Win/Loss Trade Analysis

Win/Loss Trade Analysis

The same statistical measures used for total trades are used on winning and losing trades to fine-tune the evaluation process. Also included is information on the consecutive winning (losing) trades.

Note Open positions are not included in this evaluation.

The information available in this tab is as follows:

Number of winning (losing) trades

This field calculates the total number of winning (losing) trades generated by the strategy.

Stopped trades w/ (profit/loss)

The number of trades that were stopped out with a profit or loss.

Average win (loss)

The average profit/loss for the winning (losing) trades. Look for a strategy with an average win that is worth trading the strategy. If you are looking at average losses, make sure it is a number that is not too high in comparison to the average win number. Realistic expectations must be met; otherwise the strategy cannot justify its trading risk.

1 Standard Deviation (STDEV)

Measures the absolute variability of the returns made by the winning (or losing) trades. The smaller the number, the more trades will resemble the average winning (or losing) trade, and the more stable the strategy.

Average win +/- 1 STDEV

Measures the extreme range of trades (winning or losing, depending on the analysis) +/- one standard deviation (STDEV) from the average.

Coefficient of variation

Expresses the standard deviation as a percentage of the mean. This percentage figure relates to the stability of the winning (losing) trades. The smaller the percentage, the more stable the trades.

Largest profit (loss)

Largest winning (losing) trade for the test period.

% of Net Profit

Relates the largest winning (or losing) trade to the strategy's net profit figure. The smaller the percentage, the better. It is best to avoid strategies that are overly dependent on the effects of a single trade. Look for a strategy with a percentage figure of 15% or less. Too much dependency on a single trade makes for a non-robust trading strategy.

Consecutive Winning (Losing) Series Data

Consecutive Winners (Losers)

Lists the number of winning (losing) consecutive trades.

# of Series

Counts the number of consecutive winning (losing) series.

Average Gain (Loss) / Series

The average profit (loss) for the winning (losing) series. As an example, if a strategy has 3 series of 4 consecutive trades, then the software is calculating the average profit (loss) of all trades in each series.

Average Gain (Loss) Next Trade

The average profit (loss) of the trade following the series. In order to have a series conclude, the strategy must have a trade in the opposite direction. A winning series ends after the next losing trade, while a losing series ends after the next winning trade.