Performance+

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This Performance Visualizer provides additional performance metrics, extending the built-in Performance view of Wealth-Lab 6. If you have a cool ratio to suggest, feel free to submit it on the forum.

Performance+

As calculating closed equity can get time consuming on large intraday backtests with thousands of positions, closed equity has been made optional. To see the performance metrics based on closed equity, click on "Activate closed equity" and re-run backtest. For fastest performance possible, it's recommended to de-activate it.

Features

MEGAN Ratio

The MEGAN ratio was presented by Oscar G. Cagigas in January, 2009 issue of Technical Analysis of Stocks & Commodities. See this article for more information.

Closed trade drawdown

Displays maximum drawdown based on closed trade equity, i.e. excluding unrealized trades.

Max closed trade drawdown ($) + Max closed trade drawdown ($) date
Max closed trade drawdown (%) + Max closed trade drawdown (%) date

Note: Does not apply to Buy&Hold. Reason is obvious: Buy&Hold does not have closed trades. Ignore zero values in the Buy&Hold column.

Trade statistics

Provides various trade statistics:

Total shares traded
Average one-way Commission
Performance ratio, Luck Coefficient
Pessimistic Rate of Return - a statistical adjustment of the wins to losses ratio for the purpose of estimating the worst-expected return from previous results. It is calculated as follows:

Wn = Number of Wins, Ln = Number of Losers,
AvgWinPct = Average Win %, AvgLossPct = Average Loss%

Trade Efficiency

Average entry (or exit) efficiency is defined as the sum of all maximum possible realized difference in prices from all trades that has the trade entry (or exit) price expressed as a part of the total profit potential divided by the number of trades. Average entry (or exit) efficiency shows how well a system enters into a trade (or exits from a trade.) Average total efficiency is the sum of realized differences in prices from all trades expressed as a part of the total profit potential divided by the number of trades. It shows how well the total moves of the trades has been used.

For more information, refer to the downloadable article by Leo Zamansky, Ph.D., and David C. Stendahl in Stocks & Commodities V15:10 (461-464): Evaluating System Efficiency.

Shows average Entry, Exit and Total trade efficiency.

Outlier trades

Outlier analysis is an important topic of its own and therefore should not be overlooked. An outlier trade exceeds the average trade by +/- 3 Standard Deviations, and can skew the results. The following performance metrics are reported here:

Total, positive and negative outliers
Profit of outlier trades
Select Net Profit - profit after removing the results of all outlier trades.

Risk/reward

These metrics help evaluate performance from the risk/reward standpoint:

Seykota Lake Ratio
APD Ratio, APAD Ratio
MAR Ratio
K-Ratio
Ulcer Index: in Wikipedia, article at Online Trading Concepts
Ulcer Performance Index
Sortino ratio: see Investopedia

Risk/reward ratio

All risk/reward metrics, with "Expectancy (traditional)" being the exception, require your system to have a RiskStopLevel defined:

Average risk/reward ratio
Risk/reward ratio standard deviation
Average risk/reward ratio (winning trades)
Average risk/reward ratio (losing trades)
Maximum risk/reward ratio
Minimum risk/reward ratio
Expectancy
- Uses the corrected formula from 2nd edition of "Trade Your Way to Financial Freedom". In order to use it, your system must have a RiskStopLevel defined:
```
Expectancy = ((Probability of Win * Average Win) – (Probability of Loss * Average Loss)) / Average Risk
```
Expectancy (traditional)
- Uses the old formula but is ready to use in any system w/o modification:
```
Expectancy = (Probability of Win * Average Win) – (Probability of Loss * Average Loss)
```

New highs/lows

Percentage of bars on which a new equity high is made
Longest drawdown duration
Average drawdown