SA2 - Graphs Tab Glossary

ICE Data Services -

Graphs Tab

 

 

Equity Graphs


Equity Curve Detailed - This graph offers greater insight into trading performance than a general equity curve graph. It displays net profit on a bar-by-bar basis revealing equity drawdowns and run-ups. Flat or non-trading periods are also shown to present a detailed overview of equity performance.

Equity Curve Detailed with Drawdown - This graph is the same Equity Curve Detailed with additional sub graphs displaying the drawdown during the period in total dollars and percentage.

Equity Run-Up and Drawdown - This graph displays the total Run-up and total Drawdown during the trading period in dollars.

Equity Run-Up and Drawdown (%) - This graph displays the total Run-up and total Drawdown during the trading period in percentage.

Equity Curve Close to Close - This graph displays cumulative equity (in $) for all closed trades during the trading period.

Equity Curve Close to Close with Drawdown - This graph displays cumulative equity (in $) for all closed trades during the trading period as well as two sub graphs with the cumulative drawdowns in dollars and percentage.

Buy & Hold Return - This graph displays the cumulative profit or loss in dollars based on a buy and hold strategy over the same period.

Monthly Returns and Drawdowns - This graph displays the total profit or loss, the maximum Run-up and Drawdown in dollars for each month during the period.

Monthly Returns and Drawdowns (%) - This graph displays the total profit or loss, the maximum Run-up and Drawdown in percentage for each month during the period.

Monthly Accumulative Net Profit - This graph represents the cumulative equity of the strategy on a monthly basis.

Value Added Monthly Index - This graph tracks the monthly performance of a hypothetical $1000 dollar investment (Prev VAMI x (1 + Current Rate of Return) ).

Average Profit By Month - This graph shows a strategy's individual monthly returns in $ (by month in a year). The average returns per month serve as a general seasonal overview of trading performance.

Annual Returns and Drawdowns - This graph displays the total profit or loss, the maximum Run-up and Drawdown in dollars for each year during the period.

Annual Returns and Drawdowns (%) - This graph displays the total profit or loss, the maximum Run-up and Drawdown in percentage for each year during the period.

Annual Accumulative Net Profit - This graph displays the cumulative net profit on an annual basis for the trading period.

 

 

Trade Graphs


Total Trades - This graph illustrates the profit in $ vs. Trade Number for all trades. Blue line stands for the average profit/loss. When the strategy has outlier trades, they are represented with large dots, in green (positive) or red (negative).

Winning Trades - The Winning Trades graph displays profit in $ vs. Trade Number for all winning trades for the open report. When the strategy has outlier trades, they are represented with large dots.

Losing Trades - The Losing Trades graph displays profit in $ vs. Trade Number for all losing trades for the open report. When the strategy has outlier trades, they are represented with large dots.

Drawdown - The Drawdown graph illustrates each trade's drawdown vs. Trade Number for all trades in the Strategy Analyzer Report.

Drawdown P/L - This graph displays each trade's drawdown together with Realized Profit/Loss in $ vs. Trade Number in a bar graph format. The smaller the bar, the closer the trade was to its individual maximum drawdown. Winning trades are displayed in green, losing trades in red.

Maximum Adverse Excursion - This graph is best used to determine protective money management stops for a trading strategy. It graphs each trade's realized Profit/Loss vs. Drawdown in a scatter graph format. The green up arrows represent winning trades and the red down arrows represent losing trades. Look to place a protective stop in an area that captures the majority of winning trades while simultaneously limiting the strategy's exposure to large drawdowns.

Maximum Adverse Excursion, % - Produces the Maximum Adverse Excursion graph, but uses percentages rather than dollar amounts. This graph is best used for longer-term evaluations.

Run-Up - The Run-up graph displays each trade's run-up vs. Trade Number for all trades in the Strategy Analyzer Report.

Run-Up P/L - Graphs each trade's run-up to realized profit distance in bar graph format. The smaller the bar, the closer the trade was to its individual maximum run-up. Winning trades are displayed in green, losing trades in red.

Maximum Favorable Excursion - This graph is best used to determine trailing stops for a trading strategy. The Maximum Favorable Excursion graph shows the realized Profit/Loss vs. Drawdown in a scatter graph format. The green up arrows represent winning trades, and the red arrows represent losing trades. Look to place a trailing stop in an area that captures the majority of winning trades while simultaneously limiting the strategy's exposure to profit erosion. For more information on Maximum Favorable Excursion, refer to the book Campaign Trading by John Sweeney.

Maximum Favorable Excursion, % - Produces the Maximum Favorable Excursion graph, but uses percentages rather than dollar amounts. This graph is best used for longer-term evaluations.