| Total
net profit |
The grossprofit +
grossloss.
|
| Gross
profit |
The total profit from all profitable trades.
|
| Gross
loss |
The total losses from all losing trades.
|
| Total
# of trades |
The number of trades.
|
| Percent
profitable |
Percent of profitable trades is Winning Trades/ Total Trades * 100;
|
| Number
winning trades |
The number of winning trades.
|
| Number
losing trades |
The number of losing trades.
|
| Largest
winning trade |
The amount largest winning trade.
|
| Largest
losing trade |
The amount largest losing trade.
|
| Average
winning trade |
The amount of the average winning trade.
|
| Average
losing trade |
The amount of the average losing trade.
|
| Ratio
avg win/avg loss |
The Average Win to average loss is Average Win / Average Loss
|
| Max
consec. winners |
The maximum number of consecutive winning trades.
|
| Max
consec. losers |
The maximum number of consecutive losing trades.
|
| Avg
# bars in winners |
The average number of bars in winning trades.
|
| Avg
# bars in losers |
The average number of bars in losing trades.
|
| Max
intraday drawdown |
The maximum drawdown from a individual trade. Draw down is = Volume * Value of a Tick * (low price during the trade - high price the during trade) / Tick Size
|
| Profit
factor |
Profit Factor
For long trades profitfactor = Long Gross Profit / Long Gross Loss
For Short Trades profitfactor = Short Gross Profit / Short Gross Loss
|
| Max
# contracts held |
The largest volume traded
|
| Account
size required |
Account Size Required to trade the account.
if margin = 100 then the Account Size Required equals the maximum drawdown, else Account Size Required = maximum drawdown / (margin / 100)
|
| Return
on account |
Return on account
Short Account Return = 100 * Short Net Profit / Short Account Size Required
Long Account Return = 100 * Long Net Profit / Long Account Size Required
|
| PRR |
(((Net Win - pow(Net Win, .5)) / Net Trades) * Net Gross Profit / Net Win) /
(((Net Loss + pow(Net Loss, .5)) / Net Trades)* (-1) * Net Gross Loss /Net Loss)
if second half of above equation is zero then PRR is the first half. The
PRR is used to determine how good a system is.
PRR values from systems can be compared against each other to determine the best trading systems.
|
| Open
Position P/L |
Profit/Loss
value of currently opened position, based on current stock price. |
