This tab displays all available performance metrics for the strategy including Net Profit, Gross Profit, Max Drawdown and more. It looks like this:
The performance metrics calculated for all trades are shown in the All column. Values calculated only for long and short trades are shown in the Long and Short columns, respectively. Now let’s dive into what each performance metric means.
The overall profit or loss (in the selected currency) achieved by the trading strategy in the test period. The value is the sum of all values from the Profit column (on the List of Trades tab), taking into account the sign.
The total profit for all profitable trades generated by a strategy.
The total losses for all losing trades generated by a strategy. Analyzing and reducing trade losses is an extremely important part of trading strategy analysis. That’s why this characteristic of a strategy is the most important. It should be noted that net profit increases not only when gross profit improves, but also when gross loss is reduced.
Displays the greatest loss drawdown, starting from the previous highest equity run-up, looking across all trades, during the entire test period. If a new equity run-up high occurs, the low equity value is reset to 0 so that the next maximum drawdown can be calculated from that point. You can roughly see this value on an equity curve graph by looking from the highest peaks to the lowest lows moving forward. The percentage and absolute values of a drawdown are two different metrics. They are tracked independently. For example, let’s say the initial capital is $100. After a series of losing trades, equity decreases to $50. The drawdown amounts to $50 in absolute terms and 50% in relative terms. Later, after a series of profitable trades, equity increases to $300 and then drops to $200. In this case, the absolute drawdown will be $100, and the relative drawdown, 33%. The overall maximum absolute drawdown of the strategy will be $100, and the maximum relative drawdown will be 50%.
Buy & Hold Return
The return achieved if all funds (Initial Capital) were used to buy the security when the first trade is entered, and the position was held for the duration of the test period.
Nobel Laureate, William Sharpe, introduced the Sharpe Ratio in 1966 under the name “reward-to-variability ratio”. The Sharpe Ratio is widely used by portfolio managers and individual traders to show how much risk was taken to achieve specific returns. The formula for the Sharpe ratio is SR = (MR - RFR) / SD, where MR is the average return for a period (monthly for a trading period of 3 or more months or daily for a trading period of 3 or more days), and RFR is the risk-free rate of return (by default, 2% annually). SD is the standard deviation of returns. Thus, this formula yields a value that could be loosely defined as return per unit risked if we accept the premise that variability is risk. The higher Sharpe ratio, the smoother the equity curve. Having a smooth equity curve is an important objective for many traders.
The amount of money a trading strategy made for every unit of money it lost (in the selected currency). This value is calculated by dividing gross profits by gross losses.
Max Contracts Held
The maximum number of contracts held at any one time.
The profit or loss for the current open position. If no position is open, the value returned is N/A.
The sum (in the selected currency) of commission paid. Slippage is not included.
Total Closed Trades
The total number of closed trades (both winning and losing) generated by a strategy. The total number of trades is important for a number of reasons. First, the number should be large enough for strategy results to be of any statistical significance. Second, the number can help validate that your strategy is trading at the frequency you expect.
Total Open Trades
The number of entries currently opened.
Number Winning Trades
The total number of winning trades generated by a strategy.
Number Losing Trades
The total number of losing trades generated by a strategy.
The percentage of winning trades generated by a strategy. Calculated by dividing the number of winning trades by the total number of closed trades generated by a strategy. Percent profitable is not a very reliable measure by itself. A strategy could have many small winning trades, making the percent profitable high with a small average winning trade, or a few big winning trades accounting for a low percent profitable and a big average winning trade. Some successful strategies have a percent profitability below 50% but are still profitable due to proper loss control.
The sum of money gained or lost by the average trade generated by a strategy. Calculated by dividing the Net Profit by the overall number of closed trades. An important value since it must be large enough to cover the commission and slippage costs of trading the strategy and still bring a profit.
Avg Win Trade
The Gross Profit divided by the number of Winning Trades generated by a strategy.
Avg Loss Trade
The Gross Loss divided by the number of Losing Trades generated by a strategy.
Ratio Avg Win / Avg Loss
The average value of how many currency units you win for every unit you lose (in the selected currency). This is calculated by dividing the average winning trade by the average losing trade. This field is not a very meaningful value by itself because it does not take into account the ratio of the number of winning vs losing trades, and strategies can have different approaches to profitability. A strategy may trade at every possibility in order to capture many small profits, yet have an average losing trade greater than the average winning trade. The higher this value is, the better, but it should be considered together with the percentage of winning trades and the net profit.
Largest Win Trade
The most profitable trade in the test period.
Largest Losing Trade
The most losing trade in the test period.
Avg # Bars in Trades
The average number of bars that elapsed during trades for all closed trades.
Avg # Bars in Winning Trades
The average number of bars that elapsed during trades for all winning trades.
Avg # Bars in Losing Trades
The average number of bars that elapsed during trades for all losing trades.
This tab provides key performance metrics for the strategy.
At the top of the tab are the metrics of the same name from the Performance Summary tab. The following charts are located in the center:
This chart illustrates each trade's drawdown vs. trade number for all closed trades.
This chart displays the equity (in the selected currency) vs. trade number for all closed trades. The equity curve line chart presents trading performance on a trade-by-trade basis. This all-purpose equity chart is best used for general analysis of trading performance.
This chart displays the return achieved if all funds (Initial Capital) were used to buy the security when the first trade is entered, and the position was held for the duration of the test period. You can hide/show chart elements by clicking on their corresponding button at the bottom of the tab.
This tab displays detailed information on each trade.
A trade is a pair of orders: an entry order and an exit order. Trades are arranged chronologically by execution of entry orders. The earliest trade is at the very top of the list.
Contains the sequential number of the trade.
The direction of the trade (long or short).
The identifier of the order used to open or close the trade. An identifier is a string value assigned to the id argument of one of the following functions: strategy.entry, strategy.order, strategy.exit, strategy.close and strategy.close_all.
The transaction time in the chart's time zone.
The execution price.
The number of units bought or sold.
The profit per trade and the gain/loss percentage of that trade.
The cumulative profits or losses of the strategy after closing the trade and the gain/loss percentage of the strategy over time.
The maximum possible profit of the trade according to the strategy, as well as the maximum percentage gain.
The maximum possible loss of the trade according to the strategy, as well as the maximum percentage loss.
Let's look at how the values for the Profit, Cumulative Profit, RunUp, and Drawdown columns are calculated:
In this example, we bought 1 share of AAPL at the opening on January 28 and sold it at the opening of January 30. The initial capital was $1000.
We bought a stock at $312.60 and sold for $320.54, i.e. profit amounted to (320.54-312.60) = $7.94, or as a percentage (7.94/(312.60*1))*100% = 2.54%.
$1000 + $7.94 = $1007.94, or as a percentage (7.94/1000)*100% = 0.79%. The cumulative profit is associated with the Net Profit by the ratio: Cum. Profit = Initial Capital + Net Profit.
The maximum price reached during the trade was $327.85 on January 29, so the maximum possible profit in this transaction is $327.85 - $312.6 = $15.25, for a percentage of (15.25/(312.60*1))*100% = 4.88%.
The minimum value to which the share price has decreased since the purchase is $312.19 on January 28, therefore the maximum possible loss in this transaction is $312.60 - $312.19=$0.41, for a percentage of (0.41/(312.60*1))*100% = 0.13%.