Resultados - Métricas de análisis de la estrategia

Total Profit

Profit In Pips

AVG anual Profit

This number indicates average profit per year.

Yearly AVG % Return

CAGR

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

Ratio de Sharpe

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 volatilidad or total risk.

Factor de beneficio

This is a popular indicator. We basically require a value 1.3 or higher.

Ratio rentabilidad/DD

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

Comercio medio

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.

Número de calidad STR

= 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.

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 - Puntuación

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.

Expectativa

Desviación

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’.

Estabilidad

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!