Trading system evaluation objects are used to evaluate trading systems in the system test. They provide key figures for a trading sequence over an evaluation period and for one security at a time.
Trading system rating.AVGConsecutiveLosing→number
Result: The AVGConsecutiveLosing function returns the average length of loss series (sequence of losing trades).
Trading system rating.AVGConsecutiveWinning→number
Result: The AVGConsecutiveWinning function returns the average length of winning series (sequence of winning trades).
Trading system valuation.AVGDrawDownPerTrade→number
Result: The AVGDrawDownPerTrade function returns the average unrealized loss sustained in a trade (total).
Trading system valuation.AVGDrawDownPerTradeLong→number
Result: The AVGDrawDownPerTradeLong function returns the average unrealized loss sustained in a trade (long).
Trading system valuation.AVGDrawDownPerTradeShort→number
Result: The AVGDrawDownPerTradeShort function returns the average unrealized loss sustained in a trade (short).
Trading system rating.AVGTradeReturn→number
Result: The AVGTradeReturn function returns the average of the individual profits of the trades (total).
Trading system valuation.AVGTradeReturnLong→number
Result: The AVGTradeReturnLong function returns the average of the individual profits of the trades (long).
Trading system valuation.AVGTradeReturnShort→number
Result: The AVGTradeReturnShort function returns the average of the individual profits of the trades (short).
Trading system valuation.AVGLosingReturn→number
Result: The AVGLosingReturn function returns the average of the individual losses of the losing trades (total).
Trading system valuation.AVGLosingReturnLong→number
Result: The AVGLosingReturnLong function returns the average of the individual losses of the losing trades (long).
Trading system valuation.AVGLosingReturnShort→number
Result: The AVGLosingReturnShort function returns the average of the individual losses of the losing trades (short).
Trading system rating.AVGWinningReturn→number
Result: The AVGWinningReturn function returns the average of the individual winnings of the winning trades (total).
Trading system rating.AVGWinningReturnLong→number
Result: The AVGWinningReturnLong function returns the average of the individual winnings of the winning trades (long).
Trading system rating.AVGWinningReturnShort→number
Result: The AVGWinningReturnShort function returns the average of the individual winnings of the winning trades (short).
Trading system valuation.BuyAndHoldMaxDrawDown→number
Result: The BuyAndHoldMaxDrawDown function returns the maximum total loss incurred by the "Buy & Hold" strategy in the evaluation period.
Trading system valuation.BuyAndHoldMaxPushUp→number
Result: The BuyAndHoldMaxPushUp function returns the maximum unrealized profit that the "Buy & Hold" strategy has in the interim during the evaluation period.
Trading system valuation.BuyAndHoldReturn→number
Result: The BuyAndHoldReturn function provides the performance of the "Buy & Hold" strategy in the evaluation period.
Trading system evaluation.EvalPeriodPeriods→number
Result: The EvalPeriodPeriods function returns the length of the evaluation period in periods.
Trading system evaluation.EvalPeriodYears→Number
Result: The EvalPeriodYears function returns the length of the evaluation period in years.
Trading system evaluation.EvalPeriodStart→Date
Result: The EvalPeriodStart function returns the start date of the evaluation.
Trading system evaluation.EvalPeriodEnd→Date
Result: The EvalPeriodEnd function returns the end date of the evaluation.
TradingSystemRating[From;To]→TradingSystemRating
From (date [two years ago to]).
Until (date [current date]).
Result: The TradingSystemValuation function provides a trading system valuation object for the trading system.
Trading system valuation.maximumConsecutiveLosing→number
Result: The MaximalConsecutiveLosing function returns the length of the maximum loss series (sequence of losing trades).
Trading system rating.maximumConsecutiveWinning→number
Result: The MaximalConsecutiveWinning function returns the length of the maximum winning streak (sequence of winning trades).
Trading system valuation.MaximumDrawDownPerTrade→number
Result: The MaximalDrawDownPerTrade function returns the maximum unrealized loss sustained in a trade (total).
Trading system valuation.MaximumDrawDownPerTradeLong→number
Result: The function MaximalDrawDownPerTradeLong returns the maximum unrealized loss that was sustained in a trade (long).
Trading system valuation.MaximumDrawDownPerTradeShort→number
Result: The MaximalDrawDownPerTradeShort function returns the maximum unrealized loss that was sustained in a trade (short).
Trading system valuation.maximumTradeReturn→number
Result: The MaximalTradeReturn function returns the largest single profit of a trade (total).
Trading system valuation.maximumTradeReturnLong→number
Result: The MaximalTradeReturnLong function returns the largest single profit of a trade (long).
Trading system valuation.MaximumTradeReturnShort→number
Result: The MaximalTradeReturnShort function returns the largest single profit of a trade (short).
Trading system valuation.MinimalTradeReturn→number
Result: The MinimalTradeReturn function returns the largest single loss of a trade (total).
Trading system valuation.MinimalTradeReturnLong→number
Result: The MinimalTradeReturnLong function returns the largest single loss of a trade (long).
Trading system valuation.MinimalTradeReturnShort→number
Result: The MinimalTradeReturnShort function returns the largest single loss of a trade (short).
Trading system valuation.LimitExitCount→number
Result: The LimitExitCount function returns the number of trades that were terminated with a limit abort (total).
Trading system valuation.LimitExitCountLong→number
Result: The LimitExitCountLong function returns the number of trades that were terminated with a limit abort (long).
Trading system valuation.LimitExitCountShort→number
Result: The LimitExitCountShort function returns the number of trades that were terminated with a limit abort (short).
Trading system rating.LosingTradesCount→Number
Result: The LosingTradesCount function returns the number of losing trades (total).
Trading system evaluation.LosingTradesCountLong→Number
Result: The LosingTradesCountLong function returns the number of losing trades (long).
Trading system rating.LosingTradesCountShort→number
Result: The LosingTradesCountShort function returns the number of losing trades (short).
Trading system valuation.OptimalPeriodsInCount→Number
Result: The OptimalPeriodsInCount function returns the number of periods in which the optimal trading system was invested.
Trading system valuation.OptimalReturn→number
Result: The OptimalReturn function provides the profit that an optimal trading system would achieve over the evaluation period with reinvestment of the profits.
TradingSystemValuation.OptimalReturnWithoutReinvestment→Number
Result: The OptimalReturnWithoutReinvestment function provides the profit that an optimal trading system would achieve on the evaluation period without reinvesting the profits.
Trading system valuation.PeriodsInCount→Number
Result: The PeriodsInCount function returns the number of periods in which the trading system was invested (total).
Trading system valuation.PeriodsInCountLong→Number
Result: The PeriodsInCountLong function returns the number of periods in which the trading system was invested (long).
Trading system valuation.PeriodsInCountShort→Number
Result: The PeriodsInCountShort function returns the number of periods in which the trading system was invested (short).
Trading system valuation.ProfitFactor→number
Result: The ProfitFactor function returns the profit factor (total).
Trading system valuation.ProfitFactorLong→number
Result: The ProfitFactorLong function returns the profit factor (long).
Trading system valuation.ProfitFactorShort→number
Result: The ProfitFactorShort function returns the profit factor (short).
Trading-System-Valuation.State→PaymentwithTime
Result: The State function returns the state (0=out, 1=long, -1=short) that the trading system assumes at the end of the evaluation period. The time supplied is the date on which the condition was assumed.
Trading system valuation.STDLosingReturn→number
Result: The STDLosingReturn function returns the standard deviation of the individual profits of the losing trades (total).
Trading system valuation.STDLosingReturnLong→number
Result: The STDLosingReturnLong function returns the standard deviation of the individual profits of the losing trades (long).
Trading system valuation.STDLosingReturnShort→number
Result: The STDLosingReturnShort function returns the standard deviation of the individual profits of the losing trades (short).
Trading system valuation.STDTradeReturn→number
Result: The STDTradeReturn function returns the standard deviation of the trade profits (total).
Trading system valuation.STDTradeReturnLong→number
Result: The STDTradeReturnLong function returns the standard deviation of trade profits (long).
Trading system valuation.STDTradeReturnShort→number
Result: The STDTradeReturnShort function returns the standard deviation of the trade profits (short).
Trading system valuation.STDWinningReturn→number
Result: The STDWinningReturn function returns the standard deviation of the individual winnings of the winning trades (total).
Trading system valuation.STDWinningReturnLong→number
Result: The STDWinningReturn function returns the standard deviation of the individual winnings of the winning trades (long).
Trading system valuation.STDWinningReturnShort→number
Result: The STDWinningReturn function returns the standard deviation of the individual winnings of the winning trades (short).
Trading system valuation.TotalCharge→Number
Result: The TotalCharge function returns the total of all charges.
Trading system valuation.totalIncomeInterest→number
Result: The TotalIncomeInterest function returns the sum of all interest payments.
Trading system valuation.TotalMaximalDrawDown→number
Result: The TotalMaximalDrawDown function returns the maximum unrealized total loss that the trading system has incurred in the evaluation period.
Trading system valuation.totalReturn→number
Result: The TotalReturn function provides the total percentage performance of the system over the evaluation period with reinvestment of profits.
Trading system valuation.totalReturnWithoutReinvestment→number
Result: The TotalReturnWithoutReinvestment function provides the total percentage performance of the system over the evaluation period without reinvestment of profits.
Trading system valuation.TradesCount→number
Result: The TradesCount function returns the number of trades (total).
Trading system valuation.TradesCountLong→Number
Result: The TradesCountLong function returns the number of trades (long).
Trading system valuation.TradesCountShort→number
Result: The TradesCountShort function returns the number of trades (short).
Trading system rating.WinningTradesCount→Number
Result: The WinningTradesCount function returns the number of winning trades (total).
Trading system rating.WinningTradesCountLong→Number
Result: The WinningTradesCountLong function returns the number of winning trades (long).
Trading system rating.WinningTradesCountShort→Number
Result: The WinningTradesCountShort function returns the number of winning trades (short).