Adj. Net Profit as % of Max. Drawdown (Trade Close to Trade Close)

Displays the percentage return of the Adjusted Net Profit to the greatest loss drawdown, from the previous highest equity run-up, closed trade to closed trade, (including commissions and slippage if specified) looking across all trades, during the specified period. Adjusted Total Net Profit as % of Maximum Drawdown  (Trade Close to Trade Close)  = Adjusted Total Net Profit  divided by  Maximum  Drawdown (Trade Close to Trade Close).

Adjusted profit and loss is calculated by looking at the number of trades, subtracting the square root, multiplied by the average profit or loss. The concept here is that strategy may perform better live than the adjusted historical performance.

 Takes into account commissions (and slippage, if specified for strategies) plus possible currency conversion factors.