Performance Summary
The performance summary tab provides detailed backtest data that can be used to optimize strategies.
Last updated
The performance summary tab provides detailed backtest data that can be used to optimize strategies.
Last updated
Overall profit or loss achieved across trades. Increasing this value by increasing and decreasing is a primary aim of .
The maximum possible win that the strategy could have incurred among all of the trades it has made.
Sharpe Ratio Formula:
SR = (AR - RFR) / SD, where AR = average return, RFR is the risk-free rate of return and SD is the standard deviation of returns.
TradingView calculates AR and SD on daily returns. The risk-free rate refers to a theoretical zero-risk investment, typically associated with treasury or government bonds in a low-interest environment. RFR is generally set at 2% annual growth by default.
Optimizing Sharp Ratio
The Sortino Ratio is calculated as SR = (AR - RFR) / DD, where AR is the actual return, RFR is the risk-free rate of return, and DD is the downside deviation (volatility on negative returns).
Gross profit divided by gross loss. A Profit Factor <1 means a strategy is sustaining more loss than profit. A Profit Factor >2 is desirable.
The maximum number of contracts held at any one time.
The sum of the commission paid. Slippage is not included.
The total number of closed trades generated by a strategy.
The number of entries currently opened.
The total number of winning trades over the backtesting period.
The total number of losing trades generated by a strategy.
The percentage of winning trades generated by a strategy. Calculated by dividing the number of winning trades by the total number of closed trades generated by a strategy.
The average profit per closed trade. A high Avg Trade value is desirable to adequately reward the risk associated with each trade.
The Gross Profit divided by the number of Winning Trades generated by a strategy.
The Gross Loss divided by the number of Losing Trades generated by a strategy.
The average value of how many currency units won for every unit you lost. This is calculated by dividing the average winning trade by the average losing trade.
The most profitable trade in the test period.
The largest losing trade in the test period.
The average number of bars that elapsed during trades for all winning trades.
The average number of bars that elapsed during trades for all losing trades.
The total number of margin calls generated by a strategy.
In addition to optimizing algorithms, can be increased through the effective use of , , and to secure profits on winning trades.
Similarly, can be decreased by reducing and effective use of to limit losses on losing trades.
See the section for further details.
The total profit across all winning trades. Gross Profit can be increased through algorithm optimization and effective use of , , and to secure profits on winning trades.
See the section for further details.
The total loss across all losing trades. Gross Loss can be increased through optimizations that reduce and effective use of limit losses on losing trades.
See the section for further details.
The greatest drawdown across the backtest period relative to the highest .
Reducing Max Drawdown should be a primary aim of . A strategy susceptible to large drawdowns presents a greater risk of loss.
elements such as , , , and should be employed to protect account from .
Reducing Max Drawdown often improves the 'risk performance' of a strategy as measured by the and .
This is the theoretical return from using all to buy and hold the asset at the start of the backtest period.
The Sharpe Ratio measures the risk per unit of return or 'risk performance' of a strategy. A strategy with a ratio <1 may prove volatile and presents a high risk for the expected return, while a ratio >2.0 indicates lower volatility and risk. Regardless of the risk performance of a strategy, effective is essential for limiting potential losses.
of a strategy should be a primary aim of . Any optimization that increases daily returns or decreases the variability in returns will increase the Sharp Ratio. See the section for details.
The Sortino Ratio is a variation of the . that focuses specifically on downside risk.
A high Sortino ratio is associated with low downside risk relative to returns and vice versa. Regardless of the Sortino Ratio, effective is a crucial part of any trading strategy.
The profit or loss for the current open position. This data is represented graphically in the .
fees can be customized using the Trade Account Emulation Features in the .
A strategy with a high Precent Profitable value will return a high if the value is high and appropriate is applied secure profit and limit losses from . Similarly, a strategy with a low Percent Profitable can also return a high Net Profit if is applied carefully.
Increasing the period positions remain open and appropriate use of can increase and .
