This report analysis tool will analyze .html reports produced by
MetaTrader 4/5 (including Strategy Tester) and Oanda platform. The result of
this analysis will be available in form of various metrics for your further
consideration. First, you should create a report in your trading platform, then
you need to submit it via the form below. This tool does not analyze
Optimization Reports generated by MetaTrader Strategy Tester. You can discuss report analysis tool at our forum.
Gain & Loss
- Net profit
- Actual net profit or loss. Calculated as Gross profit − Gross loss.
- Net profit, pips
- Net profit or loss expressed in pips. Value of a pip vary per trading instrument. It's a useful metric to consider a system without its money management part.
- Gross profit
- Total profit received during report's period. Calculated as a sum of outcomes of all profitable positions.
- Gross loss
- Total loss inflicted during report's period. Calculated as a sum of outcomes of all losing positions.
Return on Investment
- Return on investment in percents. Plain and simple: total profit divided by the starting balance (overall or for the given pair — at the moment when it has started to trade in this account) and multiplied by 100%.
- Annualized ROI (Real)
- Annualized return on investment in percents. The difference between the last close date and the first open date for the given pair (or for the whole account total) is used in calculation.
- Annualized ROI (Theoretical)
- Annualized return on investment in percents. Only duration of active trades is considered for calculation (only the period when the margin is used). Time between trades isn't used for calculation. Sum of all times is used in calculation of Total for this ROI — like if trading on different pairs wasn't performed simultaneously. Difference between Theoretical and Real Annualized ROI for a pair means that there was time when there weren't any positions open for the pair after trading for this pair had already started in this account.
- Total positions
- Total number of positions (closed, unless you chose to force-close open positions).
- Profitable positions
- Total number of profitable positions (closed, unless you chose to force-close open positions). Positions with 0 profit are counted as profitable.
- Losing positions
- Total number of losing positions (closed, unless you chose to force-close open positions).
- Short trades
- Total number of short (sell) trades taken during the report's period. Counted using closed positions.
- Shorts won
- Total number of short (sell) positions closed with profit (0 profit is also counted).
- Shorts lost
- Total number of short (sell) positions closed with loss.
- Longs trades
- Total number of long (buy) trades taken during the report's period. Counted using closed positions.
- Longs won
- Total number of long (buy) positions closed with profit (0 profit is also counted).
- Longs lost
- Total number of long (buy) positions closed with loss.
- Positions with SL
- Total number of closed positions that had a stop-loss level set.
- Positions with TP
- Total number of closed positions that had a take-profit level set.
- Average profitable trade
- Average outcome of a closed profitable position.
- Average losing trade
- Average outcome of a closed losing position.
- Expected payoff
- Amount of money expected to be earned from one closed position. Calculated as net profit divided by total positions number.
- Largest profitable trade
- Maximum profit produced by one closed position.
- Largest losing trade
- Maximum loss produced by one closed position.
- Average SL outcome
- Average profit/loss from a triggered stop-loss order.
- Average TP outcome
- Average profit/loss from a triggered take-profit order.
- Reward/risk ratio
- Average profitable trade divided by average losing trade. Measures how much profit you can earn takine 1-dollar risk.
- Maximum consecutive profit
- Maximum amount of money earned in a consecutive sequence of closed positions.
- Maximum consecutive profitable positions (by profit)
- Number of consecutively profitable positions in a consecutive sequence of closed positions with a maximum amount of profit.
- Maximum consecutive profitable positions
- Maximum number of consecutively profitable positions.
- Maximum consecutive profit (by positions)
- Amount of profit earned from a longest sequence of consecutive profitable positions.
- Maximum consecutive loss
- Maximum amount of money lost in a consecutive sequence of closed positions.
- Maximum consecutive losing positions (by loss)
- Number of consecutively losing positions in a consecutive sequence of closed positions with a maximum amount of loss.
- Maximum consecutive losing positions
- Maximum number of consecutively losing positions.
- Maximum consecutive loss (by positions)
- Amount of money lost in a longest sequence of consecutive losing positions.
- Average consecutive wins
- Average amount of profitable positions closed in a row.
- Average consecutive losses
- Average amount of losing positions closed in a row.
- Absolute drawdown
- Largest drop of the account balance below the initial balance value.
- Maximum drawdown
- Largest drop of the account balance below some previously reached balance level.
- Relative drawdown
- Largest relative (expressed in percentage points) drop of the account balance.
- Profit factor
- Gross profit divided by gross loss. How many dollars you get for a dollar lost.
- Recovery factor (Calmar ratio)
- Calculated as net profit divided by the maximum drawdown. Measures the ability of a trading system to recover from losses.
- Measure of ratio between a received return and the experienced risk. Sharpe ratio is calculated as (R − Rf) / StdDev. Where R is a total account return (end balance divided by starting balance), Rf is a risk-free return (0% in this tool), StdDev — standard deviation of the account return (calculated without Bessel's correction).
- Sortino ratio
- Measure of ratio between received return and the experienced downside risk. Calculated as (R − Rf) / DR. Where R is a total account return (end balance divided by starting balance), Rf is a risk-free return (0% in this report), DR — downside risk (calculated as a standard deviation of the negative trade outcomes from zero return). Sortino ratio is a more useful version of Sharpe ratio.
- Ulcer index
- Measure of a negative volatility. After each closed position a current balance is compared with the maximum balance so far and then divided by the max balance and multiplied by 100. Then every resulting value is squared and the arithmetic mean of squares is found; a square root of the result is Ulcer index.
- AHPR or Average Holding Period Return is an arithmetic mean of a relative gain per position.
- GHPR or Geometric average Holding Period Return is an geometric mean of a relative gain per position.
- Standard Deviation
- Standard deviation of the absolute outcomes of the positions. Calculated without Bessel's correction.
- Z-score and Probability
- Z-score measures the dependence of the trade outcomes from the previous trade outcomes. A negative Z-score less or equal to -2 signals about a positive dependence, meaning that a profitable outcome will most probably be followed by another profitable outcome and a losing one will be followed by another loss. Z-score greater or equal to +2 signals about a negative dependence, meaning that a profitable outcome will most probably be followed by a losing one, and a loss will be followed by profit. Probability of Z-score is a probability of a value to drop out of the normal distribution.
- Risk-Adjusted Return
- Risk-adjusted return or RAR shows the return for the given period divided by the standard deviation of returns. It can be used for the risk-wise comparison of strategies and robots.
Time & Volume
- Duration of a trade is measured as time that passed from its opening until its closing. Time when trading isn't allowed (Saturday and Sunday) is also counted. For example, if someone opens a position 5 minutes before the Friday market close and closes it just 5 minutes after Monday market opening, the duration will be 48 hours and 10 minutes.
- Volume is given in standard lots for all platforms except Oanda. Oanda reports feature position volume in units.
- Commission charged for trade execution. Usually present only in ECN and Islamic accounts.
- Overnight interest rate payments. Can be both positive and negative.
- Van K. Tharp's R-multiple for a relative calculation of other trading system metrics. Calculated as a median loss.
Risk of Ruin
- Exact Probability of Loss Formula
- Calculation of probability to lose a part of account before gaining a part of account. Uses Markov Chains to model the probabilities. Very accurate but still relies on probabilities derived from number of successful/losing trades and average size of profit/loss from the report. Doesn't consider varying position sizing. Involves very complex calculations, thus isn't always possible.
- Fixed Position Size Formula
- Calculation of probability to lose a part in any period of time in future. Uses a simple formula: e−(2 × A × Z) ÷ D2, where: Z is the fraction of account to lose, A is the average percentage return per trade, D is the standard deviation of returns. Doesn't consider varying position sizing. Considers perfect "bell curve" for returns and depends heavily on standard deviation rather than on factual probability and size of loss.
- Fixed Fractional Size Formula
- The same as Fixed Position Size Formula but this one assumes that the trader risks a fixed percentage part of their account per each trade. This way the losses tend to decrease when the trader is losing, which slows down the balance ruin. Formula: e(−2 × A ÷ D) × (ln(1 − Z) ÷ ln(1 − D)), where: Z is the fraction of account to lose, A is the average percentage return per trade, D is the standard deviation of returns.