About the Performance Report

The Performance Report contains tabs for several key performance ratios of the portfolio. The detailed performance analysis presented on each tabbed page represents the performance of the entire portfolio. The information contained closely resembles information found in the TradeStation Strategy Performance Report.

 Access from the Reports section of the shortcut bar and select Performance Report.

The bottom portion of the Performance Report screen displays the names of saved backtest results. Select a backtest to use and use the tabs to view the detailed Performance Report pages in the upper part of the screen.

The Performance Report consists of the following tabbed pages:

  • Summary
  • Trade Analysis
  • Trades Lists
  • Returns & Equity
  • Equity Table
  • Periodical Returns
  • Graphs
  • Settings

The report can be sent to a printer using the Print button on the toolbar. You can also export data for selected tabs to an Excel file by clicking the Export to Excel button on the toolbar. A single page summary of the report can be created for external viewing be using the Tools > Generate PDF Report menu sequence.

Summary Tab

  • Total Return – Net P/L including Open Position in the base currency during the tested period.
  • Total Realized Return – Net P/L for all closed trades in the base currency during the tested period. Total Realized Return = Total Return – Open Position in the base currency during the tested period.
  • Gross Profit – Sum of all winning trades during the tested period.
  • Gross Loss – Sum of all losing trades during the tested period.
  • Open Trade P/L – P/L for all open positions taken together in the base currency during the tested period.
  • Number of Trades – The number of closed trades for all symbols during the tested period.
  • Number of Winning Trades – The number of closed trades with profit no less than 0 for all symbols during the tested period.
  • Number of Losing Trades – The number of closed trades with profit less than 0 for all symbols during the tested period.
  • % Profitable – (Number of Winning Trades) / (Number of Trades) expressed in %.
  • Average Trade  – Total Realized Return / Number of Trades.
  • Average Trade (%) – (The sum of all trade returns in %) / (Number of Trades).
  • Standard Deviation of Average Trade – Statistical measure called sigma to measure variability of the distribution of the data.
  • Standard Deviation of Average Trade (%) – Same as above when the data is expressed in %.
  • Largest Winning Trade – Largest closed trade with profit no less than 0 in the base during the tested period.
  • Largest Losing Trade - Largest closed trade with profit less than 0 during the tested period.
  • Profit Factor – Gross Profit / Gross Loss.
  • Average Win/Average Loss – Average Winning Trade / Average Losing Trade in the selected currency.
  • Sharpe Ratio – (Average Monthly Return in % - Risk Free Interest Rate in % per month) / (Standard Deviation of Monthly Returns in %). The software allows setting the calculation for months, weeks or days. Minimum 36 periods (months, weeks or days correspondingly) required.
  • K Ratio – (The slope of the regression line for the equity curve divided by (the standard error of the slope and the number of periods in the performance)). For more information see Quantitative Trading Strategies: harnessing the power of quantitative techniques to create a winning trading program by Lars N. Kestner, McGraw Hill.
  • Return Retracement Ratio (RRR) – Represents the average annualized compounded return R divided by an average maximum retracement AMR measure. RRR = R/AMR. For more information see Technical Analysis by Jack D. Schwager, Wiley.
  • Compounded Annual Return
  • Compounded Monthly Return
  • Average Annual Return
  • Average Annual Return (%)
  • Average Monthly Return
  • Average Monthly Return (%)
  • Percent Days Profitable  
  • Percent Months Profitable
  • Percent Years Profitable  
  • Commissions on Futures
  • Commissions on Currencies
  • Commissions on Equities

Trade Analysis Tab

The Trade Analysis tab contains Strategy Analysis, Trade Analysis, Efficiency Analysis, and Statistical Analysis.

Strategy Analysis

  • Total Return
  • Total Realized Return
  • Gross Profit
  • Gross Loss
  • Open Trade P/L
  • Number of Trades
  • Number of Symbols Traded
  • Average Trade
  • Standard Deviation of Average Trade
  • Average Trade in %
  • Standard Deviation of Average Trade in %
  • Average Trade Length
  • Winning Trades
  • Number of Winning Trades
  • Average Win
  • Percent of Winning Trades
  • Maximum Consecutive Wins
  • Largest Winning Trade
  • Largest Winning Trade in %
  • Average Winning Trade Length
  • Losing Trades
  • Number of Losing Trades
  • Average Win
  • Percent of Losing Trades
  • Maximum Consecutive Losses
  • Largest Losing Trade
  • Largest Losing Trade in %
  • Average Losing Trade Length
  • Commissions on Futures
  • Commissions on Currencies
  • Commissions on Equities
  • Total Commissions

Trade Analysis

Trade Analysis includes Average and Standard Deviation from Average Run-up in the selected currency and in %. The same is for Drawdown.

Efficiency Analysis

Efficiency Analysis includes Average and Standard Deviation from Average for Total, Entry and Exit Efficiency.

Statistical Analysis

Statistical Analysis includes t-Test and Significance. These values show if the performance of the strategy on the selected symbols and the portfolio as a whole is significantly better/worse than the performance of the underlying market(s).  

 Click the View/Hide button and select the desired symbols to view trade results for any symbols in the study.

Trades List Tab

This tab contains the list of all trades that occurred in the portfolio for the backtesting period. The information includes the date, time, symbol, type, price, quantity, commissions, profit, profit (%), strategy, signal name, total, entry, and exit efficiency, drawdown and drawdown (%), run-up and run-up (%), high and low prices.

Equity-based Results tab consists of a two parts – Return Analysis and Equity Analysis. Both parts contain the following columns – Variables, Amount, Amount %, and Percent of Fixed Capital.

  • Annual Returns
  • Average
  • Standard Deviation
  • Sharpe Ratio
  • Monthly Returns
  • Average
  • Standard Deviation
  • Sharpe ratio (shown here if calculated monthly)
  • Weekly Returns
  • Average
  • Standard Deviation
  • Sharpe ratio (shown here if calculated weekly)
  • Daily Returns
  • Average
  • Standard Deviation
  • Sharpe ratio (shown here if calculated daily)
  • Best 12-month period
  • Worst 12-month period
  • The Equity Analysis section contains the following parameters:
  • Equity Drawdown
  • Maximum
  • Maximum Drawdown Date
  • Average
  • Standard Deviation
  • Equity Run-up
  • Maximum
  • Maximum Run-up Date
  • Average
  • Standard Deviation
  • Average Time to Recovery
  • Average Time Between Equity Peaks
  • Longest Time Between Equity Peaks
  • Percent Years Profitable
  • Percent Months Profitable
  • Percent Weeks Profitable
  • Percent Days Profitable
  • Compounded Annual Return
  • Compounded Monthly Return

Equity Table Tab

Equity Table tab contains the following tabs:

  • Date
  • Equity
  • P/L
  • P/L (%)
  • Open Trade P/L

 Click the View/Hide button and select the desired symbols to view trade results for any symbols in the study.

Periodical Returns

This section includes the daily, weekly, monthly, and annually mark-to-market performance of the portfolio analyzed. Performance measures incorporated for each period include: Return, Return (%) and Return on Fixed (%).

Graphs

Two drop-down menus allow selecting the graph for viewing. The drop-down menu located on the left is used to select the category of graph to view. The right drop-down menu allows selecting several charts available for each category. For more information, see Trades Graphs.

Settings

This section includes items such as the Portfolio Name, Date Range, Base Currency, Initial Capital, Risk Free Rate, Sharpe Ratio Period, Commissions and Slippage Settings, Input values for strategies, money management parameters, and Custom Session details (if set).