Strategy performance statistics

The following system variables can be evaluated in the script or the objective or evaluate function. Some become available only at the end of a simulation or a live trading session, so they are only available to objective or evaluate. Other variabes are updated at any bar during the test or live session, and thus can be evaluated in the script and affect the algorithm. There is also a set of trade statistics that can be evaluated anytime. The statistics variables can be used for calculating individual performance metrics, and printing them to the performance report.
 

DrawDownMax

Maximum drawdown, the largest difference between a balance peak and the lowest subsequent equity valley during the simulation period, in account currency units. Updated at any bar.

DrawDownPercent

Maximum drawdown as above, in percent of the preceding balance peak. Updated at any bar.

MAEDepth

Maximum adverse excursion, the largest difference between an equity peak and the lowest subsequent equity valley during the simulation period, in account currency units. Updated at any bar.

AEDepth

Current adverse excursion, the difference between the last equity peak and the current equity value, in account currency units. Updated at any bar.

MarginMax

Maximum margin sum of open trades during the simulation period, in account currency units. Updated at any trade.

RiskMax

Maximum possible loss sum of all open trades during the simulation period, in account currency units. The possible loss is calculated by the stop loss distance of a trade, or estimated at 10% of the price if no stop loss was used. Updated at any trade.

SpreadCost

Total loss by bid-ask spreads during the simulation period, in account currency units. Updated at any trade.

SlippageCost

Total win or loss by simulated slippage during the simulation period, in account currency units. Updated at any trade.

RollCost

Total win or loss by rollover and margin interest during the simulation period, in account currency units. Updated at any trade.

CommissionCost

Total loss by commissions during the simulation period, in account currency units. Updated at any trade.

InterestCost

Total loss by interest charged by the broker. Updated any day.

ReturnMean

Mean of all bar returns on investment. The bar return on investment is the equity difference to the previous bar, divided by Capital. If Capital is not set, the sum of normalized maximum drawdown and maximum margin is used. Only for bars with open positions, and only available at the end.

ReturnStdDev

Standard deviation of all bar returns on investment. Can be used together with ReturnMean for calculating performance metrics, such as Sharpe Ratio (see examples). Only available at the end.

ReturnUlcer

Ulcer Index in percent; worst drawdown after an equity peak. Only available at the end.

ReturnR2

R2 coefficient; the similarity of the equity curve with a straight line ending up at the same profit.Only available at the end.

ReReturnLR

Theoretical net profit by linear regression of the equity curve. Only available at the end.

ReturnCBI

The last CBI value based on previously stored backtest data.Only available at the end.
   

DrawDownBars

Total number of bars spent in drawdown, updated at any bar. For the percentage spent in drawdown, divide by the duration of the test, (Bar-StartBar). 

DrawDownBarsMax

Maximum length of a drawdown in bars. Only available at the end.

LossStreakMax

Maximum number of losses in a row. Only available at the end.

NumOpenMax

Maximum number of simultaneously open trades. Updated at any bar.

InMarketBars

Total number of bars with open trades. Updated at any bar.

InMarketSum

Sum of the durations of all trades, in bars. Updated at any trade. Can be bigger than the duration of the test when several positions are simultaneously open.

NumMinutes

Total duration of the backtest period; can be used for normalizing metrics to 3 years or for calculating profit per period. The backtest years are NumMinutes/(365.25*24*60). . For annualizing a result, divide it by this formula.

Type:

int for numbers that count something, otherwise var. Read/only.
 

ResultsAtBar

Array in chronological order containing the sums of wins and losses of all open and closed trades at every bar, in account currency units. (var)ResultsAtBar[Bar] is the end result of the simulation.

Type:

float* pointer, or 0 when no results were calculated.

ProfileAtBar

Array in chronological order containing the blue equity, balance, or pip return profile from the chart, at every bar. 

DrawDownAtBar

Array in chronological order containing the red underwater profile from the chart, at every bar.

Type:

var* pointer, or 0 when no profile was calculated. 

ResultsDaily

Array in chronological order containing the balance or equity (dependent on the BALANCE flag) at the end of every day, in account currency units. ResultsDaily[Day] is the end result. This array is at the end of the simulation automatically saved to a .dbl file for the CBI calculation, and to a .csv file for further evaluation.

Type:

var* pointer, or 0 when no daily results were calculated.

 

Remarks:

Example:

// calculate some performance metrics
function evaluate()
{ 
  if(NumWinTotal == 0) return; // nothing worth to calculate
  var Years = NumMinutes/(365.25*24*60);
  int NumTrades = NumWinTotal+NumLossTotal;
  var NetProfit = WinTotal-LossTotal-InterestCost;
  var Sharpe = ReturnMean/ReturnStdDev*sqrt(InMarketBars/Years);
  var Calmar = NetProfit/fix0(DrawDownMax)/Years;
  var Expectancy = (WinTotal-LossTotal)/NumTrades;
  var GAGR = 100.*(pow((NetProfit+MarginMax)/MarginMax,1./Years)-1.);
  ...
}

See also:

Trade statistics, Cold Blood Index, for(trades), NumBars, performance report ► latest version online