised ReturniThe constant yearly rate (CAGR) that compounds to the total return.(1 + total_return) ** (1 / years) - 1, years = (n_points - 1) / periods_per_year

+9.63%

p.a.

Sharpe RatioiExcess return per unit of total risk; higher is better, >1 is strong.(annualised_return - risk_free_rate) / annualised_volatility

0.56

Risk-adjusted

Sortino RatioiLike Sharpe but penalises only downside volatility, not upside swings.(annualised_return - risk_free_rate) / downside_deviation

0.59

Downside-adjusted

Calmar RatioiAnnual return earned per unit of worst peak-to-trough loss.annualised_return / abs(max_drawdown)

0.45

Return / Max DD

Risk

Volatility p.a.iYearly standard deviation of returns — how much the result swings.stdev(returns) * sqrt(periods_per_year)

+11.40%

Max DrawdowniLargest peak-to-trough decline experienced during the period.min((equity - running_peak) / running_peak)

-21.55%

525 days

VaR 95% (daily)iLoss the result is not expected to exceed on 95% of periods (historical).5th percentile of the per-period return distribution

-1.20%

CVaR -1.915%

Ulcer IndexiDepth-and-duration of drawdowns; lower means shallower, shorter pain.sqrt(mean(drawdown_pct ** 2))

7.61

Depth+duration of DDs

Return Quality

Win Rate (days)iShare of periods with a positive return.count(returns > 0) / count(returns)

42.7%

1180W / 958L

Positive MonthsiShare of calendar months with a positive return.count(monthly_returns > 0) / count(monthly_returns)

60.3%

Profit FactoriGross gains divided by gross losses; >1 means gains outweigh losses.sum(gains) / abs(sum(losses))

1.19

Omega RatioiProbability-weighted gains versus losses around the risk-free hurdle (Minimum Acceptable Return).sum(returns above hurdle) / abs(sum(returns below hurdle))

1.11

Best MonthiLargest single-month gain.max(monthly_returns)

+10.88%

Worst MonthiLargest single-month loss.min(monthly_returns)

-7.64%

SkewnessiAsymmetry of returns; positive favours upside surprises.third standardised moment of returns

-0.99

Return asymmetry

Excess KurtosisiFat-tailedness versus a normal distribution; higher means more extremes.fourth standardised moment - 3

5.53

Fat-tail risk

Versus Benchmark

Excess ReturniTotal return above the benchmark over the period.strategy_total_return - benchmark_total_return

-129.05%

vs SPY

BetaiSensitivity to the benchmark; 1 moves with it, 0 is independent.cov(returns, benchmark) / var(benchmark)

0.410

vs SPY

Tracking ErroriYearly volatility of the return difference versus the benchmark.stdev(returns - benchmark_returns) * sqrt(periods_per_year)

13.67%

p.a.

Jensen's AlphaiAnnual return beyond what the benchmark exposure (beta) explains.ann(return) - (rf + beta * (ann(benchmark) - rf))

+1.68%

p.a.

Up CaptureiShare of the benchmark's gains captured on its up periods (100% = matches).mean(returns | benchmark up) / mean(benchmark | up) * 100

62%

Down CaptureiShare of the benchmark's losses taken on its down periods (lower is better).mean(returns | benchmark down) / mean(benchmark | down) * 100

61%

Statistical Significance

Probabilistic Sharpe

99%

Confidence the true Sharpe > 0

Min. Track Record

3.9y

Sample is long enough (95% conf.)

Interpretation

Strong: the Sharpe is very likely positive (>95% confidence).
About 3.8 years of this return profile are needed before the Sharpe is statistically positive at 95% confidence. The current sample meets this.

Research Workbench Charts

Rolling Sharpe (1Y)

Rolling Volatility (1Y, annualised %)

Annual Returns

Daily Return Distribution

Skew -0.99 Excess kurt. 5.53 Best day +2.74% Worst day -5.76%

Monte Carlo Fan

Walk-Forward (out-of-sample Sharpe)

Deepen Analysis

Choose an institutional check

Run a focused robustness check and Helvetic will summarize the result here. Raw payloads stay available under technical details instead of taking over the page.

Significance tests whether the Sharpe is likely real.
Walk-forward checks out-of-sample stability.
Monte Carlo turns the return path into outcome ranges.
Turnover estimates trading activity and cost sensitivity.

Equity Curve (USD)

Benchmark Overlay

Compare Overlay

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Overlays are rebased to this strategy's starting value.

Visible Window

Window Return-

Max DD-

Best Day-

Last Value-

Relative Diagnostics

Active Return-

Tracking Error-

Beta-

Correlation-

Select a benchmark overlay to unlock active-risk diagnostics for the visible chart window.

Compare Strategies

Select up to three of your other retained runs to compare on the numbers. This run is always the first column.

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Strategy Underwater Chart (%)

Exposure Over Time

Trade Statistics

Round Trips

Trade Win Rate

23.3%

Avg Trade

+4.23%

Profit Factor

5.05

Avg Holding

70.5d

Time in Market

76%

Recent Trades

#	Side	Entry	Exit	Holding	Return	Result
1	LONG	2022-08-17	2022-08-18	1d	-0.81%	Loss
2	LONG	2022-12-01	2022-12-06	3d	-2.08%	Loss
3	LONG	2022-12-14	2022-12-15	1d	-0.74%	Loss
4	LONG	2023-01-12	2023-01-19	4d	-1.12%	Loss
5	LONG	2023-01-23	2023-03-13	34d	-2.62%	Loss
6	LONG	2023-03-15	2023-03-16	1d	-0.72%	Loss
7	LONG	2023-03-17	2023-10-26	154d	+6.47%	Win
8	LONG	2023-11-02	2025-03-11	337d	+34.40%	Win
9	LONG	2025-03-25	2025-03-27	2d	-1.05%	Loss
10	LONG	2025-05-13	open	160d	+18.75%	Open

Most recent 10 of 30 total round trips, oldest first. Return is the per-trade compounded result, net of costs; the final row is the still-open position.

Trade Lab

Per-trade return & cumulative (%)

Return vs holding period

Left: each closed trade's net return (green win / red loss) with the cumulative compounded line — reveals win/loss streaks. Right: return vs holding days — do winners run longer than losers? Based on the most recent round trips.

Rolling 1-Year Stability

Latest Sharpe

0.51

Min Sharpe

-2.52

Max Sharpe

3.28

Positive Windows

64%

Regime Slicer

Regime	Days	Annualised	Sharpe	Worst Day
Bull / Uptrend	2115	21.12%	1.37	-5.76%
Bear / Downtrend	451	-25.59%	-3.83	-4.49%

Regime	Days	Annualised	Sharpe	Worst Day
Low Volatility	915	10.34%	1.25	-1.80%
Mid Volatility	915	20.40%	1.62	-2.70%
High Volatility	915	1.35%	-0.16	-5.76%

Volatility regimes are sliced from 21-day realised volatility.

Stress Period Analysis

Period	Dates	Return	Max DD	Sharpe	Vol
COVID-19 Crash	2020-02-03 → 2020-12-31	8.47%	-17.84%	0.40	17.4%
Inflation & Rate Shock 2022	2022-01-03 → 2022-12-30	-16.64%	-16.64%	-2.57	8.0%
Post-COVID Recovery	2020-04-01 → 2021-12-31	62.81%	-9.44%	2.01	14.6%
Crypto Winter 2022	2021-11-01 → 2022-12-30	-13.13%	-16.64%	-1.60	9.4%
Crypto Bull Run 2020-21	2020-10-01 → 2021-10-29	38.18%	-7.35%	2.39	13.5%

Monthly and Yearly Returns (%)

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Year Return	Year Max DD
2015	-	0.0	0.0	0.0	0.0	0.0	0.0	0.0	0.0	1.2	-0.2	-6.1	-5.19%	-7.67%
2016	-0.1	0.0	1.8	0.4	1.7	-1.6	3.6	0.1	0.0	-1.7	3.7	2.0	+10.18%	-5.62%
2017	1.8	3.9	0.1	1.0	1.4	0.6	2.1	0.3	2.0	2.4	3.1	1.2	+21.71%	-2.61%
2018	5.9	-3.6	-2.7	0.5	2.4	0.6	3.7	3.2	0.6	-7.5	-1.5	-2.1	-1.34%	-11.31%
2019	0.0	0.7	1.8	4.1	-6.4	4.7	1.5	-1.7	1.9	2.2	3.6	2.9	+16.04%	-6.47%
2020	-0.0	-7.6	-6.5	0.0	1.6	1.8	5.9	7.0	-3.7	-2.5	10.9	3.7	+9.23%	-17.84%
2021	-1.0	2.8	4.5	5.3	0.7	2.2	2.4	3.0	-4.7	7.0	-0.8	4.6	+28.73%	-5.11%
2022	-7.6	-4.4	1.5	-2.7	0.0	0.0	0.0	-0.9	0.0	0.0	0.0	-3.0	-16.15%	-16.64%
2023	1.3	-2.5	0.0	1.6	0.5	6.5	3.3	-1.6	-4.7	-2.4	7.9	4.6	+14.36%	-9.43%
2024	1.6	5.2	3.3	-4.0	5.1	3.5	1.2	2.3	2.1	-0.9	6.0	-2.7	+24.57%	-8.41%
2025	2.7	-1.3	-6.8	0.0	1.0	5.1	2.3	2.0	3.6	2.4	0.2	0.8	+12.16%	-10.38%

Cell shading scales with monthly return magnitude. Year Return is year-end to year-end, with the first year measured from inception; Year Max DD is the worst intra-year peak-to-trough.

Seasonality — average return by calendar month (%)

Mean return for each calendar month across every year in the sample (green = positive average, red = negative). A lens on calendar tendencies — short samples overfit easily, so treat it as a hypothesis, not a guarantee.

Drawdown Recovery Table

Start	Trough	End	Depth	Duration	Days to New High
2022-01-04	2023-03-17	2024-02-07	-21.55%	525d	224d
2020-02-19	2020-03-06	2020-11-16	-17.84%	189d	177d
2018-09-21	2019-02-08	2019-11-26	-12.08%	297d	202d
2025-02-19	2025-05-23	2025-08-13	-10.38%	121d	55d
2018-01-26	2018-02-08	2018-07-25	-10.10%	124d	115d

Assumptions & Audit Trail

Provider: Yahoo Finance via yfinance
Adjustment: auto_adjust=True; splits and dividends incorporated by provider
Dataset SHA-256: 28fe6424f262a8b0cb3…
Backtest ID: sample-result

Cost used: 10.00 bps per unit turnover
Execution: signals generated on close; position changes execute on the next bar
Warm-up: 200 bars; first valid 2015-10-16; first signal 2015-10-22
Data quality: 95/100
Integrity: WARN
Disclaimer: Past performance is not indicative of future results. Not investment advice.

Data-quality warnings:
Largest date gap is 5 days; inspect missing history or market closure.

Raw JSON