It is used to help traders to understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk.
Profit Factor
This is a popular indicator. We basically require a value 1.3 or higher.
Return/DD ratio
This ratio is widely used. It is good to also consider a risk (in this case drawdown).
Winning Percentage
This indicator usually ranges between 40 and 60 %. Even strategy with WP lower than 50 % can be fine – depends on Risk Reward Ratio (Stop Loss vs. Profit Target), i.e. potential loss or win.
Draw Down
It says what is the biggest downswing of capital (equity).
% Draw Down
This index shows what is the maximum percentage downswing of capital.
Daily AVG Profit
Monthly AVG Profit
Average Trade
Precisely, this is an average profit per one trade.
Annual% / Max DD%
R Expectancy
It is an average trade with consideration of risk (maximum potential loss of trade).
R Expectancy Score
This indicator extends R EXPECTANCY by an average number of trades per year.
STR Quality number
Performance metrics developed by Van Tharp; it measures the quality of a trading system. Standard interpretation of SQN is:
Score: 1.6 – 1.9 Below average, but trade-able
Score: 2.0 – 2.4 Average
Score: 2.5 – 2.9 Good
Score: 3.0 – 5.0 Excellent
Score: 5.1 – 6.9 Superb
Score: 7.0 – Keep this up, and you may have the Holy Grail.
SQN Score
STR QUALITY NUMBER does not consider the length of testing period and number of trades produced. Therefore, there is also SQN SCORE.
Wins/Losses ratio
Payout ratio
It says how many times is the average win bigger than average loss.
AHPR
Z – Score
It describes the position of a raw score (AVERAGE TRADE) in terms of its distance from the mean, when measured in standard deviation units. The z-score is positive if the value lies above the mean, and negative if it lies below the mean.
Z – Probability
This is another statistical value – probability arisen from Z-SCORE and Z-distribution.
Expectancy
Deviation
Exposure
It says what is the percentage of being in the position in the whole sample.
Stagnation In Days
Stagnation In %
This says what is the maximum percentage of creating new high by equity in time.
Gross Profit
Gross Loss
Average Win
Average Loss
Max Consec Wins
Max Consec Losses
Symmetry
compares profit for the long side vs profit for the short side.
Trades Symmetry
compares number of trades long vs short.
NSymmetry
shows ‘-1’ if the long side is profitable while the short is losing money (or opposite). If both are profitable or losing money NSymmetry is ‘0’.
Stability
is a proprietary formula which uses linear regression. It basically evaluates how straight the equity curve is. If it was a straight rising line, Stability would be 1.
Important note: Please remember that all above-mentioned indicators arise from a backtest. It does not guarantee the same results on a real account. It is necessary to do a proper robustness testing to check quality of strategies!
