FIGURE 1: CURRENCY ADJUSTED DISPLAY OF TRADE RESULTS.
With the new option you can display all trades in any currency.
DEVIATION OF TRADE RESULTS PROVIDES NEW INSIGHTS INTO THE TRADING STRATEGY.
A valuable piece of information of the characteristics and quality of a trading strategy is the deviation of trading profits. With the new Version 7.7 Tradesignal provides information to the standard deviation of profit and loss trades on the average trades. The use of data obtained using the standard deviation is used to identify outliers that may distort the value of a backtest significantly. For example, if a trading strategy generated a significant share of overall performance with just one or a few transactions, it may be assumed that this is an extraordinary, non-repeatable event. For this reason Tradesignal provides adjusted key figures for the profit, loss and the profit factor which just omits these outliers when calculating. Trades are classified as outliers, if their gain or loss exceeds the three times the standard deviation of the average value.
ADVANCED TOOLS FOR PERFORMANCE MEASUREMENT.
For all traders and portfolio managers who want to analyze and compare the profitability of their trading strategy not only in absolute terms, but also on a percentage basis two key figures are now available in the performance report:
- Return on initial capital: The percentage yield is thereby calculated based on the level of capital in the field of money management.
- Annual rate of return: This figure shows the annualized return of the underlying trading strategy.
- Return on account: Total net provit divided by account size required
In the example (see Figure 2), the performance report of a strategy is shown, which was traded with a starting capital of 1 million EUR. As you can see, the net profit for the period was 386 078 Euro. Compared with the initial capital, this corresponds to a profit of 38.61 percent. On an annualized basis, this results in an annual rate of return 29.87 percent (see Figure 3).