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Metastock V11 Definition of results System Tester Report

Summary Report

This report provides a detailed analysis of how a security performed with a given system. It includes several categories of information, described below.

Summary

Lists the security tested, the system used, the date and time the test was run, the number of bars included in the test and the date range tested.

Performance

Profit - How much money this stock earned when traded with the selected system. If this is a negative number, it indicates a loss.

Performance - A percentage measure of how much profit or loss the system generated based on its initial equity. For example, if you start with $1000 and you end up with $1100 performance is 10%.

Annualized Performance - Calculates what the Performance described above would be if the simulation took one year. This value is reached by dividing a year (365 days) by the number of days in the simulation, then multiplying that number times and the performance.

Buy & Hold Profit - The profit resulting from a buy and hold strategy. A buy and hold strategy assumes that you buy on the first day loaded in the chart and hold the position. The profit is calculated by using the price on the first day and the price on the last day. Entry commissions are taken into account.

Buy & Hold Performance - The percentage difference between the initial equity and the final equity if you were to buy the first bar and sell the last. It's just like Buy & Hold Profit (described above), but it's expressed as a percentage.

Buy & Hold Annualized Performance - Shows how much the system would have made or lost if they bought on the first day of the year and sold on the last day of the year.

Reward/Risk Index - This index compares risk to reward. In this index, risk is defined as the System Open Drawdown (i.e., the lowest point of the equity line below the initial investment). Reward is defined as the Total Net Profits (i.e., the final point on the equity line).

Index

Reward Risk

+100

High

None

Trade Summary

-100

0

-50

+50

Medium Medium

None

Low

Very

Low

Medium

None

High

Total Trades - The total number of trades that were generated by the test.

This number only shows closed trades and does not include the open position that may have existed at the end of the test. Therefore, it is possible for this value to be zero if there was a single unclosed trade in the test.

Trade Efficiency - Your average total trade efficiency. Trade efficiency is the percent of the potential profit your trades realized, and is explained in more detail below.

Profitable Trades

Shows you how many profitable trades you had, and how many were longs and how many were shorts. Also lists your profitable trades' average profit, highest profit, lowest profit and longest consecutive run.

Unprofitable Trades

Shows you how many unprofitable trades you had, and how many were longs and how many were shorts. Also lists your unprofitable trades' average loss, highest loss, lowest loss, and longest consecutive run.

Maximum Position Excursions

Long Favorable - The most profit made by any single long position.

Short Favorable - The most profit made by any single short position.

Long Adverse - The most equity lost by any single long position.

Short Adverse - The most equity lost by any single short position.

Trade Efficiency

The percentage of the total possible profit realized by the trade. There are three types of trade efficiencies: long, short, and total. All three apply to both long and short trades.

Long Trade Entry Efficiency is the highest price minus the entry price, divided by highest price minus the lowest price.

Long Trade Exit Efficiency is the exit price minus the lowest price, divided by highest price minus the lowest price.

Long Trade Total Efficiency is the exit price minus the entry price, divided by highest price minus the lowest price.

Short Trade Entry Efficiency is the entry price minus the lowest price, divided by highest price minus the lowest price.

Short Trade Exit Efficiency is the highest price minus the exit price, divided by highest price minus the lowest price.

Short Trade Total Efficiency is the entry price minus the exit price, divided by highest price minus the lowest price.

Average Entry - The sum of the entry efficiencies for all trades divided by the number of trades.

Average Exit - The sum of the exit efficiencies for all trades divided by the number of trades.

Average Total - The sum of the total efficiencies for all trades divided by the number of trades.

Average Long Entry - The sum of the long entry efficiencies for all trades divided by the number of long entries.

Average Long Exit - The sum of the long exit efficiencies for all trades divided by the number of long exits.

Average Long Total - The sum of the long efficiencies for all trades divided by the number of long trades.

Average Short Entry - The sum of the short entry efficiencies for all trades divided by the number of short entries.

Average Short Exit - The sum of the short exit efficiencies for all trades divided by the number of short exits.

Average Short Total - The sum of the short efficiencies for all trades divided by the number of short trades.

Performance Indices

Buy & Hold Index - This index shows the percentage of the system's profits as compared to a buy and hold strategy's profits. A value of "-50" means that the system's profits were one-half (i.e., 50%) of the buy/hold's. A value of "25" means that the system's profits were 25% greater than the buy/hold's. A value of "0" means they were equal.

Ideally you want your system test to produce higher profits than a buy/hold strategy (i.e., Buy/Hold Index is greater than zero); otherwise the trading may not be worth the time and effort.

Profit/Loss Index - This index compares the Amount of Winning Trades to the Amount of Losing Trades.

The Profit/Loss Index combines Winning Trades and Losing Trades into one value that ranges from -100 (worst) to +100 (best).

A negative index value indicates that the trading system produced a net loss. The higher the index value, the higher the Amount of Profitable Trades compared to the Amount of Losing Trades.

Index

+100

+50

0

-50

-100

Profit/Loss

High

Profits/No

Losses

Profits >

Losses

Profits =

Losses

Profits <

Losses

No

Profits/High

Losses

Reward/Risk Index - This index compares risk to reward. In this index, risk is defined as the System Open Drawdown (i.e., the lowest point of the equity line below the initial investment). Reward is defined as the Total Net Profits (i.e., the final point on the equity line).

The Reward/Risk Index combines Reward and Risk into one value that ranges from -100 (riskiest) to +100 (safest). A Reward/Risk Index value of zero means that risk and reward exactly offset each other.

Index

+100

+50

0

-50

-100

Accounting

Reward Risk

High

Medium Medium

None

Medium

None

Low

Very

Low

None

High

Initial Equity - The amount of hypothetical money the system started with.

Trade Profit - How much equity all the profitable trades earned.

Trade Loss - How much equity all the unprofitable trades lost.

Commissions - How much you paid to execute all the trades generated by the system.

Interest Credited - The amount of interest the system's account earned during the test.

Interest Charged - The amount of interest the system paid for borrowing money during the test.

Open Positions - The dollar value for any positions still open at the end of the test.

Final Equity - How much equity existed at the end of the test.

Open Positions - The dollar value for any positions still open at the end of the test.

Account Variation

Highest Account Balance - The most equity ever present during the test.

Lowest Account Balance - The closest the equity curve came to zero.

Highest Portfolio Value - The most your open positions were worth simultaneously during the test.

Highest Open Drawdown - The largest equity dip (relative to the initial investment) based on open positions. This shows the maximum distance the equity line fell below the initial investment when a position was still open.

Highest Closed Drawdown - The largest equity dip (relative to the initial investment) based on closed out positions. This shows the maximum distance a closed-out position fell below the initial investment amount.

Account Events

Shows you how many Margin Calls and Overdrafts occurred during the test.

Profitable Timing

Details, measured in bars, about the length of the profitable trades that happened during the test Average, Longest, Shortest, and Total.

Unprofitable Timing

Details, measured in bars, about the length of the unprofitable trades that happened during the test: Average, Longest, Shortest, and Total.

Out of Market Timing

The Longest and Average number of bars during which the test didn't have any open trades.

Optimization Variables

If you used any optimization variables (OPT1, OPT2, etc.), their values during this test appear here.

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