The following are definitions and formulas used for Trade Performance statistics.
Notes:
•  Quantity is defined as the number of contracts traded 
•  Point value is defined as the monetary conversion of each point (e.g. 100 for currency pairs) 
•  FX lot size is the default Forex Lot Size for the account 

Understanding Profit
Profit
The difference in price between the entry and exit execution. This value may be positive or negative and is used to determine winning vs losing trades
•  (exit price – entry price) for long trades 
•  (entry price – exit price) for short trades 
Note: This statistic may also display in selected Display Units (percent, points, pips or ticks). To see the base calculation behind each execution, view the Profit and Loss Calculation Modes page.


Understanding Total Net Profit
Total net profit
This statistic returns a monetary value representing a final cumulative profit of the all profitable trades and all unprofitable trades.
Currency, Pips, Points, Ticks

SUM(gross profit and gross loss) of all trades

Percentage

SUM((1 + gross profit in percent) * ( 1 + gross loss in percent)  1) of all trades

Notes:
•  See also Understanding Gross Profit and Understanding Gross Loss on this page 
•  This statistic may also display in selected Display Units (percent, points, pips or ticks). To see the base calculation behind each execution, view the Profit and Loss Calculation Modes page. 


Understanding Gross Profit
Gross Profit
This statistic returns a monetary value representing a summation of all the money earned across all your trades.
Currency, Pips, Points, Ticks

SUM(profit * quantity) of all winning trades

Percentage

SUM((1 + Current gross profit in percent) * ( 1 + gross loss in percent)  1) of all wining trades

Note: This statistic may also display in selected Display Units (percent, points, pips or ticks). To see the base calculation behind each execution, view the Profit and Loss Calculation Modes page.


Understanding Gross Loss
Gross Loss
This statistic returns a monetary value representing a summation of all the money lost across all your trades.
Currency, Pips, Points, Ticks

SUM(profit * quantity) of all losing trades

Percentage

SUM((1 + Current gross loss in percent) * ( 1 + gross loss in percent)  1) of all wining trades

Note: This statistic may also display in selected Display Units (percent, points, pips or ticks). To see the base calculation behind each execution, view the Profit and Loss Calculation Modes page.


Understanding Commission
Commission
This statistic returns a monetary value that is the summation of all the commission fees associated with the trades executed.
SUM(commission of all traded executions)

Understanding Profit Factor
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

Understanding Max. Drawdown
Max. Drawdown
The maximum drawdown statistic provides you with information regarding the biggest decrease (drawdown) in account size experienced from the highest high seen. Drawdown is often used as an indicator of risk.
Drawdown = local maximum realized profit – local minimum realized loss
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.
Note: This statistic may also display in selected Display Units (percent, points, pips or ticks). To see the base calculation behind each execution, view the Profit and Loss Calculation Modes page.


Understanding Sharpe Ratio
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
Notes:
•  See also Understanding Profit Per Month on this page 
•  NinjaTrader hard sets "riskfree Rate of Return" to a value of zero 
•  The Sharpe Ratio is set to a value of "1" if there is insufficient data to calculate the monthly standard deviation of profits (i.e., there is only 1 month of trade history or less) 
•  A month is defined as 30.5 days which is the (number of days) / (number of months in a year considering leap year) 


Understanding Sortino Ratio
Sortino Ratio
This statistic is used the same as Sharpe Ratio, the only difference being that Sortino only takes into account the downside deviation. You would want to use this statistic if you wanted to differentiate between harmful volatility from volatility in general (Sharpe Ratio).
(Profit per Month – risk free Rate of Return) / standard deviation of monthly drawdown
See also Understanding Profit Per Month on this page.
Notes:
•  NinjaTrader hard sets "riskfree Rate of Return" to a value of zero 
•  The Sortino Ratio is set to a value of "1" if there is insufficient data to calculate the monthly standard deviation of profits (i.e., there is only 1 month of trade history or less) 
•  A month is defined as 30.5 days which is the (number of days) / (number of months in a year considering leap year) 


Understanding Ulcer Index
Ulcer Index
This statistic measures downside risk, the Ulcer Index becomes higher as profit declines from the max realized profit achieved and lower as profit rises. The lower the value the better as this indicates there is overall less downside risk.
Currency

SQRT(Summation((cumulative currency profit  maximum realized currency profit) ^2 ) / Total # of trades)

Percent

SQRT(Summation((1 + cumulative percent profit / (1 + maximum realized percent profit)  1) ^2 ) / Total # of trades)

Points

SQRT(Summation((cumulative point profit  maximum realized point profit) ^2 ) / Total # of trades)

Pips

SQRT((Summation((cumulative point profit  maximum realized point profit) ^2) / PipSize ) / Total # of trades)

Ticks

SQRT((Summation((cumulative point profit  maximum realized point profit) ^2) / TickSize ) / Total # of trades)


Understanding Winning, Losing, Even, and Total Number of Trades
Trade totals
These are a simple statistics used to gauge the overall performance of the performance report.
Total # of trades

The total number of trades taken between the start and end date in the collection

# of winning trades

The total number of trades which profit in point is greater than 0

# of losing trades

The total number of trades which is less than 0

# of even trades

The total number of trades which profit in point is equal to 0

Percent profitable

The total number of profitable trades divided by the total number of trades

Note: The winning and losing trades are factored by their calculated profits solely in points. It is possible to have trades which are technically profitable in percent, but are not profitable based on their point value (or vice versa)


Understanding Average Trade
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

Pips

SUM(profit * quantity / FX lot size) of all trades / # of trades

Ticks

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


Understanding Average Winning Trade
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

Pips

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

Ticks

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


Understanding Average Losing 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

Pips

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

Ticks

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


Understanding Ratio Avg Win / Avg Loss
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

Understanding Maximum Consecutive Winners
Max. consec. winners
This statistic returns the largest number of winning trades which followed a previous winning trade. Once a losing trade is detected, the consecutive winner count is reset until another winning trade is found

Understanding Maximum Consecutive Losers
Max. consec. losers
This statistic returns the largest number of losing trades which followed a previous losing trade. Once a winning trade is detected, the consecutive loser count is reset until another losing trade is found

Understanding Largest Winning Trade
Largest winning trade
This statistic returns the the most profitable trade value from the collection of trades
Note: This statistic may also display in selected Display Units (percent, points, pips or ticks). To see the base calculation behind each execution, view the Profit and Loss Calculation Modes page.


Understanding Largest Losing Trade
Largest losing trade
This statistic returns the the least profitable trade value from the collection of trades
Note: This statistic may also display in selected Display Units (percent, points, pips or ticks). To see the base calculation behind each execution, view the Profit and Loss Calculation Modes page.


Understanding Average # of trades per day
Average # of Trades per Day
This statistic returns a value that represents the average # of trades you take per day. This is useful so you can determine if you are overtrading. This statistic excludes weekends and holidays by using a 252 trading days in a year constant.
SUM(of all trades) / (# of days between the date of the first trade and the date of the last trade) * 252 / 365

Understanding Average Time in Market
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/time – entry date/time) of all trades / # of trades

Understanding Profit Per Month
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. A month is defined as 30.5 days which found by the following: (number of days) / (number of months in a year considering leap year)
Currency

cumulative profit / # of months

Percent

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

Points

cumulative profit / # of months

Pips

cumulative profit / # of months

Ticks

cumulative profit / # of months

Note: See the cumulative profit statistic below for its definition


Understanding Max. Time to Recover
Max. Time to Recover
The maximum time to recover statistic returns the largest time it took to recover back to the highest profit experienced. This indicates how long you waited before becoming profitable again.

Understanding Longest Flat Period
Longest Flat Period
This statistic returns the longest time duration that occurred between trades. This may be reflected in total minutes, or total days.
current trade entry time  last trade exit time

Understanding Average MAE
Average MAE (Maximum Adverse Excursion)
This statistic returns a value representing the average maximum rundown your trades experience. This information helps you gauge how poorly your 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

Pips

SUM(MAE * quantity / FX lot size) of all trades / # of trades

Ticks

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

Note:
•  MAE (max. adverse excursion) is defined as worst price trade reached – entry price 
•  For realtime trades, the maximum and minimum price seen is recorded live during the duration of the trade and stored per entry/exit execution. This value includes bid/ask prices which may not be reflected on the chart. If there are time periods where you are receiving realtime price updates, those prices within that period cannot be used. 
•  When backtesting, the high and low of the bar series is used 


Understanding Average MFE
Average MFE (Maximum Favorable Excursion)
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

Pips

SUM(MFE * quantity / FX lot size) of all trades / # of trades

Ticks

SUM(MFE * quantity / tick size) of all torades / # of trades

Note:
•  MFE (max. favorable excursion) is defined as (best price trade reached – entry price) 
•  For realtime trades, the maximum and minimum price seen is recorded live during the duration of the trade and stored per entry/exit execution. This value includes bid/ask prices which may not be reflected on the chart. If there are time periods where you are receiving realtime price updates, those prices within that period cannot be used. 
•  When backtesting, the high and low of the bar series is used 


Understanding Average ETD
Average ETD (End Trade Drawdown)
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.
Average MFE – Average Trade

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

SUM(Profit in Currency) of all trades

Percent

SUM((1 + Current Profit in Percent) * (1 + Profit in Percent)  1) for all trades

Points

SUM(Profit in Points) of all trades

Pips

SUM(Profit in Points / Pip Size) for all trades

Ticks

SUM(Profit in Points / Pip Size) for all trades

Tip: Cumulative profit in % mode will reinvest your profits  as an example let's say you take these 3 trades on a 10K account  5%, 10%, 7.5% profit or in currency terms you made 500$, 1000$, 750$. The first trade added to the account gives us 10500$, adding the second trade in gives us 10550 (first one of 500$ plus the 10% second trade of 10500$ as base). The third trade of 7.5% of 11550$ gives us 866.25$, so a total of 2386.25$ if we reinvested. Or in % terms we made 23.8625%  while, if we had only summed the individual trades % profits without reinvesting, we would have had 22.5% profit (5% + 10% + 7.5%)


Understanding Entry, Exit, and Total Efficiency
Following are the formulas for the calculation of the entry, exit, and total efficiency.
Assume the following:
 Enter long at price of 100
 Market moves down to a price of 90
 Market moves up to a price of 130
 Exit at a price of 110
Entry Efficiency is Calculated as:
(maximum price seen  entry price) / (maximum price seen  minimum price seen)
= (130  100) / (130  90)
= 75%
= The entry took 75% of the trade range
Exit Efficiency is Calculated as:
(exit price  minimum price seen) / (maximum price seen  minimum price seen)
= (110  90) / (130  90)
= 50%
= The exit took 50% of the available trade range
Total Efficiency is Calculated as:
(exit price  entry price) / (maximum price seen  minimum price seen)
= (110  100) / (130  90)
= 25%
= The trade represented only 25% of the trade range
Note:
•  The formulas are reversed for short 
•  The blue line on any efficiency graph represents the average 
•  For realtime trades, the maximum and minimum price seen is recorded live during the duration of the trade and stored per entry/exit execution. This value includes bid/ask prices which may NOT be reflected on the chart. If there are time periods where you are receiving realtime price updates, those prices within that period are not used. 
•  When backtesting, the high and low of the bar series is used 
•  These statistics may also display in selected Display Units (percent, points, pips or ticks). To see the base calculation behind each execution, view the Profit and Loss Calculation Modes page 

