systems

Глоссарий терминов

Net profit The total profit/loss realized by the system over the period traded.

Select Net Profit This figure artificially adjusted the system’s results by removing all positive

and negative outlier trades. The final figure presents a net profit devoid of

aberration trades. Systems that are heavily dependent upon outlier trades

will have dramatically different select net profit results than the systems

that do not. A trade is considered to be an outlier if it’s profit/loss is

greater than three standard deviations away from the average. A trader

may also want to pay attention to whether or not the model is attempting

to systematically capture returns from “outlier” or rare events when using

this information to make value judgments about systems.

RINA Index This proprietary index combines select net profit, time in the market and

drawdown calculations into a single reward risk ratio. The larger the

number, the more efficient the system. This performance measure is a

trade-based statistic as opposed to equity based measures of

performance such as the Sharpe Ratio.

Sharpe Ratio Average annualized monthly returns (in %) minus the risk-free rate

(interest rate setting) divided by the standard deviation of monthly returns.

The higher the number, the greater the return in relation to variability of

returns. Typically, Sharpe Ratios above one are considered to be

indicative of good performance.

Return Retracement Ratio This reward risk ratio is an alternative to the Sharpe Ratio that has been

introduced by Jack Schwager. Unlike the Sharpe Ration it distinguishes

between upside and downside return variability. The higher the ratio, the

greater the return in relation to risk. For more complete information please

refer to Jack Schwager’s book “Schwager on Futures: Technical Analysis”.

Ratio avg. win/loss Average winning trade divided by average losing trade. RP: While a ratio

above one seems desirable, this ratio should be used in conjunction with

the percent profitable to gain insight into system or portfolio overall

performance.

Profit factor Gross profit divided by Gross loss. This represents how much money was

made for every dollar lost.

Percent profitable The percentage of all trades that were winners.

Maximum Drawdown The largest intra-day drawdown experienced by the system on a single

closed-out trade. This version of drawdown measures the open to the

lowest unrealized low of the trade, based on a long position and reversed

for a short position. This number is expressed as both a percent and an

absolute dollar value.

Maximum Run-Up The largest intra-day run-up experienced by the system on a single closed

out trade. This number measures the open to the highest unrealized high

of the trade, based on a long position and reversed for a short position. It

is expressed as both a percentage and an absolute value.

Average Monthly Return This displays the percent return on average achieved by each component

of the portfolio over the period analyzed.

Net profit The total profit/loss realized by the portfolio over the period traded.

Gross profit The cumulative total of all winning trades for the portfolio over the period

traded.

Gross loss The sum of all losing trades for the portfolio over the period traded.

Open Position The profit /loss of all open positions for the portfolio if applicable.

Interest Earned The dollar profit made on idle moneys based on the user defined interest

rate parameter. See Options: Monetary Parameters for more information.

Percent profitable The percentage of all trades that were winners for the portfolio over the

period traded.

Ratio avg. win/loss Average winning trade divided by average losing trade for the portfolio over

the period traded.

Profit factor Gross Profit divided by Gross loss for the portfolio.

Adjusted profit factor Adjusted Gross Profit divided by Gross loss for the portfolio.

RINA Index This proprietary index combines select net profit, time in the market and

drawdown calculations into a single reward risk ratio. This is a trade

based performance measurement. This is in contrast to equity based

performance measurements such as the Sharpe Ratio.

Annual rate of return The portfolio’s annual compounded rate of return for the test period.

Returns are calculated on system and portfolio equity, as opposed to trade

based returns and assumes reinvestment from prior period.

Initial capital The capital traded by the system/portfolio at the beginning of the period

analyzed.

Drawdown The portfolio’s net profit divided by its maximum drawdown. This

calculation is based on the Omega Research return on account statistic

as calculated in TradeStation 4.

Sharpe Ratio Nobel Laureate William Sharpe introduced the Sharpe Ratio in 1966, under

the name reward-to-variability ratio. This ratio is perhaps the best known

of the return to risk measures.

Percent in the market Divides the test period by total time in the market to produce the

percentage of time spent in the market.