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Performance Report Clarification - Number of trades #478624
11/17/19 07:58
11/17/19 07:58
Joined: Nov 2018
Posts: 7
A
aventador Offline OP
Newbie
aventador  Offline OP
Newbie
A

Joined: Nov 2018
Posts: 7
Hi,

i already read the manual but still need to clarify on something. Appreciate can someone confirm what does the performance report below means ?

Does weekly trade mean it was executed once a week ? and why for daily it is 0 ( no trade at all ? )

---------------------------------------------------------------
Number of trades 40 (41/year, 1/week, 0/day)

-----------------------------------------------------------------


It was tested for year 2017 ( 1 year only ).

Simulated account AssetsFix
Bar period 1 hour (avg 86 min)
Test period 2017-01-01..2017-12-29 (6030 bars)
Lookback period 1000 bars (8 weeks)
Montecarlo cycles 200
Simulation mode Realistic (slippage 5.0 sec)
Avg bar 9.7 pips range
Spread 1.5 pips (roll -0.10/-0.11)
Contracts per lot 1000.0

Gross win/loss 122$ / -44.03$ (+776p)
Average profit 78.27$/year, 6.52$/month, 0.30$/day
Max drawdown -23.86$ 30.8% (MAE -80.65$ 104.0%)
Total down time 37% (TAE 71%)
Max down time 24 weeks from Jan 2017
Max open margin 46.51$
Max open risk 4.60$
Trade volume 45002$ (45411$/year)
Transaction costs -6.00$ spr, 0.43$ slp, -3.59$ rol
Capital required 88.02$

Number of trades 40 (41/year, 1/week, 0/day)
Percent winning 5.0%
Max win/loss 84.07$ / -1.60$
Avg trade profit 1.94$ 19.4p (+608.0p / -11.6p)
Avg trade slippage 0.0108$ 0.1p (+16.5p / -0.8p)
Avg trade bars 151 (+1986 / -54)
Max trade bars 3155 (27 weeks)
Time in market 100%
Max open trades 3
Max loss streak 38 (uncorrelated 85)

Annual return 89%
Profit factor 2.76 (PRR 0.70)
Sharpe ratio 0.80
Kelly criterion 0.72
Standard Deviation 112.09%
R2 coefficient 0.000
Ulcer index 48.9%

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2017 -4 22 -22 -15 -6 29 42 6 -15 -25 63 12 +89

Confidence level AR DDMax Capital

10% 111% 14 70.33$
20% 105% 16 74.21$
30% 101% 18 77.39$
40% 96% 20 81.11$
50% 93% 22 84.01$
60% 90% 24 87.42$
70% 84% 27 92.97$
80% 78% 31 100$
90% 71% 37 111$
95% 63% 44 124$
100% 56% 54 141$

Portfolio analysis OptF ProF Win/Loss Wgt%

EUR/USD .314 2.76 2/38 100.0
EUR/USD:L .735 5.22 2/21 126.7
EUR/USD:S .000 0.00 0/17 -26.7

Re: Performance Report Clarification - Number of trades [Re: aventador] #478625
11/17/19 09:15
11/17/19 09:15
Joined: Sep 2003
Posts: 865
Spirit Offline

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Spirit  Offline

Moderator

Joined: Sep 2003
Posts: 865
I would assume that trades per week means number of trades divided by number of weeks, and trades per day means number of trades divided by number of days.

Re: Performance Report Clarification - Number of trades [Re: Spirit] #478627
11/17/19 11:58
11/17/19 11:58
Joined: Nov 2018
Posts: 7
A
aventador Offline OP
Newbie
aventador  Offline OP
Newbie
A

Joined: Nov 2018
Posts: 7
Thanks spirit ..


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