The Performance Report offers statistical data from the operation or backtest of a trading system. Use the Performance Report for the following:
In the tradesignal Performance Report, statistical results are offered as tables and diagrams.
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to open it. The results are calculated for the current workspace.
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.
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| 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 |
| 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 |
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| 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 |
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| Average Trade Net Profit | Average result of all trades, calculated as Net Profit/Total Number Trades |
| Average Winning Trade | Average profit of the winning trades, calculated as Gross Profit/Number Winning Trades |
| Average Losing Trade | Average profit of the losing trades, calculated as Gross Loss/Number Losing Trades |
| Ratio Average Win. / Average Los. | Ratio of Average Profit/Average Loss |
| Largest Winning Trade | The largest profit |
| Largest Losing Trade | The largest loss |
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| 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 |
| Num. of Consecutive Losing Trades | Length of the latest series of unprofitable trades |
| Num. of consecutive Winning Trades | Length of the latest series of profitable trades |
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| 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 Account | Percentage development of the invested capital |
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| 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 |
| 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 |
| Max. Intraday Drawdown | Largest cutback of profit since the last open equity maximum |
| 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. |
On the top right of the Performance Report, you can find further links to display trading system results as periods and graphic displays.
The returns are shown in three ways. As key figures, the Net Profit, Number of Trades and
are displayed.
Next to the links for the statistics you can find the list of trades sorted by date (50 trades/page by default). Click on a number link to view the trades.
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