Ratios
| Avg Loss/Avg Profit Ratio | The average loss per losing position as a proportion of the average profit per position = Avg Loss/Losing Position / Avg Trading Profit/Position |
| Avg Monthly Return* | Sum of the monthly returns in the period, divided by the number of months in the period |
| Benchmark Returns | The return from the benchmark security, over the reporting period. |
| CAGR* | Compound annual percentage change from Capital At Start (ex-flows) at start of period to Capital At End (ex-flows) at end of period, where the period is given by Years Account Open during the report period |
| Capital Growth* | Percentage change from Capital At Start (ex-flows) at start of period to Capital At End (ex-flows) at end of period |
| Dividend Yield | The ratio of the Dividends value to the Total Cost of the position(s), expressed as a percentage |
| Dividend/Trading Profit | The ratio of the Dividends value to the Total Trading Profit, expressed as a percentage |
| Excess Return vs Benchmark* | The extra return generated by your trading system, relative to the benchmark index, over the reporting period (i.e. the system’s return minus the benchmark’s return). |
| Max Capital Utilisation | Maximum % of capital invested in positions on any one day during the reporting period |
| Date Of Max Capital Utilisation | Date when maximum capital was invested |
| Max Drawdown/Avg Profit Ratio | Maximum capital draw-down in the period, divided by the average profit per position = Max Draw-Down / Avg Trading Profit/Position. This is a measure of the number of winning or losing positions that would need to occur to recover from the maximum capital draw-down. If the result is negative, then no average profits were generated |
| Max Loss As % Of Capital | Maximum percentage loss (for any one position), expressed as a percentage of total, unadjusted capital at the start of the day it was sold (closed positions) or the final, unadjusted capital in the period (open positions). This is a measure of the most pain that would have been felt from any single position. |
| Max Loss As % Of Profit | Maximum loss on any single position, expressed as a percentage of the total profit in the account (or across all accounts for ‘All Data’). This is a measure of the threat posed to the trading system’s returns by any one loss. |
| % Shares Giving 80% Of Gains | The number of shares with the greatest gains in a (sub-)period (whose total gains account for >= 80% of the total gains from all shares in the period), divided by the number of all traded shares in the period (profitable or not), expressed as a percentage. Both open and closed positions are included. This measures the breadth of profit sources in your system. If your system depends on a small minority of shares for the vast proportion of its profits, then it may be unlikely to work well in the future, if these or similar shares are no longer available to trade. |
| % Shares Giving 80% Of Losses | The number of shares with the greatest losses in a (sub-)period (whose total losses account for >= 80% of the total losses from all shares in the period), divided by the number of all traded shares in the period (profitable or not), expressed as a percentage. Both open and closed positions are included. This measures the breadth of loss sources in your system. If your system gets the vast proportion of its losses from a very small minority of shares, then it may well work better in the future, if these or similar shares were filtered out. |
| % Positions Giving 80% Of Gains | The number of positions with the greatest gains in a (sub-)period (whose total gains account for >= 80% of the total gains from all positions in the period), divided by the number of all positions in the period (profitable or not), expressed as a percentage. Both open and closed positions are included. This measures the breadth of profit sources in your system. If your system depends on a small minority of positions for the vast proportion of its profits, then it may be unlikely to work well in the future, if such positions are unlikely to be repeated. |
| % Positions Giving 80% Of Losses | The number of positions with the greatest losses in a (sub-)period (whose total losses account for >= 80% of the total losses from all positions in the period), divided by the number of all positions in the period (profitable or not), expressed as a percentage. Both open and closed positions are included. This measures the breadth of loss sources in your system. If your system gets the vast proportion of its losses from a very small minority of positions, then it may well work better in the future, if such positions are unlikely to be repeated. |
| Portfolio Beta* | The co-variance of the portfolio’s monthly returns and the monthly returns from the benchmark security, over the same period, divided by the variance of the monthly returns from the benchmark security. Beta < 1 indicates the portfolio’s returns are less volatile than the benchmark’s; while a Beta > 1 indicates the portfolio’s returns are more volatile. |
| Profitable Positions % | Percentage of all positions in the period that generated a profit = (Number Of Winning Positions / Number Of Positions)) x 100 |
| Profitable Shares % | Percentage of all shares traded in the period that generated a profit = (Number Of Winning Shares Traded / Number Of Shares Traded) * 100 |
| Profit Factor | Ratio of profits to losses = Total Gain / Total Loss |
| ROI | Return on Investment = (Total Trading Profit (all positions) / Total Cost (all positions)) * 100 |
| Sharpe Ratio (risk free)* | The Sharpe Ratio, invented by William F Sharpe in 1966, is the Avg Monthly Return, minus the risk-free rate (defined in Report Settings, this is the nominal interest available from a ‘risk-free’ institution such as the Bank of England), divided by the standard deviation of the portfolio’s monthly returns. It is a measure of the returns from a portfolio, relative to the risk taken to get those returns. A higher Sharpe ratio implies a higher return relative to risk, as expressed by the volatility of that risk. So a Sharpe ratio < 1 indicates the actual return in any month may be swamped by the ‘average variation’ (i.e. the risk) in those returns, so is less likely to reflect the Avg Monthly Return. Conversely, a Sharpe Ratio >> 1 indicates the actual return in a month is more likely to resemble the Avg Monthly Return, as the ‘average variation’ in the return is much smaller relative to the Avg Monthly Return. |
| Sharpe Ratio (benchmark)* | This is calculated in the same way as the Sharpe Ratio (risk free), except that it is based on the excess returns relative to the returns from the specified benchmark security, such as a market index |
| Treynor Performance Index* | Like the Sharpe Ratio, this is a measure of the returns from a portfolio, relative to the extra risk taken to get those risks. It is calculated as the Avg Monthly Return, minus the risk free rate, divided by the Beta of the benchmark security. So unlike the Sharpe Ratio, which is relative to the portfolio return risk, the risk measure used by the Treynor Index is the market risk, expressed by the Beta of the benchmark security’s returns. |
| Volatility Of Monthly Returns* | The standard deviation of the natural logarithm of the monthly returns. It is often interpreted as the degree of uncertainty, or risk, associated with the returns. |
| Trading Charge Drag % | Total trading charges as a percentage of the frictionless profits that would have resulted if there were no trading charges = (Total Trading Charges / (Total Trading Charges + Total Trading Profit (all positions))) * 100 if Total Trading Profit (all positions) >= 0, or “—” if Total Trading Profit (all positions) < 0 Note that drag may be much higher than charges expressed as a percentage, such as broker or forex commissions. This is because the charges are on the whole buy or sell cost, while drag is only on the profit. For example, consider a trade in a US dollar denominated share, using a sterling trading account: Buy at £5000 with %1 forex commission (£50). Sell at £6000 with 1% commission (£60) → Drag = (50 + 60) / (50 + 60 + 6000 – 5000) = 110 / 1110 = 9.9% i.e. a 1% + 1% = 2% charge on sum invested, gets turned into a nearly 10% drag on profits! |
| Trade Efficiency | The Total Gain (i.e. from all realised or unrealised profitable positions), as a percentage of the total long position profit that could have been achieved if the positions had been entered at the lowest low during the trade period, and exited at the highest high = (Total Gain / potential long profit) x 100. This is a measure of the effectiveness of the trading system’s entry and exit tactics i.e. whether it buys too early, or sells too late. Note that the profit includes dividends (if selected) so it is possible for the efficiency to be > 100%. For an efficiency figure that truly reflects entry/exit efficiency, exclude dividends from the report. |
| Winning Position/Losing Position Ratio | The ratio of the number of winning trades to losing trades = Number Of Winning Positions / Number Of Losing Positions |
| Winning Share/Losing Share Ratio | The ratio of the number of profitably traded shares to unprofitably traded shares = Number Of Winning Shares Traded / Number Of Losing Shares Traded |
* Parameters with an asterisk are calculated inclusive of paid dividends (irrespective of the ‘Dividends are:’ report setting), while gains and returns are adjusted to remove the distortions caused by cash deposits and withdrawals and cash-free share additions and removals. This latter adjustment provides an accurate picture of the gains and returns generated solely by your trading system
