Exposure % - "เงินของเราออกศึกในการลงทุนไปกี่%"
Net Risk Adjusted Return % - (Net profit % divided by Exposure %) - "กำไรทั้งหมด หารด้วย เงินออกศึก"
Annual Return % (CAR) - "ผลกำไรต่อปี"
Risk Adjusted Return % - Annual return % divided by Exposure % - "กำไรต่อปี หารด้วย เงินออกศึก" (ผลกำไรต่อความเสี่ยง ยิ่งมากยิ่งดี)
Avg. Profit/Loss, also known as Expectancy ($) - (Profit of winners + Loss of losers)/(number of trades), represents expected dollar gain/loss per trade "ความคาดหวัง"
Avg. Profit/Loss %, also known as Expectancy (%) - '(% Profit of winners + % Loss of losers)/(number of trades), represents expected percent gain/loss per trade "%ความคาดหวัง"
Avg. Bars Held - sum of bars in trades / number of trades "เฉลี่ยการถือPosition"
Max. trade drawdown - The largest peak to valley decline experienced in any single trade. The lower the better "Equity ใน 1 ครั้ง ที่เคยขาดทุนสูงสุด"
Max. trade % drawdown - The largest peak to valley percentage decline experienced in any single trade. The lower the better "%Equity ใน 1 ครั้ง ที่เคยขาดทุนสูงสุด"
Max. system drawdown - The largest peak to valley decline experienced in portfolio equity. The lower the better "Equity ใน Portfolio ที่เคยลดลงต่ำสุด"
Max. system % drawdown - The largest peak to valley percentage decline experienced in portfolio equity. The lower the better "%Equity ใน Portfolio ที่เคยลดลงต่ำสุด"
Recovery Factor - Net profit divided by Max. system drawdown "กำไรสุทธิ/MaxDD"
CAR/MaxDD - Compound Annual % Return divided by Max. system % drawdown. "Good if bigger than 2"
Recovery Factor - Net profit divided by Max. system drawdown "กำไรสุทธิ/MaxDD"
CAR/MaxDD - Compound Annual % Return divided by Max. system % drawdown. "Good if bigger than 2"
RAR/MaxDD - Risk Adjusted Return divided by Max. system % drawdown. "Good if bigger than 2"
Profit Factor - Profit of winners divided by loss of losers
Payoff Ratio - Ratio average win / average loss
Standard Error - Standard error measures chopiness of equity line. The lower the better.
Standard Error - Standard error measures chopiness of equity line. The lower the better.
Risk-Reward Ratio - Measure of the relation between the risk inherent in a trading the system compared to its potential gain. Higher is better. Calculated as slope of equity line (expected annual return) divided by its standard error.
Ulcer Index - Square root of sum of squared drawdowns divided by number of bars
Ulcer Performance Index - (Annual profit - Tresury notes profit)/Ulcer Index'>Ulcer Performance Index. Currently tresury notes profit is hardcoded at 5.4. In future version there will be user-setting for this.
Sharpe Ratio of trades - Measure of risk adjusted return of investment. Above 1.0 is good, more than 2.0 is very good. More information http://www.stanford.edu/~wfsharpe/art/sr/sr.htm . Calculation: first average percentage return and standard deviation of returns is calculated. Then these two figures are annualized by multipling them by ratio (NumberOfBarsPerYear)/(AvgNumberOfBarsPerTrade). Then the risk free rate of return is subtracted (currently hard-coded 5) from annualized average return and then divided by annualized standard deviation of returns.
K-Ratio - Detects inconsistency in returns. Should be 1.0 or more. The higher K ratio is the more consistent return you may expect from the system. Linear regression slope of equity line multiplied by square root of sum of squared deviations of bar number divided by standard error of equity line multiplied by square root of number of bars. More information: Stocks & Commodities V14:3 (115-118): Measuring System Performance by Lars N. Kestner
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