Stepped Parameter Summary Performance
Contents
The Stepped Parameter Summary Performance List is displayed at the top of the results list:
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: 9/12/2020 9:50:00 AM |
Topic ID#: 4002 |