Profit

The difference in price between the entry and exit execution.  This value may be positive or negative and is used to determine winning vs losing trades

•(exit price – entry price) for long trades  

•(entry price – exit price) for short trades

Total net profit

This statistic returns a monetary value representing a final cumulative profit of the all profitable trades and all unprofitable trades.

Gross Profit

This statistic returns a monetary value representing a summation of all the money earned across all your trades.

Gross Loss

This statistic returns a monetary value representing a summation of all the money lost across all your trades.

Commission

This statistic returns a monetary value that is the summation of all the commission fees associated with the trades executed.

SUM(commission of all traded executions)

Profit Factor

This statistic returns a ratio that can be used as a performance measure for your strategy. It gives you an idea of how much more money your strategy earns then it loses. A higher ratio can be considered characteristic of a high performing strategy. A ratio less than one indicates your strategy loses more money than it earns.

Gross Profit / Gross Loss

Max. Drawdown

The maximum drawdown statistic provides you with information regarding the biggest decrease (drawdown) in account size experienced from the highest high seen. Drawdown is often used as an indicator of risk.

Drawdown = local maximum realized profit – local minimum realized loss
Max Drawdown = single largest Drawdown

As an example, your account rises from $25,000 to $50,000. It then subsequently drops to $40,000 but rises again to $60,000. The drawdown in this case would be $10,000 or -20%. Take note that drawdown does not necessarily have to correspond with a loss in your original account principal.

Sharpe Ratio

This statistic returns a ratio that measures the risk premium per unit of risk of your strategy. It can help you make decisions based on the excess risk of your strategies. You may have a high-return strategy, but the high returns may come at a cost of excess risk. The Sharpe ratio will help you determine if it is an appropriate increase in risk for the higher return or not. Generally, a ratio of 1 or greater is good, 2 or greater is very good, and 3 and up is great.

(Profit per Month – risk free Rate of Return) / standard deviation of monthly profits

Sortino Ratio

This statistic is used the same as Sharpe Ratio, the only difference being that Sortino only takes into account the downside deviation. You would want to use this statistic if you wanted to differentiate between harmful volatility from volatility in general (Sharpe Ratio).

(Profit per Month – risk free Rate of Return) / standard deviation of monthly drawdown

See also Understanding Profit Per Month on this page.

Ulcer Index

This statistic measures downside risk, the Ulcer Index becomes higher as profit declines from the max realized profit achieved and lower as profit rises. The lower the value the better as this indicates there is overall less downside risk.

Probability

This statistic determines how likely a trade is to occur that would return the same PnL as your Avg. trade. This is based on how many trade's PnL fall within a standard deviation of the Avg. trade. Student's t-distribution is used to find probability.

Trade totals

These are a simple statistics used to gauge the overall performance of the performance report.

Average Trade

This statistic returns a value representing the average profit you experience from all of your trades. It is useful for getting an idea of how much you could expect to earn on future trades.

Average Winning Trade

This statistic returns a value representing the average profit you experience from all of your winning trades. It is useful for getting an idea of how much you could expect to earn on winning trades.

Average Losing Trade

This statistic returns a value representing the average loss you experience from all of your losing trades. It is useful for getting an idea of how much you could expect to lose on losing trades.

Ratio Avg Win / Avg Loss

This statistic returns a ratio that can be used as a performance measure for your strategy. A value greater than 1 signifies you win more than you lose. A value less than 1 signifies you lose more than you win.

Average Winning Trade / Average Losing Trade

Max. consec. winners

This statistic returns the largest number of winning trades which followed a previous winning trade.  Once a losing trade is detected, the consecutive winner count is reset until another winning trade is found

Max. consec. losers

This statistic returns the largest number of losing trades which followed a previous losing trade.  Once a winning trade is detected, the consecutive loser count is reset until another losing trade is found

Largest winning trade

This statistic returns the the most profitable trade value from the collection of trades

Largest losing trade

This statistic returns the the least profitable trade value from the collection of trades

Average # of Trades per Day

This statistic returns a value that represents the average # of trades you take per day. This is useful so you can determine if you are overtrading. This statistic excludes weekends and holidays by using a 252 trading days in a year constant.

SUM(of all trades) / (# of days between the date of the first trade and the date of the last trade) * 252 / 365

Average Time in Market

This statistic returns a value that gives you an idea of how long you can expect your positions to be open. You can use this by manually closing out a position if you feel it has been in the market for too long.

SUM(exit date/time – entry date/time) of all trades / # of trades

Profit Per Month

This statistic returns a value that can be used as a performance measure for your strategy. It gives you an idea of how much profit you can expect to make per month. A month is defined as 30.5 days which found by the following: (number of days) / (number of months in a year considering leap year)

Max. Time to Recover

The maximum time to recover statistic returns the largest time it took to recover back to the highest profit experienced. This indicates how long you waited before becoming profitable again.

Longest Flat Period

This statistic returns the longest time duration that occurred between trades.  This may be reflected in total minutes, or total days.

current trade entry time - last trade exit time

Average MAE  (Maximum Adverse Excursion)

This statistic returns a value representing the average maximum run-down your trades experience. This information helps you gauge how poorly your entry conditions predict upcoming price movement directions. A low percentage here is desirable since it would imply that the price movement after you enter a position follows the direction of your intended trade.

Average MFE  (Maximum Favorable Excursion)

This statistic returns a value representing the average maximum run-up your strategy experiences. This information helps you gauge how well your strategy’s entry conditions predict upcoming price movements. A high percentage here is desirable since it would imply high profitability opportunities.

Average ETD  (End Trade Drawdown)

This statistic returns a value that is useful in giving you a measure of how effective your exit conditions capture the price movements after your strategy enters a position. It shows you how much you give back from the best price reached before you exit the trade. A small number here is generally desirable since it would imply highly optimized exit conditions that capture most of the price movement you were after.

Average MFE – Average Trade

Cumulative profit

This statistic returns a value representing a summation of all the profit earned by all your trades. It can be interpreted as a performance measure.

Following are the formulas for the calculation of the entry, exit, and total efficiency.

Assume the following:

- Enter long at price of 100

- Market moves down to a price of 90

- Market moves up to a price of 130

- Exit at a price of 110

Entry Efficiency is Calculated as:

 
(maximum price seen - entry price) / (maximum price seen - minimum price seen)
= (130 - 100) / (130 - 90)
= 75%
= The entry took 75% of the trade range

Exit Efficiency is Calculated as:

(exit price - minimum price seen) / (maximum price seen - minimum price seen)
= (110 - 90) / (130 - 90)
= 50%
= The exit took 50% of the available trade range

Total Efficiency is Calculated as:

(exit price - entry price) / (maximum price seen - minimum price seen)
= (110 - 100) / (130 - 90)
= 25%
= The trade represented only 25% of the trade range