Strategy report metrics

• Initial capital
• Open PnL
• Net PnL
• Gross profit
• Gross loss
• Profit factor
• Commission paid
• Expected payoff
• Buy and hold PnL
• Buy and hold % gain
• Strategy outperformance
• Sharpe Ratio
• Sortino Ratio
• Total trades
• Total open trades
• Total winners
• Total losers
• Percent profitable
• Average PnL
• Average profit
• Average loss
• Average profit / average loss
• Largest profit
• Largest profit as % of gross profit
• Largest loss
• Largest loss as % of gross loss
• Average bars in trades
• Average bars in winners
• Average bars in losers
• Annualized return (CAGR)
• Return on initial capital
• Account size required
• Return on account size required
• Net profit as % of largest loss
• Average margin used
• Max margin used
• Margin efficiency
• Margin calls
• Average run-up duration (close-to-close)
• Average run-up (close-to-close)
• Max run-up (close-to-close)
• Max run-up (intrabar)
• Max run-up as % of initial capital (intrabar)
• Average drawdown duration (close-to-close)
• Average drawdown (close-to-close)
• Max drawdown (close-to-close)
• Max drawdown (intrabar)
• Max drawdown as % of initial capital (intrabar)
• Return of max drawdown
• Max contracts held
• Even trades
• Total liquidated volume
• Largest liquidated volume