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.

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).

Total

The total number of positions

Avg. PnL

The average PnL of the symbol positions.

Avg. PnL %

The average PnL % for the positions.

Avg. Bars

The average number of bars held per position.

Avg. Bars PnL

The average PnL per bar of all the symbol positions.

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).

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.

Winning %

The percent of winning positions.

Losing % 

The percent of losing positions.

Avg. Win PnL

The average PnL of the winning symbol positions.

Avg. Loss PnL

The average PnL of the losing symbol positions.

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).