Summary Report

Summary Report

The Summary tab displays the Performance Summary, which is almost like having three reports bundled into one report. The All Trades section provides a summary of all trades, long and short, in its calculations. The Long Trades section provides a summary of all the long trades, while the Short Trades provides a summary of all the short trades.

The fields of information available in the Summary tab are listed and described below in alphabetical order:

Account Size Required

This field calculates the amount of money you must have in your account to trade the strategy. This value is calculated using the following formula:

Absolute value of the maximum intraday drawdown + (margin per contract x the maximum number of contracts held)

Net profit should always be compared with Account Size Required; the bigger the net profit compared to the Account Size Required, the better the return on investment will be.

Notes The absolute value is the positive equivalent of any number whether it is positive or negative.

Account size required is only applicable when testing strategies that buy or sell futures contracts because the margin is specified in a per contract/share basis in the Costs tab when formatting strategies.

When viewing the TradeStation Strategy Performance Report, this field calculates and displays a value for all trades (long and short), long trades (buying long and exiting), and short trades (selling short and exiting).

Average Losing Trade

This field calculates the gross loss divided by the number of winning trades generated by a strategy.

Notes When viewing the TradeStation Strategy Performance Report, this field calculates and displays a value for all trades (long and short), long trades (buying long and exiting), and short trades (selling short and exiting).

When viewing the Strategy Optimization Report, you must specify whether you want to view short, long, and/or all calculations for a specific field. Short fields are prefaced with Short:, Long fields are prefaced with Long:, and All fields are prefaced with All:.

Average Number of Bars in Losers

This field calculates the average number of bars included in losing trades generated by a strategy. This value is calculated by dividing the cumulative number of bars in losing trades by the total number of losing trades. Generally speaking, this value should be as small as possible, since it represents the average time that there is equity in the market without producing any returns.

Average Number of Bars in Winners

This field calculates the average number of bars included in winning trades generated by a strategy. This value is calculated by dividing the cumulative number of bars in winning trades by the total number of winning trades. Generally speaking, this value should be as small as possible, because the smaller the number, the greater the risk/reward ratio will be, since your equity will be exposed to market moves for less time on average.

Average Trade (Win & Loss)

This field calculates the amount of money made or lost by the average trade generated by a strategy. This value is calculated by dividing the net profits by the total number of trades. This value is important as it must be large enough to cover the costs (commission and slippage) of trading the strategy and still show a profit.

Average Winning Trade

This field calculates the gross profits divided by the number of winning trades generated by a strategy.

Gross Loss

This field calculates the cumulative total of all losing trades generated by a strategy. This is a very important number that is often overlooked because many people only look at the winning trades, ignoring the losing trades. Keep in mind that net profit will increase not only when you improve gross profit but also when you reduce gross loss. It is very important to analyze the losing trades in order to improve your trading strategies.

Gross Profit

This field calculates the cumulative total of all winning trades generated by a strategy.

Largest Losing Trade

This field returns the largest losing trade generated by a strategy. The largest losing trade is a great starting point when improving your trading strategies. A value that is significantly greater than the average losing trade would indicate that there is a flaw in your strategy, and this trade should be examined and corrected before proceeding.

Largest Winning Trade

This field calculates the largest winning trade generated by a strategy. This number should be compared with the Total Net Profit field and with the average winning trade. If the Largest Winning trade is significantly greater than the average wining trade, and it constitutes a large portion of your total net profit, then the strategy could be considered unsound. A strategy that is statistically valid should not rely on one lucky trade.

Note that some trading strategies are designed to capture big trends and ignore smaller moves. These type of strategies will usually have large values in this field because the are designed to capture big moves.

Maximum Consecutive Losers

This field calculates the longest string of consecutive losing trades generated by a strategy. This field allows you to anticipate how long bad streaks should last. This should be an important number when deciding if you can emotionally and mentally trade the strategy.

Notes In the TradeStation Strategy Performance Report, this field displays a value for all trades (long and short), long trades (buying long and exiting), and short trades (selling short and exiting).

Maximum Consecutive Winners

This field calculates the longest string of consecutive winning trades generated by a strategy. This field allows you to temper your enthusiasm while actively trading a strategy by seeing that the strategy had lucky streaks during your testing period as well.

Notes In TradeStation Strategy Performance Report, this field displays a value for all trades (long and short), long trades (buying long and exiting), and short trades (selling short and exiting).

Maximum Intraday Drawdown

This field calculates the largest equity dip generated by a strategy. The largest equity dip is the largest difference between an equity high and a subsequent equity low.

For example, let's say a trade made $100. Then another trade made another $100. Then a trade lost $50. Then a trade made $25. Then a trade lost $50. In this sequence of trades, your equity high of $200 was reached when you made money on the first two trades. The equity low was $125. The equity dip was $75, the difference between the equity high of $200 and equity low of $125.

It is traditionally said that the Maximum Intraday Drawdown should be a small amount when compared to the net profits. Remember that this will be the minimum account size (excluding margin calculations) required in order for you to trade this strategy.

Maximum Number of Contracts Held

This field calculates the maximum number of contracts or shares held at any one point during the test period of a strategy. This number is important when trading futures, as margin is calculated on a per contract basis.

Number of Losing Trades

This field calculates the total number of losing trades generated by a strategy.

Number of Winning Trades

This field calculates the total number of winning trades generated by a strategy.

Open Position P/L

This field calculates the profit/loss on the current open position. If you do not have an open position the field returns zero.

Percent Profitable

This field calculates the percentage of profitable trades generated by a strategy. Percent profitable is calculated by dividing the number of winning trades by total trades generated by a strategy.

Percent profitable can be misleading by itself because there are different approaches to profitability. A strategy could have many small winning trades, in which case the percent profitable would be high with a small average winning trade, or a few big winning trades, which would produce a low percent profitable and a big average winning trades.

Many successful strategies have a percent profitability below 50% but are still profitable because their losses are limited.

Profit Factor

This field calculates how many dollars a trading strategy made for every dollar it lost. This value is calculated by dividing gross profits by gross losses.

Ratio Average Win/Average Loss

This field calculates, on average, how many dollars you win for every dollar you lose. This value is calculated by dividing the average winning trade by the average losing trade.

This field can be very deceiving by itself because strategies can have different approaches to profitability. A strategy could look to trade very often in order to capture many small profits yet have an average losing trade greater than the average winning trade. The higher this number is the better, but it should be looked at together with the percentage of winning trades and the net profit.

Return on Account

This field represents the amount of money you would make versus the amount of money required to trade the strategy, taking into consideration margin and margin calls. This value is calculated by dividing the net profit by the account size required.

This value is more important than the Total Net Profit field when you buy or sell on leverage (e.g., buy or sell futures contracts or stocks on margin). When you buy or sell on leverage, you must make a good faith deposit called a margin. The margin is a certain percentage of the overall cost of the transaction. In addition, when buying or selling on leverage, you need enough money to pay off all equity dips, a process known as a margin call in futures and stock trading.

Total Net Profit

This field calculates the total number of dollars made or lost by the trading strategy during the test period.

Notes If you are trading an investment instrument on leverage, Return on Account is a more important field.

Total Number of Trades

This field calculates the total number of trades (number of winning trades plus number of losing trades) generated by a strategy. The total number of trades is significant for a number of reasons. For example, no matter how large the net profit generated by a strategy, you must be sure the strategy generated enough trades to be statistically valid. Also you need to consider the time period tested with the total number of trades; the strategy may trade too frequently or too seldom for your needs.

Notes When viewing the Summary Tab in the TradeStation Strategy Performance Report, this field calculates and displays a value for all trades (long and short), long trades (buying long and exiting), and short trades (selling short and exiting).