Test statistics are designed to be scripted in the After Test script.  They match the summary statistics printed by Trading Blox in the summary report.  They can also be used for export, other calculations, or with the AddStatistic function to have them in the sortable results list.

 

Example:

'  Each property can be used as value reported using a
'  Print or other output type of function:
Print "Goodness Measure ", test.goodness

OR

'  As a value assigned to a variable:
value = test.goodness

 

 

Note:

Some statistics calculate the value when used, so use with care as this can be an issue that effects performance.

 

Statistic Name:

Description:

annualGeometricReturn

Annual geometric return

annualizedDailyReturnSD

Annualized Standard Deviation of the Daily Returns

annualizedMonthlyReturnSD

Annualized Standard Deviation of the Monthly Returns

annualizedMonthlySharpeRatio

Annualized monthly Sharpe Ratio

annualReturnDownsideDeviation

Downside Standard Deviation of the annual return

annualReturnStandardDeviation

Standard deviation of the annual returns

annualSharpeRatio

Annual Sharpe Ratio

annualSortinoRatio

Annual Sortino Ratio

averageAnnualReturn

Average annual return

averageClosedDrawdown

Average closed equity drawdown percent

averageDailyReturn

Average daily return

averageLongestDrawdown

Average longest drawdown

averageLossPercent

Average percent loss of the losing trade

averageMarginEquityRatio

Summary Margin to Equity Ratio

( See User Guide:

Margin to Equity Ratio: MarginEquityTotal / TotalTradingDays )

averageMaxDrawdown

Average maximum drawdown

averageMonthlyReturn

Average monthly return

averageOpenDrawdown

Average total equity drawdown percent

averageRiskPercent

Average percent risk per trade

averageTradePercent

Average percent profit per trade

averageWinPercent

Average percent win of the winning trades

calmarRatio

Calmar Ratio

closedDrawdownStandardDeviation

Standard Deviation of the closed equity drawdown percent

dailyGeometricReturn

Daily geometric return using calendar days

dailyGeoSharpeRatio

Daily geometric Sharpe Ratio

dailyReturnDownsideDeviation

Downside Standard Deviation of the daily return

dailyReturnStandardDeviation

Standard deviation of the daily returns

dailySharpeRatio

Daily Sharpe Ratio

dailySortinoRatio

Daily Sortino Ratio

earnedInterest

Total earned interest

expectationRatio

Sometimes known as Expectancy, this statistic shows the suite’s end of test Expectancy Ratio of how much one expects to gain for every amount bet or risked on a given trade.  Numbers greater than '0.0' are winning systems, less than '0.0' are losing systems.

goodness

Return will be from the statistic assigned in Preferences' Reporting General Multi-Parameter Goodness field.  Value display is the statistic current value.

longestOpenDrawdownMonths

Longest total equity drawdown in months

losingMonths

Total number of losing months

lossCount

Total losing trades

marginInterest

Total margin interest

marRatio

MAR ratio

maxClosedDrawdown

Max closed equity drawdown percent

maxClosedMonthlyDrawdown

Max closed equity monthly drawdown percent

maxOpenDrawdown

Max total equity drawdown percent

maxOpenMonthlyDrawdown

Max total equity monthly drawdown percent

modifiedSharpeRatio

Modified Sharpe Ratio

monteCarloConfidenceDrawdown


monteCarloConfidenceDrawdown2


monteCarloConfidenceDrawdown3


monteCarloConfidenceDrawdownLength


monteCarloConfidenceDrawdownLength2


monteCarloConfidenceDrawdownLength3


monteCarloConfidenceMAR


monteCarloConfidenceReturn


monteCarloConfidenceRSquared


monteCarloConfidenceSharpe


monthCount

Total number of months

monthlyReturnDownsideDeviation

Downside Standard Deviation of the monthly return

monthlyReturnStandardDeviation

Standard deviation of the monthly returns

monthlySharpeRatio

Monthly Sharpe Ratio

monthlySortinoRatio

Monthly Sortino Ratio

netProfit

Net profit

openDrawdownStandardDeviation

Standard Deviation of the total equity drawdown percent

percentProfitFactor

Profit factor percent (win percent / loss percent)

profitFactor

Profit factor (win/loss)

rar

RAR - Risk Adjusted Return.

rCubed

R-Cubed

robustSharpe

Robust Sharpe Ratio

roundTurnCount

Number of round turns

rSquared

R-Squared

totalCarry

Total cost of carry

totalCommissions

Total commission

totalLossDollars

Total dollars from losing trades

totalSlippage

Total slippage

totalTrades

Total trades not including zero size trades

totalWinDollars

Total dollars from winning trades

winCount

Total winning trades, including break even

winningMonths

Total number of winning months

 


Edit Time: 9/25/2017 09:09:58 AM


Topic ID#: 618

 

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