Strategy Report

After running a strategy script, Navi generates a StrategyReport containing performance metrics, trade history, equity curves, and configuration details.

Report Structure

StrategyReport is the top-level type returned by instance.strategy_report():

rust

pub struct StrategyReport {
    /// Strategy configuration snapshot (initial capital, commission, etc.)
    pub config: StrategyConfigReport,
    /// Performance metrics computed across all trades
    pub performance_all: PerformanceMetrics,
    /// Performance metrics for long trades only
    pub performance_long: PerformanceMetrics,
    /// Performance metrics for short trades only
    pub performance_short: PerformanceMetrics,
    /// Completed trades, ordered by exit time
    pub closed_trades: Vec<ClosedTradeReport>,
    /// Currently open (unrealized) trades
    pub open_trades: Vec<OpenTradeReport>,
    /// Per-bar equity value (index 0 = first bar)
    pub equity_curve: Vec<f64>,
    /// Per-bar drawdown from peak equity (always ≥ 0)
    pub drawdown_curve: Vec<f64>,
    /// Per-bar buy-and-hold equity (initial_capital × close / first_close)
    pub buy_hold_curve: Vec<f64>,
    /// Daily returns for Sharpe/Sortino calculation
    pub daily_returns: Vec<DailyReturnReport>,
    /// Time range from first entry to last exit (None if no closed trades)
    pub trading_range: Option<TradingRangeReport>,
}

Strategy Configuration

StrategyConfigReport captures the strategy's declared settings:

Field	Type	Description
`initial_capital`	`f64`	Starting account equity
`commission_type`	`CommissionType`	`PerContract`, `PerTrade`, or `PercentOfValue`
`commission_value`	`f64`	Commission amount per the commission type
`margin_long`	`f64`	Long position margin requirement (%)
`margin_short`	`f64`	Short position margin requirement (%)
`slippage`	`f64`	Order slippage in ticks
`pyramiding`	`u32`	Max simultaneous entries in the same direction
`risk_free_rate`	`f64`	Annual risk-free rate for Sharpe/Sortino (%)
`process_orders_on_close`	`bool`	Fill orders on bar close instead of next bar open
`calc_on_order_fills`	`bool`	Re-execute script on each order fill
`close_entries_rule`	`CloseEntriesRule`	`Fifo` or `Any`

Performance Metrics

PerformanceMetrics is computed three ways: across all trades (performance_all), long-only (performance_long), and short-only (performance_short).

Some fields are only meaningful in performance_all — they reflect the combined equity curve and therefore cannot be split by direction. In performance_long and performance_short these fields are always 0.0 or None:

max_drawdown / max_drawdown_percent
max_runup / max_runup_percent
buy_hold_return / buy_hold_return_percent
sharpe_ratio / sortino_ratio
num_even_trades

Profit & Loss

Field	Description
`net_profit`	Net profit in account currency
`net_profit_percent`	Net profit as % of initial capital
`gross_profit`	Sum of profits from winning trades
`gross_profit_percent`	Gross profit %
`gross_loss`	Sum of losses from losing trades (positive number)
`gross_loss_percent`	Gross loss %
`profit_factor`	Gross profit ÷ gross loss (`None` if no losing trades)
`buy_hold_return`	Buy-and-hold return in account currency (`performance_all` only)
`buy_hold_return_percent`	Buy-and-hold return % (`performance_all` only)

Drawdown & Runup

Only populated in performance_all. Always 0.0 in performance_long / performance_short.

Field	Description
`max_drawdown`	Maximum equity drawdown in account currency
`max_drawdown_percent`	Max drawdown %
`max_runup`	Maximum equity runup in account currency
`max_runup_percent`	Max runup %

Risk-Adjusted Returns

Only populated in performance_all. Always None in performance_long / performance_short.

Field	Description
`sharpe_ratio`	Annualized Sharpe ratio (`None` if insufficient data)
`sortino_ratio`	Annualized Sortino ratio (`None` if insufficient data)

Trade Statistics

Field	Description
`total_closed_trades`	Total number of completed trades
`total_open_trades`	Unrealized trades at end of backtest
`num_winning_trades`	Trades with profit > 0
`num_losing_trades`	Trades with profit < 0
`num_even_trades`	Break-even trades (profit == 0) (`performance_all` only, always `0` otherwise)
`percent_profitable`	Winning trades ÷ total × 100 (`None` if no closed trades)

Average Trade

Field	Description
`avg_trade`	Average P&L per trade
`avg_trade_percent`	Average P&L % per trade
`avg_winning_trade`	Average profit of winning trades
`avg_winning_trade_percent`	Average winning trade profit %
`avg_losing_trade`	Average loss of losing trades
`avg_losing_trade_percent`	Average losing trade loss %
`ratio_avg_win_loss`	Avg winning trade ÷ avg losing trade (`None` if no losers)
`largest_winning_trade`	Single largest profit
`largest_winning_trade_percent`	Single largest profit %
`largest_losing_trade`	Single largest loss
`largest_losing_trade_percent`	Single largest loss %

Holding Period

Field	Description
`avg_bars_in_trades`	Average bars held across all trades
`avg_bars_in_winning_trades`	Average bars held for winning trades
`avg_bars_in_losing_trades`	Average bars held for losing trades

Other

Field	Description
`commission_paid`	Total commissions paid
`max_contracts_held`	Peak simultaneous contracts/shares held
`margin_calls`	Number of margin calls triggered

Trade History

Closed Trades

Each entry in report.closed_trades is a ClosedTradeReport:

Field	Type	Description
`trade_num`	`usize`	Trade number (0-based)
`entry_id`	`String`	Entry order ID (e.g. `"Long Entry"`)
`entry_comment`	`String`	Entry order comment
`entry_side`	`Direction`	`Long` or `Short`
`entry_price`	`f64`	Entry fill price
`entry_bar`	`usize`	Bar index of entry fill
`entry_time`	`i64`	Entry timestamp (Unix milliseconds)
`exit_id`	`String`	Exit order ID
`exit_comment`	`String`	Exit order comment
`exit_price`	`f64`	Exit fill price
`exit_bar`	`usize`	Bar index of exit fill
`exit_time`	`i64`	Exit timestamp (Unix milliseconds)
`quantity`	`f64`	Contracts/shares traded
`profit`	`f64`	Realized P&L (after commission)
`profit_percent`	`f64`	Realized P&L % relative to entry value
`cumulative_profit`	`f64`	Running total P&L including this trade
`cumulative_profit_percent`	`f64`	Running total P&L % vs. initial capital
`max_runup`	`f64`	Max favorable excursion in account currency
`max_runup_percent`	`f64`	Max favorable excursion %
`max_drawdown`	`f64`	Max adverse excursion in account currency
`max_drawdown_percent`	`f64`	Max adverse excursion %
`commission`	`f64`	Total commission for this trade (entry + exit)

Open Trades

Each entry in report.open_trades is an OpenTradeReport for an unrealized position:

Field	Type	Description
`trade_num`	`usize`	Trade number (0-based)
`entry_id`	`String`	Entry order ID
`entry_comment`	`String`	Entry order comment
`entry_side`	`Direction`	`Long` or `Short`
`entry_price`	`f64`	Entry fill price
`entry_bar`	`usize`	Bar index of entry fill
`entry_time`	`i64`	Entry timestamp (Unix milliseconds)
`quantity`	`f64`	Contracts/shares held
`profit`	`f64`	Current unrealized P&L (after entry commission)
`profit_percent`	`f64`	Current unrealized P&L %
`max_runup`	`f64`	Peak unrealized profit so far
`max_runup_percent`	`f64`	Peak unrealized profit %
`max_drawdown`	`f64`	Peak unrealized loss so far
`max_drawdown_percent`	`f64`	Peak unrealized loss %
`commission`	`f64`	Entry commission paid so far

Equity Curves

Three Vec<f64> slices are indexed by bar (index 0 = first bar):

Field	Description
`equity_curve`	Account equity at the close of each bar
`drawdown_curve`	Drawdown from peak equity (`peak - equity`, always ≥ 0)
`buy_hold_curve`	Hypothetical buy-and-hold equity at each bar

rust

// Find the worst drawdown bar
if let Some((bar, dd)) = report.drawdown_curve
    .iter()
    .enumerate()
    .max_by(|(_, a), (_, b)| a.partial_cmp(b).unwrap())
{
    println!("Max drawdown at bar {}: {:.2}", bar, dd);
}

Daily Returns

report.daily_returns provides the per-day return series used for Sharpe/Sortino calculations:

rust

pub struct DailyReturnReport {
    pub date: String,           // "YYYY-MM-DD"
    pub return_percent: f64,    // net P&L % for that calendar date
}

Trading Range

report.trading_range is Some when at least one trade was fully closed. It spans from the first entry fill to the last exit fill:

rust

pub struct TradingRangeReport {
    pub start_time: i64,  // Unix milliseconds
    pub end_time: i64,    // Unix milliseconds
}

Complete Example

rust

use navi_vm::{Candlestick, Instance, TimeFrame};

async fn backtest(candles: Vec<Candlestick>) -> Result<(), navi_vm::Error> {
    let source = r#"
strategy("SMA Crossover",
    initial_capital: 10000,
    commission_type: CommissionType.Percent,
    commission_value: 0.1);

let fast = ta.sma(close, 14);
let slow = ta.sma(close, 28);

if ta.crossover(fast, slow) {
    strategy.entry("Long", Direction.Long);
}
if ta.crossunder(fast, slow) {
    strategy.entry("Short", Direction.Short);
}
"#;

    let tf = TimeFrame::days(1);
    let symbol = "NASDAQ:AAPL";
    let instance = Instance::builder(candles, source, tf, symbol)
        .build().await?
        .run_to_end(symbol, tf).await?;

    let report = instance.strategy_report();
    let p = &report.performance_all;

    println!("=== Strategy Report ===");
    println!("Net Profit:    {:.2} ({:.2}%)", p.net_profit, p.net_profit_percent);
    println!("Max Drawdown:  {:.2} ({:.2}%)", p.max_drawdown, p.max_drawdown_percent);
    println!("Profit Factor: {:.2}", p.profit_factor.unwrap_or(0.0));
    println!("Sharpe Ratio:  {:.2}", p.sharpe_ratio.unwrap_or(0.0));
    println!("Total Trades:  {}", p.total_closed_trades);
    println!("Win Rate:      {:.1}%", p.percent_profitable.unwrap_or(0.0));
    println!("Commission:    {:.2}", p.commission_paid);

    println!("\n=== Trade List ===");
    for trade in &report.closed_trades {
        println!(
            "#{:3}  {:5}  entry={:.2}  exit={:.2}  P&L={:.2}  ({:.2}%)",
            trade.trade_num,
            if trade.entry_side == navi_vm::Direction::Long { "Long " } else { "Short" },
            trade.entry_price,
            trade.exit_price,
            trade.profit,
            trade.profit_percent,
        );
    }

    Ok(())
}

Next Steps

Error Handling — handling compile and runtime errors
Security & Limits — loop limits and untrusted script safety

Script Management

Annotations

Appendix

Strategy Report

Report Structure

Strategy Configuration

Performance Metrics

Profit & Loss

Drawdown & Runup

Risk-Adjusted Returns

Trade Statistics

Average Trade

Holding Period

Other

Trade History

Closed Trades

Open Trades

Equity Curves

Daily Returns

Trading Range

Complete Example

Next Steps

Strategy Report ​

Report Structure ​

Strategy Configuration ​

Performance Metrics ​

Profit & Loss ​

Drawdown & Runup ​

Risk-Adjusted Returns ​

Trade Statistics ​

Average Trade ​

Holding Period ​

Other ​

Trade History ​

Closed Trades ​

Open Trades ​

Equity Curves ​

Daily Returns ​

Trading Range ​

Complete Example ​

Next Steps ​

Strategy Report

Report Structure

Strategy Configuration

Performance Metrics

Profit & Loss

Drawdown & Runup

Risk-Adjusted Returns

Trade Statistics

Average Trade

Holding Period

Other

Trade History

Closed Trades

Open Trades

Equity Curves

Daily Returns

Trading Range

Complete Example

Next Steps