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