SA2 - Trade Analysis Tab Glossary

ICE Data Services -

 

Trade Analysis Tab

 

 

Total Trade Analysis


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

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.

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 profits divided by the number of winning trades generated by a strategy.

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

Ratio Avg Win / Avg Loss - 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.

Largest Winning Trade - The largest winning trade generated by a strategy. This number should be compared with the Total Net Profit field and with the average winning trade. If the Largest Winning trade is significantly greater than the average wining trade, and it constitutes a large portion of your total net profit, then the strategy could be considered unsound. A strategy that is statistically valid should not rely on one lucky trade.

Note. Some trading strategies are designed to capture big trends and ignore smaller moves. These type of strategies will usually have large values in this field because the are designed to capture big moves.

Largest Losing Trade - The largest losing trade generated by a strategy. The largest losing trade is a great starting point when improving your trading strategies. A value that is significantly greater than the average losing trade would indicate that there is a flaw in your strategy, and this trade should be examined and corrected before proceeding.

Avg # Bars in Trade - The average number of bars that elapsed during trades for all closed trades.

Avg # Bars in Winning Trades - The average number of bars that elapsed during trades for all closed trades.

Avg # Bars in Losing Trades - The average number of bars that elapsed during trades for all closed trades.

Avg # Bars Between Trades - The average number of bars that elapsed between trades for all closed trades.

Avg # Bars Between Winning Trades - The average number of bars that elapsed between trades for all closed trades.

Avg # Bars Between Losing Trades - The average number of bars that elapsed between trades for all closed trades.

 

 

Outliers


1 Std. Deviation of Avg. Trade - Displays the set number of Std. Deviations of Avg. Trade.

Avg. Trade + 1 Std. Deviation - Displays Avg. Trade + the set number of Std. Deviations.

Avg. Trade - 1 Std. Deviation - Displays Avg. Trade - the set number of Std. Deviations.

Number of Outliers - Displays the total number of trades not within the normal range of Profit or Loss for the Strategy. An outlier is defined as a trade which does not appear to fall within the expected range (of the set number of standard deviations) for all trades.

Outlier Profit/Loss - Displays the profit or loss for all outliers during the specified period

 

 

Run-up / Drawdown


Max Value - Displays the maximum profit or loss that occurred across all the trades.

Max Value Date - Displays the date on which maximum profit or loss occurred across all the trades.

Avg Value - Displays the average profit or loss that occurred across all the trades.

Max Value (%) - Displays the maximum percent profit or loss that occurred across all the trades.

Max Value (%) Date - Displays the date on which maximum percent profit or loss occurred across all the trades.

1 Std. Deviation - Standard deviation.

Avg + 1 Std. Deviation - Avg + Standard deviation.

Avg - 1 Std. Deviation - Avg - Standard deviation.

 

 

Trade Series Analysis


Z-Score - The runs test will tell us if our system has more (or fewer) streaks of consecutive wins and losses than a random distribution. The runs test is essentially a matter of obtaining the Z scores for the win and loss streaks of a systems trades. A Z score is how many standard deviations you are away from the mean of a distribution. Thus, a Z score of 2.00 is 2.00 standard deviations away from the mean (the expectation of a random distribution of streaks of wins and losses).

Confidence Limits - The Z score is then converted into a confidence limit, sometimes also called a degree of certainty. The area under the curve of the Normal Probability Function at 1 standard deviation on either side of the mean equals 68% of the total area under the curve. So we take our Z score and convert it to a confidence limit, the relationship being that the Z score is a number of standard deviations from the mean and the confidence limit is the percentage of area under the curve occupied at so many standard deviations.

Strategy ME - By the same token, you are better off not to trade unless there is absolutely overwhelming evidence that the market system you are contemplating trading will be profitable-that is, unless you fully expect the market system in question to have a positive mathematical expectation when you trade it realtime. Mathematical expectation is the amount you expect to make or lose, on average, each bet.

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 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.

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

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

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

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