StrategyDB Performance Summary Metrics

StrategyDB – Performance Summary Metrics

METRICS

The Performance Summary sections, All Trades, Long Trades, and Short Trades.

Adjusted Gross Profit Adjusted Gross Profit

Displays the gross profit, for a worst case scenario (see Note) during the specified period. Profit is displayed as a positive number in black.

Adjusted Gross Profit is calculated by looking at the number of winning trades, subtracting the square root, multiplied by the average profit. The concept here is that trades may perform better live than the adjusted historical performance.

Takes into account commissions (and slippage, if specified for strategies) plus possible currency conversion factors.

Adjusted Gross Loss Adjusted Gross Loss

Displays the gross loss, for a worst case scenario (see Note) for the trading strategy during the specified period. Loss is displayed as a negative number in red.

Adjusted Gross Loss is calculated by looking at the number of losing trades, adding the square root, multiplied by the average loss. The concept here is that trades may perform better live than the adjusted historical performance.


Adjusted Profit Factor Adjusted Profit Factor

Displays the amount made in relation to the amount lost, for a worst case scenario (see Note) during the specified period. This value is calculated by dividing Adjusted Gross Profit by Adjusted Gross Loss. By definition, a value greater than 1 means the strategy has a positive Adjusted Total Net Profit.

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Adjusted profit and loss is calculated by looking at the number of trades, subtracting the square root, multiplied by the average profit or loss. The concept here is that trades may perform better live than the adjusted historical performance.


Adjusted Net Profit as % of Max. Drawdown (Trade Close to Trade Close) Adj. Net Profit as % of Max. Drawdown (Trade Close to Trade Close)

Displays the percentage return of the Adjusted Net Profit to the greatest loss drawdown, from the previous highest equity run-up, closed trade to closed trade, (including commissions and slippage if specified) looking across all trades, during the specified period. Adjusted Total Net Profit as % of Maximum Drawdown (Trade Close to Trade Close) = Adjusted Total Net Profit divided by Maximum Drawdown (Trade Close to Trade Close).

Adjusted profit and loss is calculated by looking at the number of trades, subtracting the square root, multiplied by the average profit or loss. The concept here is that strategy may perform better live than the adjusted historical performance.


Adjusted Net Profit as % of Largest Loss Adjusted Net Profit as % of Largest Loss

Displays the percentage of Adjusted Total Net Profit to the single worst unprofitable completed trade (see Note) during the specified period. Adjusted Net Profit / Largest Loss = Adjusted Total Net Profit divided byLargest Losing Trade.

Adjusted profit and loss is calculated by looking at the number of trades, subtracting the square root, multiplied by the average profit or loss. The concept here is that strategy may perform better live than the adjusted historical performance.


Adjusted Total Net Profit Adjusted Total Net Profit

Displays the net profit or loss (see Note), for a worst case scenario during the specified period. Profit is displayed as a positive number in black, Loss is displayed as a negative number in red. Adjusted Net Profit = Adjusted Gross Profit + Adjusted Gross Loss


Adjusted profit and loss is calculated by looking at the number of trades, subtracting the square root, multiplied by the average profit or loss. The concept here is that trades may perform better live than the adjusted historical performance.


Avg. Losing Trade Avg. Losing Trade

Displays the average amount of money (won) for all completed unprofitable trades (see Note), during the specified period. Average Losing Trade = Gross Loss divided by Losing Trades


Avg. Trade Net Profit Avg. Trade Net Profit

Displays the average amount of money (won or loss) for all completed trades (see Note), during the specified period. Average Trade Net Profit = Total Net Profit divided by Total Number of Trades.


Avg. Winning Trade Avg. Winning Trade

Displays the average amount of money (won) for all completed profitable trades (see Note), during the specified period. Average Winning Trade = Gross Profit divided by Winning Trades.


Even Trades Even Trades

Displays the total number of completed break-even trades (see Note) during the specified period.


Takes into account commissions (and slippage, if specified for strategies).

Gross Loss Gross Loss

Displays the cumulative total of all losing trades during the specified period.


Gross Profit Gross Profit

Displays the cumulative total of all winning trades during the specified period.


Largest Losing Trade Largest Losing Trade

Displays the most amount of money (loss) in one completed trade (see Note) looking across all unprofitable trades, during the specified period.


Largest Winning Trade Largest Winning Trade

Displays the most amount of money (won) in one completed trade (see Note) looking across all profitable trades, during the specified period.


Largest Loser as % of Gross Loss Largest Loser as % of Gross Loss

Displays how much of the Gross Loss was lost by the single worst unprofitable completed trade (see Note) looking across all unprofitable trades, during the specified period. Largest Loser as % of Gross Loss =Largest Losing Trade divided by Gross Loss.


Largest Winner as % of Gross Profit Largest Winner as % of Gross Profit


Displays how much of the Gross Profit was won by the single largest profitable completed trade (see Note) looking across all profitable trades, during the specified period. Largest Winner as % of Gross Profit = Largest Winning Trade divided by Gross Profit.


Longest Flat Period Longest Flat Period

Displays the longest period in which trades did not occur. This is a measure of how long you may expect to wait before making another trade. Displays for All Trades only.

Losing Trades Losing Trades

Displays the total number of completed unprofitable trades (see Note) during the specified period.


Max. Consecutive Losing Trades Max. Consecutive Losing Trades

Displays the longest string of consecutive completed losing trades (see Note) looking across all unprofitable trades, during the specified period.

: Takes into account commissions (and slippage, if specified for strategies).

Max. Consecutive Winning Trades Max. Consecutive Winning Trades

Displays the longest string of consecutive completed winning trades (see Note) looking across all profitable trades, during the specified period.


Max. Drawdown (Trade Close to Trade Close) Max. Drawdown (Trade Close to Trade Close)

Displays the greatest loss drawdown, from the previous highest equity run-up, closed trade to closed trade looking across all trades (see Note), during the specified period. If a new closed trade equity run-up high occurs we reset the low equity value to 0, looking for the next maximum drawdown from that point.



Max. Shares/Contracts Held Max. Shares/Contracts Held

Displays the maximum number of contracts or shares held at any one point during the specified period.

Net Profit as % of Max. Drawdown Net Prft/Max Drawdown

The net profit divided by maximum drawdown. Percent Profitable Percent Profitable

Displays the percentage of completed trades that were profitable, during the specified period. Percent Profitable = Winning Trades divided by Total Number of Trades.

Percent of Time in the Market Percent of Time in the Market

Displays the percentage of total time that your trades were in the market, either Long or Short, not including flat periods between trades (see Note). Generally, the greater amount of time you are in the market, the greater the risk exposure. Displays for All Trades only.

Percent of Time in the Market = Trading Perioddivided by Time in the Market


Profit Factor Profit Factor

Displays the amount made in relation to the amount lost (see Note). This value is calculated by dividing Gross Profit by Gross Loss. By definition, a value greater than 1 means the trades have a positive net profit.


Ratio Avg. Winning:Avg. Losing Ratio Avg. Win : Avg. Loss

Displays, on average, how many dollars you win for every dollar you lose for all completed trades (see Note), during the specified period. Ratio Average Win / Average Loss = Average Winning Trade divided by Average Losing Trade.



Select Total Net Profit Select Total Net Profit

Displays the net profit or loss (see Note), excluding trades more than 3 standard deviations from the average trade during the specified period. Profit is displayed as a positive number in black. Loss is displayed as a negative number in red. Select Net Profit = Select Gross Profit + Select Gross Loss.

Select trades are designed to adjust the results by removing all positive and negative outlying trades. An outlying trade is defined as any trade that has a profit or loss 3 standard deviations greater than the average trade.


Select Gross Profit Select Gross Profit

Displays the cumulative total of all winning trade (see Note), excluding trades more than 3 standard deviations from the average winning trade, for the specified period.



Select Gross Loss Select Gross Loss

Displays the cumulative total of all losing trades (see Note), excluding trades more than 3 standard deviations from the average losing trade, during the specified period.



Select Profit factor Select Profit Factor


Displays the amount made in relation to the amount lost, excluding trades more than 3 standard deviations from the average trade (see Note). This value is calculated by dividing Select Gross Profit by Select Gross Loss. By definition, a value greater than 1 means the strategy has a positive Select Total Net Profit.



Select Net Profit as % of Max. Drawdown (Trade Close to Trade Close) Select Net Profit as % of Drawdown (Trade Close to Trade Close)

Displays the percentage return of the Select Net Profit to the greatest loss drawdown, from the previous highest equity run-up, closed trade to closed trade, (including commissions and slippage if specified) looking across all trades, during the specified period.Select Total Net Profit as % of Drawdown (Trade Close to Trade Close) = Select Total Net Profit divided by Maximum Drawdown (Close to Close).

Select trades are designed to adjust the results of a strategy by removing all positive and negative outlying trades. An outlying trade is defined as any trade that has a profit or loss 3 standard deviations greater than the average trade.

Time in the Market Time in the Market

Displays the total time that the trades were in the market, either Long or Short, not including flat periods between trades (see Note). Generally, the greater amount of time you are in the market, the greater the risk exposure. Displays for All Trades only..

Total Commission Total Commission

Displays the user defined total commission amount for all completed trades. This is the total amount of commission your broker will charge you for all trades during the specified period (see Note). For more information, refer to Adjusting a Strategy for Costs.

For strategies, estimated commission is set by the user in the Strategy Properties dialog on the Format Strategy dialog.

Total Net Profit Total Net Profit


Displays the net profit or loss (see Note) during the specified period. Profit is displayed as a positive number in black, Loss is displayed as a negative number in red. Net Profit = GrossProfit + GrossLoss.


Total Number of Trades Total Number of Trades

Displays the total number of completed trades during the specified period. A report should have a minimum number of total trades, (20 to 40) in order to evaluate the significance of the performance results. Total Number of Trades =Number of Winning Trades + Number of Losing Trades.

Trading Period Trading Period

Displays the total time in the specified period as specified by the user. This is based on the total amount of historical data loaded (For strategies, this includes the bars in the chart, less MaxBarsBack). Displays for All Trades only.

For strategies, the Trading Period can be adjusted from the Format Symbol dialog.

Winning Trades Winning Trades

Displays the total number of completed profitable trades (see Note) during the specified period.



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StrategyDB Performance Summary Metrics