Last updated on September 22, 2020 by Tomas Hruby
Results – Strategy analysis metrics
Profit In Pips
Yearly AVG Profit
This number indicates average profit per year.
Yearly AVG % Return
It is an appreciation percentage (p.a.).
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.
This is a popular indicator. We basically require a value 1.3 or higher.
This ratio is widely used. It is good to also consider a risk (in this case drawdown).
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.
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
Precisely, this is an average profit per one trade.
Annual% / Max DD%
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
= Strategy Quality Number.
It’s a 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.
STR QUALITY NUMBER does not consider the length of testing period and number of trades produced. Therefore, there is also SQN SCORE.
It says how many times is the average win bigger than average loss.
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.
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.
Max Consec Wins
Max Consec Losses
compares profit for the long side vs profit for the short side.
compares number of trades long vs short.
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’.
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!
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I noticed that there is not a definition for RSquare in this section.
Also, I am not sure if in the results table if RSquare is just for the training portion of the results table are also for the InSample portion too?
Lastly, when I attempted to add RSquare to the OOS portion of the results table, it was still referring back to the training portion and the InSample portions.
Thank you for your attention on this matter.
Can you please let us know to support@strategy quant.com with more details and example for the issue? We will check