Matt,
A very important, actually probably the MOST important statistic for a trading system is max drawdown. You may want to include that statistic for all systems.
$iri$h
Here is a comprehensive list. Most of these statistics are already available in this site, for which I am thankful. Still, in the future it would be great to have more of them. If anybody is interested, I can send them the actual report in an html format with the actual values shown for a model system I back tested using Amibroker.
All trades
Long trades
Short trades
Initial capital
Ending capital
Net Profit
Net Profit %
“Market exposure of the trading system calculated on bar by bar basis. Sum of bar exposures divided by number of bars. Single bar exposure is the value of open positions divided by portfolio equity.” Exposure
"Net profit % divided by Exposure %" Net Risk Adjusted Return
"Compounded Annual Return % (CAR)" Annual Return %
“Annual return % divided by Exposure %” Risk Adjusted Return
All trades
"(Profit of winners + Loss of losers)/(number of trades)" Avg. Profit/Loss
"(% Profit of winners + % Loss of losers)/(number of trades)" Avg. Profit/Loss %
Avg. Bars Held
Winners
Total Profit
Avg. Profit
"(% Profit of winners )/(number of winning trades)"> Avg. Profit %
Avg. Bars Held
Max. Consecutive
Largest win
# bars in largest win
Losers
Total Loss
Avg. Loss
"(% Loss of losers )/(number of losing trades)" Avg. Loss
Avg. Bars Held
Max. Consecutive
Largest loss
# bars in largest loss
"The largest peak to valley decline experienced in any single trade">Max.trade drawdown
"The largest peak to valley percentage decline experienced in any single trade">Max.trade % drawdown
"The largest peak to valley decline experienced in portfolio equity">Max.system drawdown
"The largest peak to valley percentage decline experienced in portfolio equity">Max.system % drawdown
"Net profit divided by Max. system drawdown">Recovery Factor
"Compound Annual % Return divided by Max. system % drawdown">CAR/MaxDD
"Risk Adjusted Return divided by Max. system % drawdown">RAR/MaxDD
"Profit of winners divided by loss of losers">Profit Factor
"Ratio average win / average loss">Payoff Ratio
"Standard error measures chopiness of equity line. The lower the better." Standard Error
"Measure of the relation between the risk inherent in a trading the system compared to its potential gain. Higher is better. Calculated as slope of equity line (expected annual return) divided by its standard error. " Risk-Reward Ratio
"Square root of sum of squared drawdowns divided by number of bars">Ulcer Index
"(Annual profit - Tresury notes profit)/Ulcer Index">Ulcer Performance Index
"Measure of risk adjusted return of investment. Above 1.0 is good, more than 2.0 is excellent." Sharpe Ratio of trades
K-Ratio
rgds, Pal
I can work on making these stats available for all systems. If anyone has any others that they think would be useful, let me know via the public forum. Thanks.
MK
