Return Breakdowns

Yearly, monthly, and daily performance breakdowns -- how to spot seasonal patterns and consistency.

Return Breakdowns

After a backtest completes, the results include period breakdown tables that split your strategy's performance by year, month, and day. Instead of looking at a single total return number, you can see exactly how the strategy performed in each time period -- which months were strong, which years struggled, and whether the results are consistent or concentrated in a few lucky stretches.

How Returns Are Calculated

Within each time period (year, month, or day), returns are calculated using compounding. Every trade that closed in that period is applied sequentially -- each trade's profit or loss affects the capital available for the next trade.

For example, if January 2023 had two trades that each returned 10%, the monthly return is not simply 10% + 10% = 20%. Instead, the engine compounds them: (1 + 0.10) x (1 + 0.10) - 1 = 1.21 - 1 = 21%. The first trade's gain increases the capital base for the second trade, so the second 10% gain earns more in absolute terms.

Each period is calculated independently. January's compounding does not carry into February -- each period starts fresh. This means the overall backtest return (which compounds across the entire timeframe) may differ from simply adding up all the individual period returns.

Period returns do not sum to the overall return

Because the overall backtest compounds continuously across all trades while period breakdowns compound independently within each period, adding up the yearly or monthly returns will not exactly match the total backtest return. This is expected behavior, not a bug.

Which Trades Are Included

The period breakdown tables only include trades that were closed within each period. A trade is assigned to the period in which its exit occurred, not when it was opened.

For example, if you opened a position on January 25 and closed it on February 10, this trade appears in the February breakdown only -- not January. Open positions that have not yet been closed do not appear in any period breakdown.

Each trade is counted exactly once, in the period when it closed. This prevents double-counting and ensures each period's performance reflects realized gains and losses, not open positions with unrealized gains.

What about trades that span multiple periods?

A trade that opens in one period and closes in another is attributed entirely to the closing period. The full profit or loss of that trade is counted in the period the exit happened, regardless of how long the trade was open. This keeps the accounting clean -- every trade maps to exactly one period.

Condition Combination Returns vs Overall Returns

If your strategy uses multiple entry or exit conditions, the Condition Combination Performance table shows how each pair of conditions performed individually. These numbers will usually differ from the overall backtest returns, and understanding why is important.

Overall backtest returns are compounded. Each trade's profit or loss changes the capital base for the next trade. After two trades that each return 10%, the compounded result is (1.10 x 1.10 - 1) x 100 = 21%.

Condition combination returns are simple sums. The percentage returns from individual trades using that specific combination are added together without compounding. The same two 10% trades would show as 10% + 10% = 20%.

This difference is intentional. The condition combination table is designed for comparing the relative effectiveness of different condition pairs -- which entry/exit combo produces more consistent wins, higher average returns, or fewer losses. Simple sums make that comparison straightforward. The overall return, with its compounding, gives you the portfolio-level picture.

Using Breakdowns to Improve Your Strategy

The period breakdown tables are not just a summary -- they are a diagnostic tool. Here are the patterns worth looking for.

Spot Seasonal Patterns

Look for months or periods that consistently show better or worse performance. If your strategy reliably underperforms in certain months across multiple years, that could reveal seasonal effects in the market or a structural weakness in your conditions during specific market regimes.

Evaluate Consistency

A robust strategy should show relatively consistent returns across different time periods. If one or two exceptional months account for most of the overall return, the strategy may be less reliable than the total number suggests. Monte Carlo simulation can test whether the result depends on a lucky sequence of trades. Sort the monthly breakdown by return to quickly spot whether the gains are distributed evenly or concentrated.

Compare Across Leverage Levels

The breakdown tables show results at each leverage level. Comparing the same periods across different leverage settings reveals whether higher leverage amplifies good months proportionally or whether it turns mild losing months into severe ones.

Assess Risk Management

Periods with large negative returns can help you evaluate whether your stop-loss and risk management rules are working as intended. If some months show losses far beyond what your stop-loss should allow, it may indicate gap risk or that the stop-loss is too wide for the strategy's characteristics.

Benchmark Against Market Events

Compare periods of underperformance with known market events -- flash crashes, rate decisions, or major geopolitical shifts. If your strategy consistently loses during high-volatility events, that is a useful insight about where it breaks down and may inform whether to trade through those periods or step aside.

Where to Go Next

Total & Annualized Return -- how the overall return number is calculated and what annualization means.

Win Rate & Expectancy -- per-trade statistics that complement the period-level view.

Timeframes & Data -- how candle interval affects trade frequency and therefore how many trades appear in each period.