Support

Performance Report

The Performance Report

Key FigureExplanation
Total Net ProfitSum of all trades (profit and loss trades) after subtraction of all costs and slippages
Gross ProfitSum of all winning trades
Gross LossSum of all losing trades
Select Net ProfitSelect 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 ProfitGross profit, excluding trades more than three standard deviations from the average trade during the specified period.
Select Gross LossGross loss, excluding trades more than three standard deviations from the average trade during the specified period.
Profit FactorThe 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/LValue of an open position during the analysis
  
Total Number of TradesTotal number of trades
Percent ProfitablePercentage of profitable trades for the total number of trades
Number of Winning TradesNumber of profitable trades
Number of Losing TradesNumber of unprofitable trades
Number of Even TradesNumber of trades closed with neutral result
Number of Winning BarsNumber of trading periods/candles/bars over which the profitable trades lasted
Number of Losing BarsNumber of trading periods/candles/bars over which the unprofitable trades lasted
Number of Even BarsNumber of trading periods/candles/bars over which the neutral trades lasted
  
Average Trade Net ProfitAverage result of all trades, calculated as Net Profit/Total Number Trades
Standard Deviation of Trade Net ProfitAs name implies
Average Winning TradeAverage profit of the winning trades, calculated as Gross Profit/Number Winning Trades
Standard Deviation of Winning TradesAs name implies
Average Losing TradeAverage profit of the losing trades, calculated as Gross Loss/Number Losing Trades
Standard Deviation of Losing TradesAs name implies
Ratio Average Win. / Average Los.Ratio of Average Profit/Average Loss
Largest Winning TradeThe largest profit
Largest Losing TradeThe largest loss
  
Max. Consecutive Winning TradesLongest series of profitable trades
Max. Consecutive Losing TradesLongest series of unprofitable trades
Average Bars in Total TradesAverage number of periods per trade
Total Bars in TradeSum of all trading periods/candles/bars over which open positions were held
Average Bars in Winning TradesAverage duration of profitable trades in periods/candles/bars
Average Bars in Losing TradesAverage duration of unprofitable trades in periods/candles/bars
Average Bars in Even TradesAverage duration of neutral trades in periods/candles/bars
  
Max. Shares / Contracts HeldBiggest single position
Total Shares / Contracts HeldSum of all traded shares
Total CommissionSum of all costs
Total SlippageSum of slippage over all trades
Account Size RequiredNecessary account size to trade the system
  
Return on Initial CapitalPercentage return of the Total Net Profit to the initial starting capital (including commissions and slippage).
Return on AccountPercentage 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 ReturnRate of return of all trades over the time period shown as an annualized percentage (based on initial capital)
Sharpe RatioIndex for the profitability of an investment compared to the risk
Average Sharpe RatioSharpe Ratio over the full data range
Froehlich FactorComplex indicator for evaluating the quality of the trading system results
Reward/Risk RatioThe ratio of Select Total Net Profit to percent time in the market and average drawdown.
Return Retracement RatioSimilar to Sharpe Ratio, but distinguishes the difference between upside and downside return fluctuation
  
Start DateDate of the first period
End DateDate of the last period
Trading PeriodTimespan of the data (History Length)
Time in the MarketNumber of days or intraday periods in which positions were open, including weekends and holidays (absolute value)
Percent of Time in the MarketPercentage of days with open positions
  
Max. DrawdownLargest cutback in profit
Max. Drawdown DateDate of the largest cutback in profit
Net Profit as % of Max. DrawdownTotal Net Profit divided by Max Drawdown
Max. Drawdown as % of Initial CapitalLargest cutback in profit as a percentage of initial capital
Max. Intraday DrawdownLargest cutback of profit since the last open equity maximum
Max. Intraday Drawdown DateDate of the largest cutback in intraday profit
Net Profit as % of Max. Intraday DrawdownTotal Net Profit divided by Max Intraday Drawdown
Max. Intraday Drawdown as % of Initial CapitalLargest intraday cutback in profit as a percentage of initial capital.
Average DrawdownAverage drawdown of all closed out trades
Max Trade DrawdownLargest Intraday drawdown experienced on a single closed out trade.
Max Run-upThe greatest profit run-up (across all trades) from the lowest previous equity drawdown.
Max. Drawdown DateDate of the largest run-up in profit
Max. Run-up as % of Initial CapitalLargest profit run-up as a percentage if initial capital.
  
Total PositionsNumber of held positions. If partial trades are used, higher values result than for full trades.
Position ChangesNumber of switches between Long and Short trades
Total Closed PositionsNumber of positions kept by the system. If partial trades are used, this key figure is higher than the Total Number of Trades.