Test how much to trust a backtest with the Robustness tab
The Robustness tab questions a backtest instead of reporting it: Backtest reliability asks whether the result could be luck, and Stress test replays the same history under a scenario you choose.
Steps
- Open Robustness. Open the strategy, choose Analysis, then Robustness, and choose a panel: Backtest reliability or Stress test. The strategy needs a completed backtest, and the tab and both checks depend on your plan — a tab carrying the plan's bars opens to say which plan includes it; backtest reliability and the stress test each name theirs.
- Calculate the reliability. Under Method choose Blocks of days or Single days, under Resamples choose 100 or 1,000, then press Calculate; the button reads, for example, "Calculating 1,000 resamples…".
- Read the verdict. Under "Could it be luck?" the panel answers "Probably not", "Uncertain" or "It could be luck", with the number behind it and a sentence saying what it means. Below come Years in profit, a band showing how much the average annual return, the Sharpe and the maximum drawdown could have varied, and a Year by year table — each explained on backtest reliability.
- Set a stress scenario. On Stress test, pick one of the Ready-made scenarios — "A −20% year", "Double volatility", "A flat year" or "Crash: −40% and volatility ×2" — or set your own: Assumed annual return, from −50% to +50%, switched on with "Use an assumed annual return", and Volatility multiplier, from 0.5× to 3× ("Off = 1×"). At least one must differ from normal. Press Apply scenario.
- Read the stress result. Two gauges — How far we bent history and Days that still count — sit over a table, On the strategy's historical days, that sets Base beside With the scenario for the average annual return, the annual volatility and the daily VaR and CVaR at 95% (stress test).
Done. Each panel keeps its result until you change one of its controls or an assumption in Simulation assumptions; then calculate again.
How is the Robustness tab different from the Projection tab?
The two tabs point in different directions. Projection looks forward: it builds possible futures out of the strategy's past days and shows their spread. Robustness looks back at the backtest itself: reliability asks how much of the result the same days could have produced by chance, and the stress test asks how the result depends on the kind of days the history happened to hold. Both work only on the days the strategy has already lived, and neither tab is a forecast.
Why is the return here not the one on Performance Metrics?
Because both panels report the arithmetic average annual return — the average daily return scaled to a year — while Performance Metrics reports the compound growth rate, CAGR. The two answer different questions and differ most when returns swing widely; the app says so under the reliability band ("The return is arithmetic, so it does not match the one on the Metrics page."). In the stress test, the Base column is also computed differently from the Metrics page, which the table states beside it — compare Base with With the scenario, not with Performance Metrics.
Why won't a panel calculate?
A panel says it isn't available for this simulation
Reliability reads "Backtest reliability isn't available for this simulation. If the backtest ran before the update, run it again to enable it." Both checks draw on a record of daily returns that older simulations do not store. Run the backtest again, then calculate.
The stress test says it couldn't calculate the scenario
The message reads "We couldn't calculate this scenario." A scenario too far from anything in the strategy's history cannot be reached by reweighting its days. Try a less extreme scenario — the panel offers a button, "Soften to …", that brings the more extreme of the two settings halfway back to normal — or run the backtest again if the simulation predates the update.
UPDATED 2026-10-07REVIEWED 2026-10-07