## The Performance Report

The Performance Report offers statistical data from the operation or backtest of a trading system. You can access the Performance Report by clicking on the symbol between the Editor and the Question mark in the upper right corner. Use the Performance Report for the following:

• Evaluating the profitability of your trading system

• Finding out if a real trade would be reasonable

• Evaluating the risks that can develop during the trade

• Estimating the need for capital

• Comparing the distribution of profits over time

• Keeping an eye on the development of real trading results

Key Figure | Explanation |
---|---|

Total Net Profit | Sum of all trades (profit and loss trades) after subtraction of all costs and slippages |

Gross Profit | Sum of all winning trades |

Gross Loss | Sum of all losing trades |

Select Net Profit | Select Net Profit is the sum of Select Gross Profit and Select Gross Loss, excluding trades more than three standard deviations from the average trade during the specified period. |

Select Gross Profit | Gross profit, excluding trades more than three standard deviations from the average trade during the specified period. |

Select Gross Loss | Gross loss, excluding trades more than three standard deviations from the average trade during the specified period. |

Profit Factor | The ratio of Gross Profit and the negative Gross Loss. This factor is a benchmark for how large the expected profit per units of capital would have been in the test data. |

Open Position P/L | Value of an open position during the analysis |

Total Number of Trades | Total number of trades |

Percent Profitable | Percentage of profitable trades for the total number of trades |

Number of Winning Trades | Number of profitable trades |

Number of Losing Trades | Number of unprofitable trades |

Number of Even Trades | Number of trades closed with neutral result |

Number of Winning Bars | Number of trading periods/candles/bars over which the profitable trades lasted |

Number of Losing Bars | Number of trading periods/candles/bars over which the unprofitable trades lasted |

Number of Even Bars | Number of trading periods/candles/bars over which the neutral trades lasted |

Average Trade Net Profit | Average result of all trades, calculated as Net Profit/Total Number Trades |

Standard Deviation of Trade Net Profit | As name implies |

Average Winning Trade | Average profit of the winning trades, calculated as Gross Profit/Number Winning Trades |

Standard Deviation of Winning Trades | As name implies |

Average Losing Trade | Average profit of the losing trades, calculated as Gross Loss/Number Losing Trades |

Standard Deviation of Losing Trades | As name implies |

Ratio Average Win. / Average Los. | Ratio of Average Profit/Average Loss |

Largest Winning Trade | The largest profit |

Largest Losing Trade | The largest loss |

Max. Consecutive Winning Trades | Longest series of profitable trades |

Max. Consecutive Losing Trades | Longest series of unprofitable trades |

Average Bars in Total Trades | Average number of periods per trade |

Total Bars in Trade | Sum of all trading periods/candles/bars over which open positions were held |

Average Bars in Winning Trades | Average duration of profitable trades in periods/candles/bars |

Average Bars in Losing Trades | Average duration of unprofitable trades in periods/candles/bars |

Average Bars in Even Trades | Average duration of neutral trades in periods/candles/bars |

Max. Shares / Contracts Held | Biggest single position |

Total Shares / Contracts Held | Sum of all traded shares |

Total Commission | Sum of all costs |

Total Slippage | Sum of slippage over all trades |

Account Size Required | Necessary account size to trade the system |

Return on Initial Capital | Percentage return of the Total Net Profit to the initial starting capital (including commissions and slippage). |

Return on Account | Percentage development of the invested capital, essentially the amount of money you would make (net profit) versus the amount of money required to trade the strategy (account size required). |

Annual Rate of Return | Rate of return of all trades over the time period shown as an annualized percentage (based on initial capital) |

Sharpe Ratio | Index for the profitability of an investment compared to the risk |

Average Sharpe Ratio | Sharpe Ratio over the full data range |

Froehlich Factor | Complex indicator for evaluating the quality of the trading system results |

Reward/Risk Ratio | The ratio of Select Total Net Profit to percent time in the market and average drawdown. |

Return Retracement Ratio | Similar to Sharpe Ratio, but distinguishes the difference between upside and downside return fluctuation |

Start Date | Date of the first period |

End Date | Date of the last period |

Trading Period | Timespan of the data (History Length) |

Time in the Market | Number of days or intraday periods in which positions were open, including weekends and holidays (absolute value) |

Percent of Time in the Market | Percentage of days with open positions |

Max. Drawdown | Largest cutback in profit |

Max. Drawdown Date | Date of the largest cutback in profit |

Net Profit as % of Max. Drawdown | Total Net Profit divided by Max Drawdown |

Max. Drawdown as % of Initial Capital | Largest cutback in profit as a percentage of initial capital |

Max. Intraday Drawdown | Largest cutback of profit since the last open equity maximum |

Max. Intraday Drawdown Date | Date of the largest cutback in intraday profit |

Net Profit as % of Max. Intraday Drawdown | Total Net Profit divided by Max Intraday Drawdown |

Max. Intraday Drawdown as % of Initial Capital | Largest intraday cutback in profit as a percentage of initial capital. |

Average Drawdown | Average drawdown of all closed out trades |

Max Trade Drawdown | Largest Intraday drawdown experienced on a single closed out trade. |

Max Run-up | The greatest profit run-up (across all trades) from the lowest previous equity drawdown. |

Max. Drawdown Date | Date of the largest run-up in profit |

Max. Run-up as % of Initial Capital | Largest profit run-up as a percentage if initial capital. |

Total Positions | Number of held positions. If partial trades are used, higher values result than for full trades. |

Position Changes | Number of switches between Long and Short trades |

Total Closed Positions | Number of positions kept by the system. If partial trades are used, this key figure is higher than the Total Number of Trades. |