Total return is the percentage a strategy gained or lost across its whole backtest — the change from its starting value to its final value over the entire simulated period. It is the percentage measure of the strategy as a whole, shown as "Total return (%)" in the Performance group of the metrics table, stored as a fraction (0.153) and formatted for display as a percentage ("15.3%"); the money figure for one symbol or position is a separate column, Total P&L. Total return is not annualized, so a three-year run and a ten-year run cannot be compared by it; CAGR is the annualized view of the same result.
Also seen as: cumulative return, whole-period return
How does total return differ from Total P&L?
Total return is a percentage for the whole strategy; Total P&L is a money amount for one symbol or one position. A money column in the Positions tables was once labelled "Total return" as well; it now carries its own name, so the two figures no longer share one word. Total return answers "by what percentage did this strategy grow or shrink over the run?" and lives on the metrics page. Total P&L answers "how much money did this symbol or position make or lose, after costs and including dividends?" and lives in the Positions tables. The two measure related things at different scopes and in different units, which is why the money column carries its own name: if a figure is in currency it is Total P&L, and if it is a percentage of the strategy's starting value it is total return.
How is total return calculated?
Total return divides the strategy's final value by the value it started with and subtracts one.
where: starting value is the capital the backtest began with, and final value is the capital on the last simulated day.
Defaults in Fincanva
- Total return appears as "Total return (%)" in the Performance group of the metrics table, shown to one decimal place and coloured by sign.
- It is never annualized. The annualized slot beside it holds CAGR when Reinvest profits is on and AAGR when it is off.
- The by-year metrics table reports the same measure one calendar year at a time, under the header "Annual return (%)".
- Total return is read off the strategy's capital curve, so which costs and taxes are already deducted follows the run's simulation assumptions.
- It can be negative, and it does not depend on how much starting capital you chose — it is a ratio.
Worked example
A backtest starts with 10,000 and finishes with 14,000. Its total return is 14,000 ÷ 10,000 − 1 = 0.40, displayed as +40.0%. If that run covered four years, the total return is still +40% — the annualized view is CAGR, roughly +8.8% a year. A ten-year run that also ended at 14,000 would read +40% as well, which is exactly why total return on its own never tells you how fast the money grew.
Total return describes what a strategy would have done on historical data, not what it will do. Fincanva provides no financial advice — see Is this financial advice?.
Where this term is used
Generated · 2 pagesThe pages that reference this term — so a term page is somewhere you pass through, not somewhere you land and stop.
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Fincanva provides no financial advice. Backtests show what would have happened — not what will.
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