Compare a strategy with its benchmark in Performance Metrics

Q: How does the By year table work?

By year repeats six metrics per calendar year: the columns are Year, Annual return (%), Max drawdown, Volatility, Return-to-drawdown ratio, Sharpe and Positive months (%). Each cell shows your strategy's value on top and a second line below it, which the Benchmark toggle in the card's header decides: Value, where the table opens, shows the benchmark's own figure for that year, prefixed with "vs", and the card's caption reads "Each cell: your strategy, with the benchmark value below." Delta shows the gap between the two, prefixed by an arrow: up and green when your strategy did better on that metric, down and red when it did worse. Your own value goes uncoloured, so the arrow is the only colour, and the caption reads "Each cell: your strategy, with the gap vs the benchmark below." Two things about Delta are easy to misread. The gap between two percentages is a difference in percentage points, so it is labelled pp rather than % — see excess return; a ratio's gap carries no unit. And the arrow means "better", not "bigger": for Volatility the lower number is the better one, and for Max drawdown the shallower fall. The choice is a view preference: it is not saved to the page's address.

Q: What does a By year cell look like in practice?

In the Annual return (%) column, the row for 2022 shows −14.2% on top and, in Value mode, "vs −18.0%" below it: the strategy lost 14.2% that year while its benchmark lost 18.0%. Switch the header toggle to Delta and the same cell shows −14.2% with ↑ 3.8pp beneath it. The arrow points up and reads green because losing less than the benchmark is the better outcome on this metric, and the gap is 3.8 percentage points, not 3.8%. One column right, under Volatility, the strategy shows 11.0% against the benchmark's 15.5%: the delta is ↑ 4.5pp, again up and green, because on volatility the smaller number is the better one.

Guide4 min6 steps

Performance Metrics sets every figure of your strategy beside the same figure for its benchmark, over the same dates: in Summary for the whole period and in By year for each calendar year.

Steps

Open Performance Metrics. Open the strategy, choose Analysis, then Performance Metrics. The tables fill in once the strategy has a completed backtest; until then the page reads "No results yet".
Read Summary across. Each row gives the metric, its Strategy value and its Benchmark value, grouped under Performance, Drawdown, Volatility and risk, Worst days · 95%, Monthly performance and Averages. What each row means is What every number in Performance Metrics means.
Let the colour lead. Only the Strategy value is coloured: returns and drawdowns read green when positive and red when negative, Return-to-drawdown ratio and Sharpe are coloured against a neutral band, and the other rows stay plain. The Benchmark value is always muted, because it is context rather than your result.
Read By year. One row per calendar year, newest first, each cell stacking your value over a smaller second line — see How does the By year table work?
Choose what the second line shows. In the card's header, Benchmark switches between Value, the benchmark's own figure, and Delta, the gap between the two with an arrow.
Page through the years. The footer shows 25 years at a time; under Rows choose 50, 100 or All.

Done. For the whole period and for each year, you can tell which part of a figure was the market and which part was the strategy's own doing.

How does the By year table work?

By year repeats six metrics per calendar year: the columns are Year, Annual return (%), Max drawdown, Volatility, Return-to-drawdown ratio, Sharpe and Positive months (%). Each cell shows your strategy's value on top and a second line below it, which the Benchmark toggle in the card's header decides:

Value, where the table opens, shows the benchmark's own figure for that year, prefixed with "vs", and the card's caption reads "Each cell: your strategy, with the benchmark value below."
Delta shows the gap between the two, prefixed by an arrow: up and green when your strategy did better on that metric, down and red when it did worse. Your own value goes uncoloured, so the arrow is the only colour, and the caption reads "Each cell: your strategy, with the gap vs the benchmark below."

Two things about Delta are easy to misread. The gap between two percentages is a difference in percentage points, so it is labelled pp rather than % — see excess return; a ratio's gap carries no unit. And the arrow means "better", not "bigger": for Volatility the lower number is the better one, and for Max drawdown the shallower fall. The choice is a view preference: it is not saved to the page's address.

What does a By year cell look like in practice?

In the Annual return (%) column, the row for 2022 shows −14.2% on top and, in Value mode, "vs −18.0%" below it: the strategy lost 14.2% that year while its benchmark lost 18.0%.

Switch the header toggle to Delta and the same cell shows −14.2% with ↑ 3.8pp beneath it. The arrow points up and reads green because losing less than the benchmark is the better outcome on this metric, and the gap is 3.8 percentage points, not 3.8%. One column right, under Volatility, the strategy shows 11.0% against the benchmark's 15.5%: the delta is ↑ 4.5pp, again up and green, because on volatility the smaller number is the better one.

Where else do these metrics appear?

A KPI strip above the tables leads with four headline figures — Sharpe ratio, Volatility, Longest drawdown and CAGR vs benchmark.
Every strategy row in your strategies list carries a compact version: CAGR, Volatility, Sharpe and Max drawdown as columns, beside the MTD, 1M, YTD and 1Y return windows. All are shown by default and can be hidden from the Columns chooser (return windows).
Monthly Returns repeats the per-year figures in its compact Total, DD and NP/DD columns (months matrix).
On a Combined, the Sub-strategies tab repeats several of these figures for each of its strategies, as cards of charts rather than a table, and adds Sortino, tracking error and information ratio — the last two measured against the Combined, not the benchmark (component analytics).

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UPDATED 2026-10-11REVIEWED 2026-10-07