Reports
From the Reports menu in your account, you can run custom reports by bot, brokerage account, tag, and date range. These reports will provide detailed charts and statistics that represent portfolio performance for your selected bots and also compare them against your preferred benchmark.
New reports have the following available fields:
| |
|---|---|
Name (Optional) | Text to describe the report |
Benchmark | The underlying symbol (ie: SPX, SPY, AAPL) to use to compare to your portfolio |
Start & End Date | The date range for the report |
NLV Source | The value to use as a basis for return calculations (explained below) |
Bot Status (Optional)** | Include bots matching a certain status (Enabled/Disabled) |
Broker(s) (Optional)** | Include bots for a certain brokerage account |
Bot Tag(s) (Optional)** | Include bots with certain tags |
Bot(s) (Optional)** | Include specific bots |
Closed Positions Only (Optional) | When checked, the report will only include closed positions. It will ignore open positions with unrealized gains/losses. If this box is not checked, all positions (open and closed) will be included. |
** When using the last 4 fields to select bots for the report, all bots that match any of the fields will be included. If you do not specify bots/statuses/accounts/tags to include, then all bots will be included in the report.
NLV Source (Net Liquidation Value)
Any portfolio return, drawdown, or risk metric will need a portfolio "value" to use in calculations. The appropriate value will depend on how you integrate bots into your overall portfolio strategy. Here are your choices for NLV Source in bot reports:
- Actual NLV
- This will read the actual NLV from the connected brokerage account(s) in the report and measure all bot profit/loss against your full brokerage account(s) NLV. This is appropriate if you want to measure performance as if bots are the only thing in your portfolio, or if you want to see what would happen if you ran bots and nothing else.
- Percent of NLV
- This will read the actual NLV from the connected brokerage account(s) in the report and measure all bot profit/loss against a percentage of that NLV that you specify. This is appropriate if you know that you set aside a certain percentage of your portfolio to bots and the rest to something else.
- Fixed Balance
- This will assume the same, fixed balance every day of the report. This is appropriate if you view your bots as having a specific amount of money to utilize or if you do not scale up or down bots and rely on your portfolio for income.
- Specific Starting Balance
- This will assume a specific starting balance and then add/substract all bot profit/loss from that balance over the life of the report. This is appropriate if you allocate bots a specific balance to start with and then scale that balance with just the bot profit/loss.
Inside of a report, you'll find high level statistics, benchmark comparisons, charts, and detailed breakdowns. It's important to fully understand what each of these represent as explained below.
- Total Return - For the portfolio, this is calculated using holding period returns while adjusting for outside cash flow. The goal here is to isolate performance for only the bot positions in the report and to ignore the impact of any transfers or other investments in the brokerage account. You can reference this Motley Fool article for additional reading on this methodology. For the benchmark, total return is calculated using (ending price - starting price) / starting price * 100
- CAGR - This is the compound annual growth rate of each strategy. This considers the total return, time in days for the measured period, and then annualizes the result. If you maintained the same rate for an entire year, you would arrive at this calculated CAGR.
- Drawdown - Drawdown percent is the largest percentage drop from peak to trough between any two days during the report. Percentage is calculated using (peak balance - trough balance) / peak balance * 100
- MAR - This is simply CAGR / Drawdown. Higher numbers are best.
- Sharpe - This is an industry-standard metric that compares the strategy return against a risk-free asset (1 year treasury) and then adjusts the result for the risk taken based on variance of daily returns. Higher Sharpe is better. Most will consider 1+ good, 2+ very good, and 3+ excellent.
- Sortino - This is similar to Sharpe, but where Sharpe will penalize return volatility in both directions (up and down), Sortino will only penalize downside volatility. This means Sortino suffers if the portfolio has large, outlier down days, but it is not penalized for large, outlier up days. Higher Sortino is better. 1+ is good, 2+ is very good, and 3+ is excellent.
- Annualized Volatility - This is another measure of portfolio volatility, which in this case is the annualized standard deviation of daily returns. In this case, lower is better and represents lower day to day volatility.
- Correlation - This will compare the daily percentage returns for the report against the daily percentage returns for the underlying. This will tell you approximately how often the report follows the underlying up and down from day to day. Correlation falls between 0 and 1. 0 means that the report has zero correlation with the underlying, meaning it never follows it. 1 means that the report and underlying always follow each other. In between, you could have a correlation of 0.5, which would indicate that the report follows the underlying about half of the time.
- Beta - This is a measure of portfolio volatility relative to the underlying. A Beta of 1 indicates that the portfolio is just as volatile as the underlying. Beta under 1 indicates that the portfolio is less volatile than the underlying, and a Beta above 1 indicates that the portfolio is more volatile than the underlying.
Current Day Results May be Incomplete
If your report covers the current day, some positions that closed on that day might not appear in your report right away. They will usually appear shortly after, but they also may not appear until 30 minutes after market close.
Moving a Bot Between Brokerage Accounts
If you move an existing bot from one brokerage account to another, this can sometimes have an undesireable impact on return calculations for that bot or any report which includes that bot. If report accuracy is a priority of yours, and you would like to move an existing bot to a different brokerage account, it is best to disable that bot, clone it, and set the cloned bot to the new brokerage account. Do this instead of simply editing the current bot and changing the brokerage account.