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The performance metrics calculated for all trades are shown in the All column. Values calculated only for long and short trades are shown in the Long and Short columns, respectively. Now let’s dive into what each performance metric means.

Net Profit
The overall profit or loss (in the selected currency) achieved by the trading strategy in the test period. The value is the sum of all values from the Profit column (on the List of Trades tab), taking into account the sign.

Gross Profit
The total profit for all profitable trades generated by a strategy.

Gross Loss
The total losses for all losing trades generated by a strategy. Analyzing and reducing trade losses is an extremely important part of trading strategy analysis. That’s why this characteristic of a strategy is the most important. It should be noted that net profit increases not only when gross profit improves, but also when gross loss is reduced.

Max Drawdown
Displays the greatest loss drawdown, i.e. the greatest possible loss the strategy had during its run compared to its highest profits. To calculate the Max Drawdown that is displayed in the Overview tab in the Strategy Tester, we:

1. Calculate resulting Equity after each trade that the strategy closes, at the bar where it closed.

2. For each separate trade, calculate Max Equity at the time the trade closed. To do so, we take the strategy’s Initial Capital and all of the Equity values from the trades that were already closed at that point and find the largest number among these values.

3. For each trade, calculate its own Drawdown. This is done by taking the trade’s Max Equity (found in Step 2) and subtracting its current Equity (Step 1).

4. Take individual Drawdowns of all trades (Step 3) and find the largest number among them.

Max Drawdown is the hardest the strategy falls, equity-wise, from its peaks. You can simplify its formula as “Highest Equity of all time – Lowest Equity after the highest peak”.

Starting Equity (i.e. the funds available to the strategy) is always equal to Initial Capital. In our case, it is 2500.

Buy & Hold Return
The return achieved if all funds (Initial Capital) were used to buy the security when the first trade is entered, and the position was held for the duration of the test period.

Sharpe Ratio
Nobel Laureate, William Sharpe, introduced the Sharpe Ratio in 1966 under the name “reward-to-variability ratio”. The Sharpe Ratio is widely used by portfolio managers and individual traders to show how much risk was taken to achieve specific returns. The formula for the Sharpe ratio is SR = (MR – RFR) / SD, where MR is the average return for a period (monthly for a trading period of 3 or more months or daily for a trading period of 3 or more days), and RFR is the risk-free rate of return (by default, 2% annually). SD is the standard deviation of returns. Thus, this formula yields a value that could be loosely defined as return per unit risked if we accept the premise that variability is risk. The higher Sharpe ratio, the smoother the equity curve. Having a smooth equity curve is an important objective for many traders.

Sortino Ratio
The Sortino ratio is a variation of the Sharpe ratio. Unlike the Sharpe ratio, its calculation is done using the standard deviation of the downside risk, rather than that of the entire (upside + downside) risk. Due to this, it is thought to give a better view of a portfolio’s risk-adjusted performance because positive volatility is considered a benefit.

Profit Factor
The amount of money a trading strategy made for every unit of money it lost (in the selected currency). This value is calculated by dividing gross profits by gross losses.

Max Contracts Held
The maximum number of contracts held at any one time.

Open PL
The profit or loss for the current open position. If no position is open, the value returned is N/A.

Commission Paid
The sum (in the selected currency) of commission paid. Slippage is not included.

Total Closed Trades
The total number of closed trades (both winning and losing) generated by a strategy. The total number of trades is important for a number of reasons. First, the number should be large enough for strategy results to be of any statistical significance. Second, the number can help validate that your strategy is trading at the frequency you expect.

Total Open Trades
The number of entries currently opened.

Number Winning Trades
The total number of winning trades generated by a strategy.

Number Losing Trades
The total number of losing trades generated by a strategy.

Percent Profitable
The percentage of winning trades generated by a strategy. Calculated by dividing the number of winning trades by the total number of closed trades generated by a strategy. Percent profitable is not a very reliable measure by itself. A strategy could have many small winning trades, making the percent profitable high with a small average winning trade, or a few big winning trades accounting for a low percent profitable and a big average winning trade. Some successful strategies have a percent profitability below 50% but are still profitable due to proper loss control.

Avg Trade
The sum of money gained or lost by the average trade generated by a strategy. Calculated by dividing the Net Profit by the overall number of closed trades. An important value since it must be large enough to cover the commission and slippage costs of trading the strategy and still bring a profit.

Avg Win Trade
The Gross Profit divided by the number of Winning Trades generated by a strategy.

Avg Loss Trade
The Gross Loss divided by the number of Losing Trades generated by a strategy.

Ratio Avg Win / Avg Loss
The average value of how many currency units you win for every unit you lose (in the selected currency). This is calculated by dividing the average winning trade by the average losing trade. This field is not a very meaningful value by itself because it does not take into account the ratio of the number of winning vs losing trades, and strategies can have different approaches to profitability. A strategy may trade at every possibility in order to capture many small profits, yet have an average losing trade greater than the average winning trade. The higher this value is, the better, but it should be considered together with the percentage of winning trades and the net profit.

Largest Win Trade
The most profitable trade in the test period.

Largest Losing Trade
The most losing trade in the test period.

Avg # Bars in Trades
The average number of bars that elapsed during trades for all closed trades.

Avg # Bars in Winning Trades
The average number of bars that elapsed during trades for all winning trades.

Avg # Bars in Losing Trades
The average number of bars that elapsed during trades for all losing trades.