Contents

Results – Strategy analysis metrics

Author: Tomas Hruby

September 22nd, 2020

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Total Profit

 

Profit In Pips

 

Early AVG Profit

This number indicates average profit per year.

 

Yearly AVG % Return

 

CAGR

It is an appreciation percentage (p.a.).

 

Sharpe Ratio

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

 

* 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.

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