Functions on trading system reviews

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).