This DAV shows information about the average performance of all the performed runs. In order to make comparisons among the performance of the sub-strategies easier, it is possible to show side by side the performance of several sub-strategies. This can be achieved right clicking in the data grid and selecting in the contextual menu the option desired.

 

Average Performance DAV
Average Performance DAV

 

Simulation Performance Metrics shown:

General Data:
oStarting Capital: The capital at the beginning of the simulation.
oEnding Capital: The capital at the end of the simulation.
oNet Profit: The net profit of the simulation. Is equivalent to: 'All Trades Net Profit' + 'Cash Return' - 'Margin Interest'
oNet Profit %.
oAPR %: The annualized net profit percentage rate of the simulation.
oCash Return: The interests received by the unused cash in the account.
oMargin Interest: The interests paid for the cash borrowed on margin.
oCommissions Paid: The total amount of commissions paid.
oNum of Raw Trades: The number of Raw Trades in the Raw Simulation.
oNum of Positions: The average number of Positions.
oNum of Discarded Trades: The average number of Raw Trades that has been discarded.

 

Drawdown:
oMax Drawdown: The maximum drawdown.
oMax DD %: The maximum drawdown percentage.
oMax DD % Date: The maximum drawdown date.
oLongest DD: The duration of the longest drawdown period.
oMax CE DD: The maximum drawdown taking into account only the closed equity (the equity excluding unrealized profit/loss).
oMax CE DD %: The maximum drawdown percentage taking into account only the closed equity (the equity excluding unrealized profit/loss).
oMax CE DD % Date: The maximum drawdown date taking into account only the closed equity (the equity excluding unrealized profit/loss).
oLongest CE DD: The duration of the longest drawdown period taking into account only the closed equity (the equity excluding unrealized profit/loss).

 

Other Ratios:
oExposure %: The percentage of capital that was invested over the course of the simulation.
oNew Highs %: Percentage of bars on which a new equity high is made.
oProfit Factor: The Gross Profit of the simulation divided by the Gross Loss.
oRecovery Factor: The Total Net Profit of the simulation divided by the Maximum Drawdown.
oUlcer Index: The Ulcer Index measures a portfolio's overall volatility. A lower Ulcer Index indicates less volatility and drawdown.
oUlcer Perf Index: The Ulcer Performance Index (Peter Martin) is similar to Sharpe Ratio and rates a trading system's return above a safe cash rate against risk represented by Ulcer Index.
oSharpe Ratio: The Sharpe Ratio measures the performance of a strategy favoring strategies that result in smoother equity curves.
oSortino Ratio: The Sortino Ratio is similar to the Sharpe Ratio using only the downside deviation instead of standard deviation.
oWealth-Lab Score: A metric used in the Wealth-Lab software in order to allow strategy results to be compared with one another.
oMAR Ratio: The MAR Ratio, is annualized percentage return divided by the maximum percent drawdown.
oLake Ratio: The Lake Ratio created by Ed Seykota is based on viewing equity as series of peaks and valleys filled with rain. Reference: http://www.seykota.com/tribe/risk/
oInv Lake Ratio: The inverse of the Ed Seykota Lake Ratio. Reference: http://www.seykota.com/tribe/risk/
oKRatio: The K-ratio, (Lars Kestner), evaluates the monthly performance of an equity relative to its risk, taking as the risk the standard deviation of the monthly returns on the investment.