Stepped Parameter Summary Performance

The Stepped Parameter Summary Performance List is displayed at the top of the results list:

Click to Enlarge; Click to Reduce.

Stepped Test Summary Reporting Table

Clicking on any row in the Stepped Parameter Summary Performance List will bring the detailed reports for that particular parameter run to the Detailed Test Results area of the Test Results Window.

 

Reporting Property name descriptions:

Property Name:

Descriptions:

Run

A sequential count that keeps track of the number of distinct parameter combinations being tested.

End Balance

The account balance at the completion of each run.

CAGR%

The compounded annual growth rate (geometric mean return).

MAR

A ratio obtained by dividing the CAGR% by Max Total Equity Drawdown. The higher the MAR ratio, the better the risk-adjusted performance.

Sharpe

This version of the Sharpe Ratio divides annualized return by annualized standard deviation of returns, using monthly data points. Excludes the risk-free-rate in the numerator.

Ann. Sharpe

This version of the Sharpe Ratio divides annual return by standard deviation of annual returns, using actual annual calendar data points  (The Sharpe Ratio is the classic measure of return versus. risk. Divides excess return by standard deviation to determine reward per unit of risk. The higher the Sharpe ratio, the better the risk-adjusted performance.)

Max TE DD

Max Total Equity Drawdown - a one-time event that reflects the largest equity retracement-relative to a previous equity high-in the entire simulation. Expressed as a percentage, this statistic is measured peak-to-valley, using Total Equity.

Longest TE DD

Longest Total Equity Drawdown - a one time event that reflects the longest duration drawdown in Total Equity over the life of the simulation. It is measured from previous equity peak to new equity peak, and expressed in months.

# Trades

Number of round-trip trades placed over the course of the entire simulation.

Custom Statistics

If your system includes custom statistics they will show up here.

 


Edit Time: 9/20/2017 07:56:26 AM


Topic ID#: 4002

 

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