Performance Detail Descriptions

Following are descriptions of the fields in the Strategy Performance Detail tabs:

PERFORMANCE SUMMARY
Symbol	Symbol for security
Strategy	Name of Strategy
Test Date/Time	When the test was run
Bar Size	Time length of bar (e.g., 5 Min, 60 Min, Daily, etc.)
Back Test Bars	Maximum number of bars for which the test was run
Start Date/Time	Date and time of the first bar of the test
End Date/Time	Date and time of the last bar of the test
Closed P&L	Total profit or loss from closed positions
Open P&L	Profit or loss on open positions at the end of the test
Performance %	A percentage measure of how much profit or loss the system generated based on its initial equity Performance % = ( Profit $ + Open P&L $) / Initial Equity($) * 100%
APR %	Annual Percentage Rate. This value is reached by multiplying a year (365 days) by the Performance % and then dividing by the number of days in the simulation. Simple interest used. APR % = (365 * Performance %) / Days in test
Buy & Hold P&L	Profit from a buy and hold strategy. Buy at beginning of test and hold.
Buy & Hold Performance %	A percentage measure of how much profit or loss the a buy and hold strategy would of generated based on its initial equity. (Buy & Hold P&L/Initial Equity) * 100
Buy & Hold APR %	Annual Percentage Rate for buy and hold strategy. This value is reached by multiplying a year (365 days) by the Buy & Hold Performance % and then dividing by the number of days in the simulation. Simple interest used. Buy & Hold APR % = (365 * Buy & Hold Performance %) / Days in test
Sharpe Ratio	Risk adjusted profitability for the test time period. $IRX will be used for the Risk Free Rate of Return in the Sharpe formula.
Total Trades	Total number of trades entered and exited. Does not include a trade entered at the end and not yet exited.
Winning Trades	The total number of trades which made money, excluding open positions.
Winning Longs	Number of winning long trades, excluding open positions.
Winning Shorts	Number of winning short trades, excluding open positions.
Most Consecutive Winning	Most consecutive winning trades, excluding open positions.
Average Winning Hold Time	Average number of bars for which a winning position was held (Total Winning Hold Time/Winning Trades)
Total Winning Hold time	Total number of bars in a winning position
Average Winning Profit $	Average profit from winning trades
Maximum Profit $	Maximum profit from a winning trade
Lowest Winning Profit $	Lowest profit from a winning trade
Losing Trades	The total number of trades which lost money, excluding open positions.
Losing Longs	Number of losing long trades, excluding open positions.
Losing Shorts	Number of losing short trades, excluding open positions.
Average Loss $	Average loss from losing trades
Maximum Loss $	Maximum loss from a losing trade
Lowest Loss $	Lowest $ loss from a losing trade
Average Losing Hold Time	Average number of bars for which a losing position was held
Most Consecutive Losing	Most consecutive losing trades, excluding open positions.
Average Profit$/Average Loss$	Ratio of average $ profit from winning trades divided by average $ loss from losing trades.
Total Losing Hold Time	Total number of bars in a losing position
Out of Market Average	Average number of bars out of the market
Out of Market Maximum	Maximum number of bars out of the market
Out of Market Total	Total number of bars out of the market
Initial Equity	Initial equity used in test
Trade Profit $	Total profit from all profitable trades
Trade Loss $	Total loss from all losing trades
Commissions $	Total commissions paid in test
Final Equity $	Ending equity from test (includes equity in open positions)
Open Position $	The dollar value for any position still open at the end of the test
Highest Cash Balance $	Highest amount “cash” in account.
Lowest Cash Balance $	Lowest amount “cash” in account
Highest Position Value $	The most your open positions were worth simultaneously during the test
Highest Open Drawdown $	The largest equity dip (relative to the initial investment) based on open position
Highest Closed Drawdown $	The largest equity dip (relative to the initial investment) based on closed out position.
Highest Equity Balance $	Highest amount of cash + position(s) value
Lowest Equity Balance $	Lowest amount of cash + position(s) value

EXECUTIONS
Number	Shows when this order happened, consecutively. If this number is 4, this order was the fourth order to happen in the test.
Bar	Indicates on what bar the activity occurred, based on the first date of the date range used when the simulation was run. EXAMPLE If this number is 6, the corresponding activity happened on the sixth bar of the tested data.
Date and Time	Tells you the date and time when the activity occurred.
Type	Lists the type of order executed. Types include Buy, Short, Indicator Exit, Profit Exit, and Stop Loss.
Trade Size	Indicates how many shares/contracts were executed.
Price	Shows the execution price of any order type if the order is being executed.
Order Trigger	What initiated the order. Possible sources are Strategies, Profit Exits, or Stop Losses.

TRADES
Position #	Tells you when the position was established, consecutively.
Entry Bar	This number indicates on what bar the position was established.
Entry Date and Time	Tells you the date and time when the position was established.
Entry Price	Price at which position was established.
Exit Bar	This number indicates on what bar the position was exited.
Exit Date and time	Tells you the date and time when the position was exited.
Exit Price	Price at which position was exited.
Bars	Number of bars between trade entry and exit
Trade Size	Number of shares/contracts of the position
Gross Profit / Loss $	Profit or loss before commissions
Net Profit / Loss $	Net profit or loss after commissions
Commission $	Commission paid on position

EQUITY HISTORY
Bar	The bar in the test that corresponds to the rest of the information on that row.
Date/Time	The date and time on which the bar and its equity account information occurred.
Cash	The cash balance
Overdraft	If the account is overdrawn, the amount below zero appears here.
Position	The value of any position. (will be calculated using the close price of each bar.)
Commissions	How much money was paid in commissions for this bar.
Total Equity	The value of the entire equity (cash+position) account at the end of this bar.

SETTINGS
Initial Equity	The initial amount of equity at the start of the test
Trade Size	How position sizes where calculated. Can be as % of equity, # of shares, or total transaction cost.
Strategy	Name of Strategy used for test
Strategy Description	Detailed description of the strategy
Indicator #1...	Name - Name of the indicator(s) used for the test Trade Action - Actions selected for the test, such as Long Entry, Long Exit, Short Entry, etc.
Trade Exit	Profit Exit - Percent value gain at which the whole position is closed for profit Stop Loss - Percent value at which a stop loss is triggered to close the position.
Bar Size	Time length of bar (e.g., 5 Min, 60 Min, Daily, etc.)
Back Test Bars	Number of bars for which the test was run (e.g., 100 bars)
Commissions (Equities)	Per trade commission value (based on the Back Test Settings)
Sharpe Ratio Risk Free Interest Rate	% used in Sharpe Ratio calculation. $IRX value at the beginning of the back test period will be used in this calculation.