The performance summary displays extensive performance metrics for both Strategy and Standard Desktops.


The summary includes the following distinct sections:


oSummary – core performance figures for the Desktop.

oMetrics – industry standard performance metrics for evaluating the Desktop strategies.

oAll Positions – performance figures that are based on all of the Desktop positions.

oWinning Positions – performance figures that are based on the Desktop winning positions.

oLosing Positions – performance figures that are based on the Desktop losing positions.

oCustom Performance Metrics - performance figures that are calculated by Performance Metric scripts.



Summary Table


The Summary table displays the core performance figures for the Desktop.


Name

Description

Starting Date

The date from which the performance results are calculated.

Ending Date

The date up to which the performance results are calculated.

Starting Equity

The equity at the specified start date of the selected strategies.

Ending Equity

The equity at the specified end date of the selected strategies.

Net Profit

The net profit of the selected strategies over the specified date range. The net profit is calculated by subtracting the starting equity from the ending equity.

Net Profit %

The net profit % of the selected strategies over the specified date range. The net profit % is calculated by subtracting the starting equity from the ending equity and dividing it by the starting equity.

Gross Profit

The total profit made by the selected positions.

Gross Loss

The total loss made by the selected positions

CAGR

The Compound Annual Growth Rate is the year over year growth rate of the selected strategies over the specified date range (higher values indicate more growth)

Max. DD

The maximum drawdown of the selected strategies equity during the specified date range. The maximum drawdown is calculated as the maximum peak-to-trough of the equity, it is used for evaluating risk (lower negative values indicate more risk).

Max DD %

The maximum drawdown % of the selected strategies equity during the specified date range. The maximum drawdown % is calculated as the maximum peak-to-trough percent of the equity, it is used for evaluating risk (lower negative values indicate more risk).


Metrics Table


The Metrics table displays the industry standard performance metrics for evaluating the Desktop strategies.


Name

Description

Expectancy

The position expectancy is the expected PnL per position of the selected strategies over the specified date range (higher values indicate better returns per trade).

Exposure

The total market value divided by the total equity of the selected strategies over the specified date range (higher values indicate that more equity is constantly invested in the market).

Luck Coefficient

The ratio between the largest PnL trade and the average winning PnL trade of the selected strategies over the specified date range (higher values indicate that more luck was involved, thus lower values are better).

Payoff Ratio

The average winning trade PnL % divided by the average losing trade PnL % of the selected strategies over the specified date range (higher values indicate better returns per trade).

Profit Factor

The winning trades PnL divided by the losing trades PnL of the selected strategies over the specified date range (higher values indicate less risk).

Recovery Factor

The net profit divided by the max drawdown of the selected strategies over the specified date range (higher values mean that prices recover faster after a decline).

Risk Adjusted Return

The CAGR divided by the exposure (higher values mean better returns for the risk taken).

Sharpe Ratio

The measure of the excess return per unit of risk of the selected strategies over the specified date range (higher values indicate better return per risk, a value around or greater than 2 is considered excellent, while a value below 1 is considered unattractive).

Sortino Ratio

The measure of the excess return per unit of negative risk of the selected strategies over the specified date range (higher values indicate better return per risk, a value around or greater than 2 is considered excellent, while a value below 1 is considered unattractive).

Van Tharp SQN

The Van Tharp System Quality Number. Values: 1.6-1.9 (Poor), 2.0-2.4 (Average), 2.5-2.9 (Good), 3.0-5.0 (Excellent), 5.0-6.9 (Superb), 7.0 (Holy Grail)

Ulcer Index

The ulcer index measure of risk of the selected strategies over the specified date range (higher values indicate higher risk which means it takes longer for prices to recover after a decline).

Win / Loss Ratio

The total number of winning positions divided by the number of losing positions of the selected strategies over the specified date range (higher values are generally better but since the amounts won or lost are not calculated this figure isn't very important).


All Positions Table


The All Positions table displays the performance figures that are based on all of the Desktop positions.


Name

Description

Total

The total number of positions.

Avg. PnL

The average PnL for the positions.

Avg. PnL %

The average PnL % for the positions.

Avg. Unit PnL

The average PnL for each unit, share or contract.

Avg. Bars

The average number of bars held per position.

Avg. Bar PnL

The average bar PnL per position.

Avg. Time

The average time held per position.

Total Efficiency

The total efficiency per position (higher values indicate better efficiency).

Entry Efficiency

The entry efficiency per position (higher values indicate better efficiency).

Exit Efficiency

The exit efficiency per position (higher values indicate better efficiency).

Cumulative Profit

The cumulative profit for the positions.

Average MAE

The average MAE price per position.

Average MAE %

The average MAE % per position

Average MFE

The average MFE price per position.

Average MFE %

The average MFE % per position

Avg. Commission

The average commission paid for all positions.

Total Commission

The total commissions paid for all positions.

Avg. Slippage

The average slippage paid for all positions.

Total Slippage

The total slippage paid for all positions.


Winning Positions Table


The Winning Positions table displays performance figures that are based on the Desktop winning positions.


Name

Description

Total Wins

The number of winning positions.

Winning %

The percent of winning positions.

Total Win PnL

The total PnL of all winning positions.

Max. Win PnL

The maximum PnL for a winning positions.

Max. Win PnL %

The maximum PnL % for a winning positions.

Avg. Win PnL

The average PnL of all winning positions.

Avg. Win PnL %

The average PnL % of all winning positions.

Avg. Win Bars

The average number of bars of all  winning positions.

Avg. Win Bar PnL

The average PnL per bar of all winning positions.

Avg. Win Time

The average time held per winning position.

Total Efficiency (Win)

The average total efficiency per winning position (higher values indicate better efficiency).

Entry Efficiency (Win)

The entry efficiency per winning position (higher values indicate better efficiency).

Exit Efficiency (Win)

The exit efficiency per winning position (higher values indicate better efficiency).

Max. Consecutive Wins

The maximum number of consecutive winning positions.


Losing Positions Table


The Losing Positions table displays performance figures that are based on the Desktop losing positions.


Name

Description

Total Losses

The number of losing positions.

Losing %

The percent of losing positions.

Total Loss PnL

The total PnL of all losing positions.

Max. Loss PnL

The maximum PnL for a losing positions.

Max. Loss PnL %

The maximum PnL % for a losing positions.

Avg. Loss PnL

The average PnL of all losing positions.

Avg. Loss PnL %

The average PnL % of all losing positions.

Avg. Loss Bars

The average number of bars of all  losing positions.

Avg. Loss Bar PnL

The average PnL per bar of all losing positions.

Avg. Loss Time

The average time held per losing position.

Total Efficiency (Loss)

The average total efficiency per losing position (higher values indicate better efficiency).

Entry Efficiency (Loss)

The entry efficiency per losing position (higher values indicate better efficiency).

Exit Efficiency (Loss)

The exit efficiency per losing position (higher values indicate better efficiency).

Max. Consecutive Losses

The maximum number of consecutive losing positions.