The following are definitions and formulas used for Account Performance statistics:
Average Time in Market
This statistic returns a value that gives you an idea of how long you can expect your positions to be open. You can use this by manually closing out a position if you feel it has been in the market for too long.
SUM(exit date – entry date) of all trades / # of trades

Average ETD
This statistic returns a value that is useful in giving you a measure of how effective your exit conditions capture the price movements after your strategy enters a position. It shows you how much you give back from the best price reached before you exit the trade. A small number here is generally desirable since it would imply highly optimized exit conditions that capture most of the price movement you were after.
Currency

Average MFE – Average Trade

Percent

Average MFE – Average Trade

Points

Average MFE – Average Trade


Average Losing Trade
This statistic returns a value representing the average loss you experience from all of your losing trades. It is useful for getting an idea of how much you could expect to lose on losing trades.
Currency

SUM(loss * quantity * point value) of all losing trades / # of losing trades

Percent

SUM(profit * quantity / entry price) of all losing trades / # of losing traded lots

Points

SUM(profit * quantity) of all losing trades / # of losing trades

where loss is defined as (exit price – entry price) for long trades and as (entry price – exit price) for short trades, and point value is defined as the monetary conversion of each point (e.g. 100 for currency pairs).

Average MAE
This statistic returns a value representing the average maximum rundown your strategy experiences. This information helps you gauge how poorly your strategy’s entry conditions predict upcoming price movement directions. A low percentage here is desirable since it would imply that the price movement after you enter a position follows the direction of your intended trade.
Currency

SUM(MAE * quantity * point value) of all trades / # of trades

Percent

SUM(MAE * quantity / entry price) of all trades / # of traded lots

Points

SUM(MAE * quantity) of all trades / # of trades

where MAE (max. adverse excursion) is defined as worst price trade reached – entry price, quantity is defined as the number of contracts traded, and point value is defined as the monetary conversion of each point (e.g. 100 for currency pairs).

Average MFE
This statistic returns a value representing the average maximum runup your strategy experiences. This information helps you gauge how well your strategy’s entry conditions predict upcoming price movements. A high percentage here is desirable since it would imply high profitability opportunities.
Currency

SUM(MFE * quantity * point value) of all trades / # of trades

Percent

SUM(MFE * quantity / entry price) of all trades / # of traded lots

Points

SUM(MFE * quantity) of all trades / # of trades

where MFE (max. favorable excursion) is defined as (best price trade reached – entry price), quantity is defined as the number of contracts traded, and point value is defined as the monetary conversion of each point (e.g. 100 for currency pairs).

Average Trade
This statistic returns a value representing the average profit you experience from all of your trades. It is useful for getting an idea of how much you could expect to earn on future trades.
Currency

SUM(profit * quantity * point value) of all trades / # of trades

Percent

SUM(profit * quantity / entry price) of all trades / # of traded lots

Points

SUM(profit * quantity) of all trades / # of trades

where profit is defined as (exit price – entry price) for long trades and as (entry price – exit price) for short trades, quantity is defined as the number of contracts traded, and point value is defined as the monetary conversion of each point (e.g. 100 for currency pairs).

Average Winning Trade
This statistic returns a value representing the average profit you experience from all of your winning trades. It is useful for getting an idea of how much you could expect to earn on winning trades.
Currency

SUM(profit * quantity * point value) of all winning trades / # of winning trades

Percent

SUM(profit * quantity / entry price) of all winning trades / # of winning traded lots

Points

SUM(profit * quantity) of all winning trades / # of winning trades

where profit is defined as (exit price – entry price) for long trades and as (entry price – exit price) for short trades, quantity is defined as the number of contracts traded, and point value is defined as the monetary conversion of each point (e.g. 100 for currency pairs).

Commission
This statistic returns a value that is the sum of all the commission fees associated with the trades executed by the strategy.
SUM(commission of all traded executions)

Cumulative profit
This statistic returns a value representing a summation of all the profits earned by all your trades. It can be interpreted as a performance measure for your strategy.
Currency

SUM(profit * quantity * point value) of all trades

Percent

PRODUCT(1 + profit / entry price) of all trades  1

Points

SUM(profit * quantity) of all trades

where profit is defined as (exit price – entry price) for long trades and as (entry price – exit price) for short trades, quantity is defined as the number of contracts traded, and point value is defined as the monetary conversion of each point (e.g. 100 for currency pairs).

Gross Loss
This statistic returns a monetary value representing a summation of all the money lost across all your trades with your strategy.
SUM(loss * quantity) of all losing trades
where loss is defined as (exit price – entry price) for long trades and as (entry price – exit price) for short trades and quantity is defined as the number of contracts traded.

Gross Profit
This statistic returns a monetary value representing a summation of all the money earned across all your trades with your strategy.
SUM(profit * quantity) of all winning trades
where profit is defined as (exit price – entry price) for long trades and as (entry price – exit price) for short trades and quantity is defined as the number of contracts traded.

Max. Drawdown
The maximum drawdown statistic provides you with information regarding the biggest decrease (drawdown) in account size experienced by your strategy. Drawdown is often used as an indicator of risk.
Drawdown = local maximum account size – local minimum account size
Max Drawdown = single largest Drawdown
As an example, your account rises from $25,000 to $50,000. It then subsequently drops to $40,000 but rises again to $60,000. The drawdown in this case would be $10,000 or 20%. Take note that drawdown does not necessarily have to correspond with a loss in your original account principal.

Profit Factor
This statistic returns a ratio that can be used as a performance measure for your strategy. It gives you an idea of how much more money your strategy earns then it loses. A higher ratio can be considered characteristic of a high performing strategy. A ratio less than one indicates your strategy loses more money than it earns.
Gross Profit / Gross Loss

Profit Per Month
This statistic returns a value that can be used as a performance measure for your strategy. It gives you an idea of how much profit you can expect to make per month.
Currency

cumulative profit / # of months

Percent

(1 + cumulative profit)(1 / # of months)  1

Points

cumulative profit / # of months

(See the cumulative profit statistic above for its definition.)

Ratio Avg Win / Avg Loss
This statistic returns a ratio that can be used as a performance measure for your strategy. A value greater than 1 signifies you win more than you lose. A value less than 1 signifies you lose more than you win.
Average Winning Trade / Average Losing Trade

Sharpe Ratio
This statistic returns a ratio that measures the risk premium per unit of risk of your strategy. It can help you make decisions based on the excess risk of your strategies. You may have a highreturn strategy, but the high returns may come at a cost of excess risk. The Sharpe ratio will help you determine if it is an appropriate increase in risk for the higher return or not. Generally, a ratio of 1 or greater is good, 2 or greater is very good, and 3 and up is great.
(Profit per Month – risk free Rate of Return) / standard deviation of monthly profits
Note:
•  NinjaTrader presets "risk free Rate of Return" to a value of zero 
•  In the event that there is only 1 month of trade history or less, there is insufficient data to calculate the monthly standard deviation of profits in which event, the Sharpe Ratio is set to a value of 1 
(See the Profit Per Month statistic above for its definition.)

