Trading Strategy Statistics Definitions

Note: Statistics below marked with (*) are only available when input data contains the Date column with valid dates in it. Otherwise the output value is set to asterisk (*).

(*) Start Date/Time - date and time of the first row in the evaluation data set.

(*) End Date/Time - date and time of the last row in the evaluation data set.

Total Number of Bars - number of bars (rows) in the data set.

Beginning Price - price on the first row.

Ending Price - price on the last row.

Change in Price = Ending Price - Beginning Price.

Percent Change in Price = 100 * Change in Price / Beginning Price.

(*) Annual Percent Change in Price = Percent Change in Price * 365 / Number of Days, where Number of Days is the number of calendar days from Start Date/Time through End Date/Time.
Example 1. If Start Date/Time=9/28/2007 and End Date/Time=2/21/2008, then Number of Days=147.
Example 2. If Start Date/Time=11/17/2008 9:31:00 AM and End Date/Time=11/18/2008 4:00:00 PM, then Number of Days=2.

Return on Trades is a cumulative sum of all individual returns on trade.
Individual return on a trade = 100* Trade Profit/Loss / (entry price * shares + commission).
Definition of Trade Profit/Loss is found under Net Profit/Loss below.

(*) Annual Return on Trades = Return on Trades * 365 / Number of Days. For the definition of Number of Days see Annual Percent Change in Price above.

Total Number of Trades - total number of Long and Short trades during evaluation period.

Number of Winning Trades - total number of trades with positive Trade Profit/Loss.

Number of Losing Trades - total number of trades with negative Trade Profit/Loss.

Percent Profitable Trades = 100 * Number of Winning Trades / Total Number of Trades.

Net Profit/Loss is a cumulative sum of all individual Trade Profits/Losses (both Long and Short):
Long Trade Profit/Loss = (exit price - entry price) * shares - 2 * commission.
Short Trade Profit/Loss = (entry price - exit price) * shares - 2 * commission.

Largest Winning Trade Profit – maximum individual trade profit (either Long or Short) during evaluation period.

Largest Losing Trade Loss – maximum individual trade loss (either Long or Short) during evaluation period.

Profit/Loss per Trade = Net Profit/Loss / Total Number of Trades.

Profit/Loss per Bar = Net Profit/Loss / Total Number of Bars.

Commissions Paid – total commissions paid to enter and exit positions during evaluation period.