Trade statistics (system test)
Module "Advanced Technical Analysis"
This key figure group from the system test profile relates to statistical evaluations of individual trades. They are calculated separately for the quantity of long trades, short trades and all trades.
| Key figure | Description |
|---|---|
Number of trades (per year) | Number of trades in the evaluation period and number of trades per year. |
Proportion of exits due to limit termination | Indicates the extent to which the limit strategy determined the exit. |
Average trading length (in periods) | Average investment duration of trades in periods. |
Share of invested periods | Proportion of periods in the evaluation period in which the system was invested. |
Trades with profit | Number or proportion of trades that were concluded at a profit, including expenses. |
Average return per trade | Average of the percentage profits incl. expenses of all trades. |
Maximum/minimum return per trade | Maximum or minimum of the percentage profits including expenses of all trades, i.e. largest profit and largest loss. |
Standard deviation of return values per trade | The standard deviation describes how strongly the return values fluctuate around their mean value. In general, profits should be as even as possible, i.e. small values are desirable. |
Average return per profit/loss trade | Average of the percentage profits incl. expenses of all trades that closed separately with a profit or loss. |
Profit-loss ratio | Ratio of average gains to average losses. Trading systems should have a win-loss ratio of at least 2, i.e. on average, winning trades were concluded with twice as much profit as losing trades with losses. Profitable systems can come about through an extreme win-loss ratio with a poor hit rate as well as through a poor win-loss ratio and a significant hit rate. In balanced systems, both key figures have acceptable values. |
Profit factor | Ratio of the sum of profit returns to the sum of loss returns. The profit factor should also have a value of at least 2. Good traders achieve values of 4. The profit factor is the product of the win-loss ratio and the hit rate. |
Maximum drawdown per trade | Maximum book loss accepted within a trade. This can be unacceptably high, especially for strategies that work without limits. |
Average drawdown per trade | Average (unrealized) book loss accepted within the trades. Measure of the risks taken by a trading system. |