RESOURCES / BACKTESTING FOUNDATION

Portfolio Backtest Metrics Explained

No single metric is a portfolio conclusion. Return must be read together with its path and consistency.

01

Return and purchasing power

Annualized return summarizes compounding, while real return shows whether the portfolio increased purchasing power after inflation.

02

Drawdown and recovery

Maximum drawdown measures the deepest peak-to-trough loss; recovery time shows how long the investor remained below the prior peak.

03

Result consistency

Result consistency asks whether a finding remains similar across different start dates, nearby parameter choices, and relevant market conditions.