This DAV shows the performance metrics calculated over the Sized Positions used to make the simulation. 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.

 

Performance Metrics DAV
Performance Metrics 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: The total amount of commissions paid.

 

All Trades:
oTrades: The total number of trades.
oIgnored Trades: The number of trades ignored in the simulation (no sufficient amount of cash in the trade entry bar).
oTrades Net Profit: The addition of the net profit of each trade.
oAvg Profit/Trade: The average profit for each trade.
oProfit/Trade %: The average profit Percentage for each trade.
oAvg Bars held: The average number bars that the positions are held.
oAvg Profit/Bar: The average profit for each bar held.
oProfit/Bar %: The average profit Percentage for each bar held.

 

Winning Trades:
oWin Trades: The total number of winning trades.
oWin Trades %: The percentage of winning trades.
oWin Gross Profit: The gross profit of the winning trades (addition of the net profit of each winning trade).
oWin Profit/Trade: The average profit of the winning trades.
oWin Profit/Trade %: The average profit percentage of the winning trades.
oWin Avg Bars held: The number of average bars that the positions are held for the winning trades.
oWin Profit/Bar: The average profit of the winning trades for each bar held.
oWin Profit/Bar %: The average profit percentage of the winning trades for each bar held.

 

Breakeven Trades:
oBreakeven Trades: The total number of breakeven trades.
oBreakeven Trades %: The percentage of breakeven trades.
oBreakeven Avg Bars held: The number of average bars that the positions are held for the breakeven trades.

 

Losing Trades:
oLoss Trades: The total number of losing trades.
oLoss Trades %: The percentage of losing trades.
oLoss Gross Profit: The gross loss of the losing trades (addition of the net loss of each losing trade).
oLoss Profit/Trade: The average loss of the losing trades.
oLoss Profit/Trade %: The average loss percentage of the losing trades.
oLoss Avg Bars held: The number of average bars that the positions are held for the losing trades.
oLoss Profit/Bar: The average loss of the losing trades for each bar held.
oLoss Profit/Bar %: The average loss percentage of the losing trades for each bar held.

 

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).

 

Trade Efficiency:
oAvg Entry Efficiency: Shows how good the average entry signal is in respect to the best possible entry for the trade.
oAvg Exit Efficiency: Shows how good the average exit signal is in respect to the best possible exit for the trade.
oAvg Total Efficiency: Shows how good the average trade is in respect to the best possible trade.

 

Outliers:
oPositive Outliers: The number of trades with a net profit greater than 3 standard deviations of the average net profit.
oNegative Outliers: The number of trades with a net profit lower than 3 standard deviations of the average net profit.
oOutliers Avg profit: The average profit/loss of the outliers.
oOutliers Gross Profit: The sum of the profits/losses of all the outliers.
oSelect Net Profit: The Trades added net profit excluding the outliers. Compare to 'All Trades Net Profit'.

 

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.
oPayoff Ratio: The average % profit per winning trade divided by the average % loss per losing trade.
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.
oLuck Coefficient: The Luck Coefficient, shows how the largest trade compares to the average trade. The smaller the value, the better.
oPessimistic RoR: The Pessimistic Rate Of Return estimates the worst-expected return.
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.
oExpectancy: Expectancy is the expected profit per dollar risked per trade. If the trade has a Stop Loss defined then this metric takes into account it.
oWealth-Lab Score: A metric used in the Wealth-Lab software in order to allow strategy results to be compared with one another.
oMegan Ratio: The MEGAN ratio, (Oscar G. Cagigas) shows the maximum exponential growth annualized of the equity curve of a trading system, highlighting the system that generates more returns per year when the profits are reinvested.
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/
oAPD Ratio: The APD Ratio (Average Profit To Drawdown), used on the Collective2 website. Higher is better. Greater than 1 is exceptional.
oAPAD Ratio: APAD is similar to APD in interpretation. is produced by dividing the average profit of winning trades by the average drawdown.
oPerf Ratio: The Performance Ratio (Thomas Hoffman) is the average profit per trade divided by its standard deviation.
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.