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The total percentage gain generated by the trading strategy expressed as a yearly figure. Annualized Gain % is the Compounded Annual Growth Rate, or CAGR. CAGR provides a smoothed average rate of return as if the starting equity were compounded annually.
The average number of bars held per trade.
The average number of days that the simulated strategy trades were held.
The average percentage loss of the simulated strategy trades.
The average loss of the simulated strategy trades.
The average percentage profit of the simulated strategy trades.
The average profit of the simulated strategy trades
The number of bars (interval) that the trade was held. The bar interval will vary based on the time frequency used. Both the entry and exit bars count in "Bars Held".
Buy and Hold (BH) is a simulated trading strategy in which a security is purchased on the open of the next market day from the beginning of the test period and held until the end of the test period. In several Performance Visualizers, Strategy Testing displays the results of the BH strategy for comparison with your test Strategy.
As an alternative to the standard Buy & Hold strategy, you can specify a single benchmark symbol, such as an index or other symbol, for the Buy & Hold comparison. Specify the symbol from any Data Set in the Benchmark Buy and Hold text box on the Settings window. It applies to Single Symbol Strategy or Multi-Symbol Strategy tests.
The total dollar amount of cash dividends received during the test period.
The amount of simulated capital at the end of the simulated test period which includes the capital from the closing value of Open Positions at the end of the test.
The total percentage of simulated capital that was invested in positions by the trading strategy and exposed to the market over the course of the simulated StrategyTest.
The dates that the Position was opened and closed.
The price at which the Position was opened and closed.
Gives each position an equal dollar amount for each trade. This applies to both Raw Profit mode and Portfolio Simulation mode.
If Fixed Dollar is selected, the standard Buy & Hold strategy determines the number of shares by dividing the closing price of the first bar into the designated amount. In either case, Positions are taken at the opening price of the second bar.
Assigns a specified number of shares (stocks) to a position.
The total profit generated by the winning trades, and the total loss generated by the losing trades, minus commissions. Open trades are not included in gross profit.
The number of simulated strategy trades that generated a breakeven result or a loss.
The percentage of simulated strategy trades that generated a breakeven result or a loss.
The Maximum Adverse Excursion percentage (MAE%) of the trade. MAE% is the largest intraday loss that the strategy has suffered during the time period selected.
Strategy Testing uses a simplified margin calculation which is as follows:
Assume MF represents the Margin Factor. When enabled, the amount of buying power for new purchases is calculated as follows:
BuyingPower = ( MF - 1 ) * Equity ) + Cash, where Equity is the total Portfolio Equity and Cash is the amount of free cash available for purchases.
Buy & Hold assumes the risk of full margin and pays the margin loan rate of interest in the portfolio simulation.
Set Margin Factor to a ratio greater than 1:1 to allow a Strategy test to borrow cash for new purchases when required.
The Maximum Favorable Excursion percentage(MFE%) of the trade. MFE% measures the highest intraday profit that the strategy gained within the time period selected.
The total amount of interest paid for margin loans during the Strategy test period.
The largest number of positions open at one time for a given strategy.
The maximum number of consecutive winning and losing trades generated by the strategy, based on the time period selected.
The greatest high to low decline in the simulated equity during the test period. Max Drawdown is the largest peak to valley dollar decline in the system's Equity Curve.
The greatest high to low percentage decline in the simulated equity during the test period. Max Drawdown % is the largest peak to valley percentage decline in the system's Equity Curve on a closing price basis.
Date on which the Max[Dollar] Drawdown was realized.
Date on which the Max Drawdown % was realized. Please note, the date on which the Max Drawdown % occurred is not necessarily the same as the Max [Dollar] Drawdown Date.
The total dollar profit generated. This is the sum of the net profits, reduced by commissions, for each trade generated by the system. Note that in Raw Profit mode, by using a fixed position size for each trade you can more fairly compare the strategy's performance with that of Buy & Hold.
The total percentage gain generated by the trading strategy, as expressed as an accumulation of Starting Capital.
The number of simulated trades that were generated by the strategy over the course of the Strategy test.
Payoff Ratio is the system's average percentage profit per trade divided by the average percentage loss per trade.
Lets you scale position sizes based on changes to the overall portfolio equity level.
Specify the percentage of the total account equity that each position should take. Account equity is based on cash available plus the value of open trade alerts. Once this value is determined, trade sizing proceeds along the same lines as the Fixed Dollar option.
For example, suppose you want each new position to be worth 10% of your account's equity. If the account equity were $50,000 at the time your script generated an entry signal, the position size would be $5,000. For a stock trading at $20 per share, this would translate into 250 shares. The maximum selectable Percent of Equity is 100% x Margin Factor.
Portfolio Simulation mode enables a true trading simulation with money management rules. In Portfolio Simulation mode, you define the amount of starting equity and the position sizing rules to be used for a test. If several trade alerts occur on the same day and your portfolio does not have enough free cash to enter all of the new trades, then the trades are randomly selected from the trade alerts for use in the Portfolio Simulation.
Profit Factor is the system's Gross Profit divided by Gross Loss. If your strategy has only winning trades and no losing trades, then Profit Factor is Infinity.
The total net profit divided by the total number of bars of exposure. Note that for systems that average down and open multiple positions the total bars held may actually be higher than the total number of bars in the chart. Profit per Bar provides a fair comparison to the Buy & Hold strategy, and can indicate the efficiency of the trading system. Even though a system doesn't beat Buy & Hold in terms of net profit, if it has a higher Profit per Bar we can say that it's more efficient than Buy & Hold.
The average profit of the simulated strategy trades.
The number of simulated strategy trades that generated a profit, as opposed to a breakeven result or a loss.
The percentage profit of the trade, less commissions.
The total net profit generated by the trade, less commissions.
Raw Profit (RP) Mode provides the ability to obtain the raw profit/loss potential of a trading strategy when creating Positions with a fixed dollar amount or with a fixed number of Shares. In RP mode, all trades created by the strategy will appear in the results provided that at least one share can be purchased based on the selected trade size.
Recovery Factor is equal to the absolute value of Net Profit divided by Max Drawdown. Recovery Factor should typically be larger than 1. A Recovery Factor that is greater than that of Buy & Hold can indicate a strategy's ability to overcome a drawdown.
The total amount of interest earned on uninvested cash during the Strategy test period.
Round Lot options automatically adjust the sizes of stock Positions created by trading strategies and alerts to the nearest 100 shares. For example, if a Position were sized as 250 shares, rounding lots would automatically adjust the share size up to 300 when the trade alert is generated. Likewise, a Position sized as 249 shares would be set to 200 shares.
The Sharpe Ratio is a way to measure the risk-adjusted return of an investment. Its ratio measures how much of an investment's return can be attributed to chance. The Sharpe Ratio calculation assumes a zero risk-free rate of return when the 'Apply Interest Rates' preference is disabled. Otherwise, the value for Return rate for uninvested cash is used as the risk-free return.
The standard deviation of the individual percentage returns.
The amount of simulated capital at the start of the simulated test period for the Portfolio Simulation mode.
The total amount that was paid in buy and sell commissions by the strategy during the simulated Strategy test.
The total loss of all of the losing simulated strategy trades.
The total profit of all the winning simulated strategy trades.
The total amount of profit (or loss) generated by the trading strategy, minus commissions.
The percentage of simulated strategy trades that generated a profit, as opposed to a breakeven result or a loss.
The percentage of all trades that were marked winners (losers) as defined in the previous paragraph.
When there is insufficient simulated cash for a portfolio simulation, then trades are randomly selected for use which may skew the projection of results.
The "Worst Trade" option selects the poorest performing trades for the portfolio simulation and is often the most-pessimistic (conservative) Portfolio Simulation possible for the current Strategy test settings.