Performance+

Modified on 2016/08/29 10:25 by Eugene — Categorized as: Visualizers

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.


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

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


E-Ratio - Popularized by Curtis Faith, e-ratio is the sum of Maximum Favorable Excursion % of all trades divided by the sum of Maximum Adverse Excursion % of all trades. The higher the ratio, the more trades move in your favor and the higher the entry point's potential.

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.

To avoid outliers in efficiency analysis, a companion performance metric can be used to determine whether the standard deviation of efficiency is high compared with the average efficiency:

Coefficient of Variation = Standard Deviation / Average (in %)

If it is, the system should benefit from a better entry/exit timing and the smaller it is, the more consistent is trading efficiency of the system.


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:


Second block of outlier results feature same metrics but percentage-adjusted i.e. using standard deviation of trade percentages. Outliers based on standard deviation of profit percent present a more adequate calculation on longer backtest ranges. For more information refer to this forum thread: Performance+ Outlier Trades Discussion and Request

Risk/reward

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


Risk/reward ratio

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


Risk of ruin

Modified risk of ruin formula by Ralph Vince from Perry Kaufman's book "New Trading Systems and Methods" (4th ed. 2005).

Risk of Ruin = ((1 - P)/P)^(MaxRisk/A),
where:
A is the square root of the sum of the squares of possible events, (ProbWin*AvgWin%^ 2 + ProbLoss*AvgLoss%^2) ^ (1/2)

New highs/lows