Performance Report


Performance Report
The Performance Report offers statistical data from the operation or backtest of a trading system. 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
In the Performance Report, statistical results are offered as tables and diagrams.

The navigation to the right of the performance report can be toggled by clicking on the small arrow tot he right of the title.

Control of which items get printed can be found in the publish group of the property inspector.

Where values for per-trade Drawdown and Runup are calculated a property exists to configure if this is calculated Entry to Valley (or Peak), or Peak to Valley (or Valley to Peak). In general, Max Adverse/Favorable Excursion graphs benefit from the Entry-to-Valley method despite the Peak-to-Valley being more correct.

Call up the Performance Report

The Performance Report is available for Charts and Portfolios.

Click on the Performance button in the Trading System group in the Toolbar to open it. The results are calculated for the current workspace.

Statistic Values

Global

This is the default setting. In this view, you can see the results for the complete history length as a Strategy Performance Report. The results are offered in three columns. The first column shows the respective key figure for all trades, the second for long trades only and the third for short trades.

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.


On the left of the Performance Report, you can find further links to display trading system results as periods and graphic displays.

Periodic Results


Periodic Results

Drawdown Analysis
The returns are shown in three ways. As key figures, the Net Profit, Number of Trades and % Profitable are displayed.
  • Returns/Month - Display the performance development for each month of the test period.
  • Returns/Quarter - Display the performance development for each quarter (three months) of the test period.
  • Returns/Year - Display the performance development for each year of the test period.
It is possible to show column summaries in the footer of this view by right-clicking on a column's footer and selecting one or more of the summary calculations.

Graphic Results

For the graphic display, the two links offer four different diagrams:

Graphs - Equity:
  • Equity by Trade - The equities are shown in the trade sequence.
  • Equity by Date - The equities are shown in the sequence of dates.
Graph - Equity Underwater, this means the drawdown/cutback:
  • Monthly Equity Underwater - Phases in which the profit was declining, in absolute values of the traded currencies or units.
  • Monthly Equity Underwater (Percentage) - Phases in which the profit was declining, in percentage values. This diagram makes it possible to compare drawdown phases over longer time spans.
The chart styles and colors can be changed by selecting the options in the property inspector.

Graph - Maximum Adverse Excursion - Plots trade drawdown against profit/loss for each trade. Can use absolute or percentage values.

Graph - Maximum Favorable Excursion - Plots trade runup against profit/loss for each trade. Can use absolute or percentage values.

Display by Trades

Next to the links for the statistics you can find the list of trades sorted by entry.

ColumnDescription
#Serial number of the trade
QuantityNumber of items traded.
CommandLabeling whether the trade was sell or buy, short or long.
SymbolTraded security
SignalPart of the trading system that set off the trade, for example entry or stop indicators
Fill DateDay of the trade
Fill PriceExact price of the purchase
ProfitAbsolute profit of the trade
% ProfitNormalized profit of the trade with respect to initial investment
Drawdown/RunupThe maximum drawdown and runup that the trade experienced.
% Drawdown/runupThe normalized maximum drawdown and runup that the trade experienced with respect to initial investment.
CommissionCommission as entered in Money Management
SlippageSlippage as entered in Money Management


It is possible to show column summaries in the footer of this view by right-clicking on a column's footer and selecting one or more of the summary calculations.

Display by Filled Orders


Display by Filled Orders
Next to the links for the statistics you can find the list of filled orders sorted by date.

ColumnDescription
#Serial number of the trade
CommandLabeling whether the trade was sell or buy, short or long.
SymbolTraded security
Fill DateDay of the trade
Fill PriceExact price of the purchase
ProfitAbsolute profit of the trade
SignalPart of the trading system that set off the trade, for example entry or stop indicators
Com.Commission as entered in Money Management
Slip.Slippage as entered in Money Management


It is possible to show column summaries in the footer of this view by right-clicking on a column's footer and selecting one or more of the summary calculations.