SA1 - Total Trade Glossary

ICE Data Services -

Total Trade Analysis Glossary

 

Avg Trade Run-up - The average maximum profit potential of all the trades. This is a measure of the strategy's normal profit potential. The maximum run-up is the best case scenario, and the average represents the strategy�s more probable behavior.

Avg Trade DrawDown - The average maximum profit potential of all the trades. This is a measure of the strategy's normal profit potential. The maximum drawdown is the best case scenario, whereas the average represents the strategy�s more probable behavior.

Avg Trade (win & loss) - The sum of money gained or lost by the average trade generated by a strategy. Calculated by dividing the Total Net Profit by the overall number of trades. An important value since it must be large enough to cover the commission and slippage costs of trading the strategy and still bring a profit.

Average Winning Trade - The Gross Profit divided by the Number of Winning Trades that were generated in the strategy run.

Average Losing Trade - The Gross Loss divided by the number of Losing Trades that were generated in the strategy run.

Largest Consec. Profit - The largest profit of the winning series.

Largest Consec. Loss - The largest loss of the losing.

Largest Consec. Profit (%) - The relation of the Largest Consecutive profit to the strategys equity size at the moment of the profit.

Largest Consec. Loss (%) - The relation of the Largest Consecutive Loss to the strategys equity size at the moment of the loss.

Max Consec. Losers - The longest sequence of consecutive losing trades generated during the strategy run. This value lets you make a guess how long bad streaks should last. This is a valuable value for making a decision whether the strategy fits your trading style psychologically, emotionally and mentally.

Max Consec. Winners - The longest sequence of consecutive winning trades generated during the strategy run. This value can help you muster your patience during real trading - it shows that the strategy had lucky streaks during your testing period as well.

Max Trade Run-up - The largest run-up that took place on a single closed out trade. Measured as the open to the highest unrealized high of the trade for a long position, and from the open to the lowest unrealized low of the trade for a short position. The Max Run-up indicates the largest amount of reward (realized or unrealized).

Max Trade Drawdown - The largest drawdown taht took place on a single closed out trade. This version of drawdown measures the open to the lowest unrealized low of the trade for on a long position and vice versa for a short position.

Max Trade Run-up (%) - Presents the largest run-up that took place during the strategy run on a single closed out trade in percents of the equity size at the moment of the run-up. The smaller the percentage, the better.

Max Trade Drawdown (%) - Presents the largest drawdown that took place during thestratgy run on a single closed out trade in percents of the strategy�s equity size at the moment of the drawdown. The smaller the percentage, the better.

Number Winning Trades - The total number of winning trades generated by a strategy.

Number Losing Trades - The total number of losing trades generated by a strategy.

Percent Profitable - The percentage of winning trades generated by a strategy. Calculated by dividing the number of winning trades by total number of trades generated by a strategy. Percent profitable is not a very reliable measure by itself since approaches to profitability can differ. A strategy could have many small winning trades, making the percent profitable high with a small average winning trade, or a few big winning trades accounting for a low percent profitable and a big average winning trade. Many successful strategies have a percent profitability below 50% but are still profitable due to proper loss control.

Ratio Avg Win / Avg Loss - This field presents the average value of how many $ you win for every $ you lose. This is calculated by dividing the average winning trade by the average losing trade. This field is not a very meaningful value by itself, because strategies can have different approaches to profitability. A strategy may attempt trading at every possibility in order to capture many small profits yet have an average losing trade greater than the average winning trade. The higher this value is the better, but it should be regarded together with the percentage of winning trades and the net profit.

Total # of Trade - The total number of trades (both winning and losing) generated by a strategy. The total number of trades is important for a number of reasons. For example, no matter how large is the strategy's net profit, one must be sure the value is staistically valid, i.e. the number of trades is large enough. Also important is the relation between the number of trades and time; even good, profitable trades may be taking place too rarely or too frequently for your needs.

Total # of Outlier Trades - The number of outliers. Outliers or outlying trades are those that exceed the average trade by a significant value (plus or minus three (3) standard deviations).

Total # of Open Trades - The number of positions currently opened.