Strategy vs Benchmark
Compare your strategy against any market benchmark to determine if you're generating genuine alpha — or just riding the market. AlgoChef aligns your equity curve with benchmark price data and calculates institutional-grade comparison metrics.
Available Benchmarks
AlgoChef includes 15+ benchmarks across multiple asset classes:
- Equity Indices — ES (S&P 500), NQ (Nasdaq 100), YM (Dow Jones), IWM (Russell 2000)
- Commodities — GC (Gold), HG (Copper), CL (Crude Oil), NG (Natural Gas), DBC (Commodity Index)
- Crypto — BTCUSD, ETHUSD, SOLUSD
- Forex — USDEUR, USDJPY, USDGBP, USDCAD, USDCHF, USDAUD
- Other — DX (Dollar Index)
Scorecard Metrics
The benchmark scorecard provides these key comparison metrics:
| Metric | What It Tells You |
|---|---|
| Alpha (Annualized) | Excess return after adjusting for market risk |
| Beta | Market sensitivity (0 = market-neutral) |
| Correlation | How much your strategy moves with the market |
| Information Ratio | Risk-adjusted outperformance |
| Outperformance | Cumulative return difference |
Equity Curve Overlay
The equity curve overlay rebases both strategy and benchmark returns to a common starting point, with a shaded alpha area showing periods of outperformance and underperformance.
Drawdown Comparison
Side-by-side drawdown curves let you see how your strategy behaves during market stress compared to the benchmark. Key metrics include Max Drawdown, Average Drawdown, Max DD Duration, and Recovery Days.
Capture Ratios
Capture ratios reveal how your strategy behaves in up vs down markets:
| Metric | Ideal | What It Means |
|---|---|---|
| Up-Capture | > 100% | Captures more than 100% of benchmark gains |
| Down-Capture | < 100% | Absorbs less than 100% of benchmark losses |
| Capture Ratio | > 1.0 | Positive asymmetry — captures more upside than downside |
Rolling Analysis
Rolling windows (60-day and 252-day) track how alpha, beta, and correlation change over time. Consistent alpha = real edge. Concentrated alpha = episodic outperformance that may not persist.
Calendar Period Comparison
Monthly and yearly return heatmaps let you compare strategy vs benchmark performance across calendar periods. Win rate vs benchmark shows how often your strategy beats the benchmark on a monthly and yearly basis.
Risk-Adjusted Comparison
A comprehensive table comparing risk-adjusted metrics between strategy and benchmark, including Sharpe Ratio, Sortino Ratio, Calmar Ratio, Ulcer Index, and more.
Statistical Significance
AlgoChef tests whether your outperformance is statistically significant or could be attributed to luck:
| Result | Meaning |
|---|---|
| Significant | Strong evidence your alpha is real |
| Inconclusive | Some signs of outperformance, but not enough data to confirm |
| No Edge | No statistically meaningful outperformance detected |
Metrics include P-Value, T-Statistic, 95% Confidence Interval for annualized alpha, and Outperformance Consistency (% of rolling windows with positive alpha).
Tip
For the best benchmark comparison, choose a benchmark that matches your strategy's asset class. Comparing an ES strategy against the ES benchmark reveals true alpha; comparing it against Gold may show spurious outperformance.
What Is Alpha in Trading?
Alpha is the return your strategy generates above what you'd earn from simply holding the benchmark. If your strategy returns 20% and the market returns 15%, your alpha is roughly 5%. But raw alpha can be misleading — AlgoChef calculates risk-adjusted alpha that accounts for how much market risk (beta) your strategy takes on.
A strategy with high alpha and low beta is the ideal: strong returns that don't depend on the market going up.
Related Features
- Crisis Dependency — Wondering if your alpha is concentrated in crisis periods? Crisis Dependency Analysis reveals whether your outperformance is consistent or episodic
- Monte Carlo Simulation — Stress-test your strategy's robustness beyond benchmark comparison
- Head-to-Head — Compare multiple strategies against each other, not just against benchmarks
Tip
Ready to find out if your alpha is real? Start your free trial — no credit card required.