BacktestFolio · Glossary
Pairwise Analysis
In plain language
Imagine a round-robin tournament: every portfolio plays against every other on each historical sub-period. The matrix tells you who consistently beats whom over time, and who wins only by lucky timing.
Technical definition
Head-to-head comparison between all instruments or portfolios in the analysis on a chosen metric (e.g. rolling Sharpe). The result is a matrix where each cell shows the percentage of periods in which the row portfolio outperformed the column portfolio.