Tracking Trading Returns and Drawdowns Across Time Windows

Summary

This document describes a BotVS template for collecting strategy profit observations and summarizing performance over recent and completed daily, weekly, and monthly windows, as well as over the full history. It replaces the platform’s profit logging call with a wrapper that stores timestamped values, then calculates changes between the first and last observations in each window. The displayed measures include absolute profit, return relative to the starting balance, simple annualized and monthly rates, and maximum peak-to-trough decline.

The example output illustrates the format across one-day, seven-day, thirty-day, and total periods. Short-window annualization is linear rather than compounded, so it is an extrapolation, not a forecast. Results also depend on observations being logged consistently and on the starting-balance input. The source includes implementation details, but does not provide a validated performance study or establish that the statistics are suitable for every profit series; the template is primarily a monitoring aid.

Key ideas

• The template stores timestamped profit observations to calculate performance summaries over selected time windows.
• Return percentages use the initial balance plus the window’s opening profit as their base.
• Maximum drawdown is estimated from the highest and subsequent lowest logged profit values within a window.
• Monthly and annualized figures extrapolate linearly for short periods and do not use compounding.
• Summary quality depends on regular logging and the accuracy of the supplied initial balance.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.