![]() ![]() On an annualized basis, this results in an annual rate of return 29.87 percent (see Figure 3). Compared with the initial capital, this corresponds to a profit of 38.61 percent. As you can see, the net profit for the period was 386 078 Euro. 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. Return on account: Total net provit divided by account size required.Annual rate of return: This figure shows the annualized return of the underlying trading strategy.Return on initial capital: The percentage yield is thereby calculated based on the level of capital in the field of money management.ADVANCED TOOLS FOR PERFORMANCE MEASUREMENT.įor 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: Trades are classified as outliers, if their gain or loss exceeds the three times the standard deviation of the average value. For this reason Tradesignal provides adjusted key figures for the profit, loss and the profit factor which just omits these outliers when calculating. 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. The use of data obtained using the standard deviation is used to identify outliers that may distort the value of a backtest significantly. With the new Version 7.7 Tradesignal provides information to the standard deviation of profit and loss trades on the average trades. DEVIATION OF TRADE RESULTS PROVIDES NEW INSIGHTS INTO THE TRADING STRATEGY.Ī valuable piece of information of the characteristics and quality of a trading strategy is the deviation of trading profits. With the new option you can display all trades in any currency. ![]() After opening the performance report just choose “Account Currency” as trades display currency (see Figure 1).įIGURE 1: CURRENCY ADJUSTED DISPLAY OF TRADE RESULTS. For example, if you want all the trades in the S&P 500 contract to be presented in Euro, “Money Management” needs to be selected in the case of currency “EUR (Euro)”. With the new function “Display Currency Trades”, which can be set in the properties section of the performance reporting, all transacted trades are displayed either in the currency of the underlying or in the individually selectable account currency. CURRENCY ADJUSTED DISPLAY OF TRADE RESULTS. To enable Tradesignal users an even more accurate and more extensive analysis, this field has been significantly extended again. The performance report shows all relevant figures and information of an underlying trading strategy and is thus a central part of the development and optimization of an algorithmic trading approach. IMPROVED PERFORMANCE REPORT PROVIDES ALL THE INFORMATION ON THE TRADING STRATEGY.
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