Strategy report metrics
- Open P&L
- Net P&L
- Gross profit
- Gross loss
- Profit factor
- Commission paid
- Expected payoff
- Buy & hold return
- Buy & hold % gain
- Strategy outperformance
- Sharpe ratio
- Sortino Ratio
- Total trades
- Total open trades
- Winning trades
- Losing trades
- Percent profitable
- Avg P&L
- Avg winning trade
- Avg losing trade
- Ratio avg win / avg loss
- Largest winning trade
- Largest winner as % of gross profit
- Largest losing trade
- Largest loser as % of gross loss
- Avg # bars in trades
- Avg # bars in winning trades
- Avg # bars in losing trades
- Annualized return (CAGR)
- Return on initial capital
- Account size required
- Return on account size required
- Net profit as % of largest loss
- Avg margin used
- Max margin used
- Margin efficiency
- Margin calls
- Avg equity run-up duration (close-to-close)
- Avg equity run-up (close-to-close)
- Max equity run-up (close-to-close)
- Max equity run-up (intrabar)
- Max equity run-up as % of initial capital (intrabar)
- Avg equity drawdown duration (close-to-close)
- Avg equity drawdown (close-to-close)
- Max equity drawdown (close-to-close)
- Max equity drawdown (intrabar)
- Max equity drawdown as % of initial capital (intrabar)
- Return of max equity drawdown
- Max contracts held
- Even trades