General key figures (system test)
Module "Advanced Technical Analysis"
| Key figure | Description |
|---|---|
Evaluation period | Length of the evaluation period in years. |
Current status | Status (long, short, out) of the trading system at the end of the evaluation period. |
Periods | Length of the evaluation period in time series periods. |
Invested periods | Proportion of periods in the evaluation period in which the system was invested. |
Performance or return (per year, per period) | The percentage overall performance of the trading system over the evaluation period. The individual results of the trades are cumulated, i.e. 100% of the current assets are invested in each case. This key figure is also annualized and reported per period. |
Return buy & hold (per year, per period) | Performance of the "buy & hold" strategy over the period under review, i.e. the security is held over the entire period. Expenses and slippage for buying and selling are charged. |
Return Optimal System (per year, per period) | In addition to comparing the trading system with Buy & Hold, it also makes sense to carry out a performance comparison with an optimal trading system. This shows how much potential a trading system exploits in the volatility of prices. Your Infront Portfolio Manager calculates signals for an optimal trading system on the period under review, taking into account interest, expenses and slippage, i.e. out phases are preferred if the costs and interest losses exceed the price gains. Since an optimal trading system only executes winning trades, the profits are extremely potentiated in the cumulative performance analysis. |
Return without reinvestment (per year, per period) | A second overall performance analysis is carried out without reinvesting the trading profits. When determining the investment size at trade opening, a distinction must be made as to whether the trading system as a whole is in the loss zone or in the profit zone. In the loss zone, the available residual capital is invested; in the profit zone, the starting capital is invested and interest is paid on profits above the starting capital. This key figure is calculated for the trading system and the optimum system. |
Performance comparison with Buy & Hold | Difference in performance compared to the "buy & hold" strategy over the evaluation period. The "buy & hold" strategy should be outperformed by the trading system in any case (which can also mean being less lossy). |
Yield | Yield is defined as the share of non-cumulative trading system performance in non-cumulative optimal performance. If the trading system makes a loss overall, this proportion is 0, as the optimal system cannot lose, i.e. it has a positive return. |
Total expenses | Total expenses paid in the evaluation period. This figure relates to the cumulative investment mode. |
Total interest | Interest payments received in the evaluation period. This figure relates to the cumulative investment mode. |
Maximum drawdown | Minimum of the performance curve in the evaluation period. This key figure shows the losses that had to be absorbed in the period under review, i.e. the total risks borne. Good trading systems should be better than buy & hold. |
Max. Drawdown Buy & Hold | The maximum temporary loss of the "buy & hold" strategy. |
Longest winning streak, longest losing streak | A winning or losing series is an unbroken sequence of winning or losing trades. Long losing streaks are psychologically worrying because they require stamina and undermine confidence in the trading system. |
Average winning streak, average losing streak | The average values of the lengths of win and loss series. |