Time Analysis

 

The information in the Time tab evaluates results strictly from the standpoint of time. For end-of-day strategies based on daily data, the TradeStation Strategy Performance Report uses days as its base measure of time. For intraday strategies based on intraday data, the TradeStation Strategy Performance Report uses days and hours. This worksheet also contains Equity Curve Analysis.

The Time tab contains the following fields:

 

Test Period

Returns the test period in years, months, weeks, and days.

Total time in the market (periods)

The time that the strategy is in the market. The greater the amount of time that the strategy is in the market, the more the strategy equity will be exposed to market moves, and thus the greater the risk.

% time in the market

Divides the test period by total time in the market to produce the percentage of time spent in the market. If a strategy trades more than 80% of the time, make sure its risk/reward ratios are in line with other comparable strategies. Time in the market is yet another measure of risk.

Longest flat period

The value notes the longest period in which the strategy did not trade. Consider this to be a patience finder. Note that the longer the flat period, the more patience a trader must posses to follow the strategy. This number deserves a serious look.

Avg. time in trades

Calculates the average time spent in all trades.

Avg. time between trades

Calculates the average time spent between all trades.

Avg. time in winning (losing) trades

Calculates the average time spent in winning (losing) trades.

Avg. time between winning (losing) trades

Calculates the average time spent between winning (losing) trades.

 

Equity Curve Analysis

 

Average time between equity peaks

Equity peaks relate to the time spent between new highs set by the equity curve (e.g., cumulative profits and losses). Generally, you'll want your strategy to have a relatively low average time during choppy periods or a high average during trending periods.

Note The equity curve peaks can be seen as large green dots on the Equity Curve Line chart.

Maximum Equity Run-up (daily)

This run-up figure calculates the greatest run experienced by the strategy over time. This calculation measures the highest high during a trade to the lowest low during the same or consecutive trades. This data also includes the drawdown date and percent of net profit. This percentage is based on the net profit value at the time of the drawdown.

Maximum Equity Drawdown (daily)

This drawdown figure calculates the greatest drawdown experienced by the strategy over time. This calculation measures the highest high during a trade to the lowest low during the same or consecutive trades. This data also includes the drawdown date and percent of net profit. This percentage is based on the net profit value at the time of the drawdown.

 

 

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