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Testing Statistics

After the testing is over, different parameters of the trading results statistics are calculated. The values of the parameters can be obtained using the TesterStatistics() function, by specifying the parameter ID from the ENUM_STATISTICS enumeration.

Although two types of parameters (int and double) are used for calculating statistics, the function returns all values in the double form. All the statistic values of the double type are expressed in the deposit currency by default, unless otherwise specified.

ENUM_STATISTICS

ID

Description of a statistic parameter

Type

STAT_INITIAL_DEPOSIT

The value of the initial deposit

double

STAT_WITHDRAWAL

Money withdrawn from an account

double

STAT_PROFIT

Net profit after testing, the sum of STAT_GROSS_PROFIT and STAT_GROSS_LOSS (STAT_GROSS_LOSS is always less than or equal to zero)

double

STAT_GROSS_PROFIT

Total profit, the sum of all profitable (positive) trades. The value is greater than or equal to zero

double

STAT_GROSS_LOSS

Total loss, the sum of all negative trades. The value is less than or equal to zero

double

STAT_MAX_PROFITTRADE

Maximum profit — the largest value of all profitable trades. The value is greater than or equal to zero

double

STAT_MAX_LOSSTRADE

Maximum loss — the lowest value of all losing trades. The value is less than or equal to zero

double

STAT_CONPROFITMAX

Maximum profit in a series of profitable trades. The value is greater than or equal to zero

double

STAT_CONPROFITMAX_TRADES

The number of trades that have formed STAT_CONPROFITMAX (maximum profit in a series of profitable trades)

int

STAT_MAX_CONWINS

The total profit of the longest series of profitable trades

double

STAT_MAX_CONPROFIT_TRADES

The number of trades in the longest series of profitable trades STAT_MAX_CONWINS

int

STAT_CONLOSSMAX

Maximum loss in a series of losing trades. The value is less than or equal to zero

double

STAT_CONLOSSMAX_TRADES

The number of trades that have formed STAT_CONLOSSMAX (maximum loss in a series of losing trades)

int

STAT_MAX_CONLOSSES

The total loss of the longest series of losing trades

double

STAT_MAX_CONLOSS_TRADES

The number of trades in the longest series of losing trades STAT_MAX_CONLOSSES

int

STAT_BALANCEMIN

Minimum balance value

double

STAT_BALANCE_DD

Maximum balance drawdown in monetary terms. In the process of trading, a balance may have numerous drawdowns; here the largest value is taken

double

STAT_BALANCEDD_PERCENT

Balance drawdown as a percentage that was recorded at the moment of the maximum balance drawdown in monetary terms (STAT_BALANCE_DD).

double

STAT_BALANCE_DDREL_PERCENT

Maximum balance drawdown as a percentage. In the process of trading, a balance may have numerous drawdowns, for each of which the relative drawdown value in percents is calculated. The greatest value is returned

double

STAT_BALANCE_DD_RELATIVE

Balance drawdown in monetary terms that was recorded at the moment of the maximum balance drawdown as a percentage (STAT_BALANCE_DDREL_PERCENT).

double

STAT_EQUITYMIN

Minimum equity value

double

STAT_EQUITY_DD

Maximum equity drawdown in monetary terms. In the process of trading, numerous drawdowns may appear on the equity; here the largest value is taken

double

STAT_EQUITYDD_PERCENT

Drawdown in percent that was recorded at the moment of the maximum equity drawdown in monetary terms (STAT_EQUITY_DD).

double

STAT_EQUITY_DDREL_PERCENT

Maximum equity drawdown as a percentage. In the process of trading, an equity may have numerous drawdowns, for each of which the relative drawdown value in percents is calculated. The greatest value is returned

double

STAT_EQUITY_DD_RELATIVE

Equity drawdown in monetary terms that was recorded at the moment of the maximum equity drawdown in percent (STAT_EQUITY_DDREL_PERCENT).

double

STAT_EXPECTED_PAYOFF

Expected payoff

double

STAT_PROFIT_FACTOR

Profit factor, equal to  the ratio of STAT_GROSS_PROFIT/STAT_GROSS_LOSS. If STAT_GROSS_LOSS=0, the profit factor is equal to DBL_MAX

double

STAT_RECOVERY_FACTOR

Recovery factor, equal to the ratio of STAT_PROFIT/STAT_BALANCE_DD

double

STAT_SHARPE_RATIO

Sharpe ratio

double

STAT_MIN_MARGINLEVEL

Minimum value of the margin level

double

STAT_CUSTOM_ONTESTER

The value of the calculated custom optimization criterion returned by the OnTester() function

double

STAT_DEALS

The number of deals

int

STAT_TRADES

The number of trades

int

STAT_PROFIT_TRADES

Profitable trades

int

STAT_LOSS_TRADES

Losing trades

int

STAT_SHORT_TRADES

Short trades

int

STAT_LONG_TRADES

Long trades

int

STAT_PROFIT_SHORTTRADES

Profitable short trades

int

STAT_PROFIT_LONGTRADES

Profitable long trades

int

STAT_PROFITTRADES_AVGCON

Average length of a profitable series of trades

int

STAT_LOSSTRADES_AVGCON

Average length of a losing series of trades

int

 


Updated: 2015.12.03