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. |