A sample backtest report should not read like a victory lap. It should read like a due diligence memo from someone trying to find the weak spots before the market does.
The report is not just net profit and drawdown. It is the full argument for why the strategy deserves the next stage.
A good futures backtest report includes setup rules, data assumptions, costs, sample windows, trade distribution, drawdown, regime performance, worst trades, and a next-step decision.
If the report does not explain why the strategy fails, it is not complete.
| Report section | What it proves | Red flag |
|---|---|---|
| Rules | The setup can be repeated. | Entry described with vague discretion. |
| Costs | Performance survives friction. | No slippage or commissions. |
| Distribution | Results are not one lucky trade. | Few outliers create most of the edge. |
| Drawdown | The account can survive the system. | Worst period exceeds risk tolerance. |
| Decision | The next test is specific. | “Looks good” with no action gate. |
The Executive Summary
Start with one paragraph: what was tested, what market, what period, what costs, what the result means, and what decision follows.
Do not bury the caveats. If the system only works during low-volatility ranges, say that on page one.
The Trade Distribution
Average trade matters, but distribution tells the truth. Look for clustering, outliers, long flat periods, and whether one week created the whole year.
Do not go live yet. The strategy survives costs and out-of-sample windows, but underperforms during high-volatility news weeks.
Next step: add a news filter, rerun the same windows, then test 20 SIM sessions with order-state logging.
Include screenshots only after the table of assumptions. The reader should understand the test before admiring the chart.
Source and risk notes
- CFTC and NFA materials warn that simulated or hypothetical results have important limitations.
- Backtest reports should separate research evidence from live trading expectations.
- Use the broader backtesting guide before interpreting any single report.
Final rule: a backtest report is useful only if it makes the next decision harder to fake.
