Statistics Definitions
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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 •Please also review the information on Profit and Loss Calculation Modes where noted as applicable 
ProfitThe 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

Understanding Total Net Profit
Total net profitThis statistic returns a monetary value representing a final cumulative profit of the all profitable trades and all unprofitable trades.

Gross ProfitThis statistic returns a monetary value representing a summation of all the money earned across all your trades.

Gross LossThis statistic returns a monetary value representing a summation of all the money lost across all your trades.

CommissionThis 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)

Profit FactorThis 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 
Max. DrawdownThe 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
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.

Sharpe RatioThis 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

Sortino RatioThis 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.

Ulcer IndexThis 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.

ProbabilityThis statistic determines how likely a trade is to occur that would return the same PnL as your Avg. trade. This is based on how many trade's PnL fall within a standard deviation of the Avg. trade. Student's tdistribution is used to find probability. 
Understanding Winning, Losing, Even, and Total Number of Trades
Trade totalsThese are a simple statistics used to gauge the overall performance of the performance report.

Average TradeThis 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.

Understanding Average Winning Trade
Average Winning TradeThis 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.

Understanding Average Losing Trade
Average Losing TradeThis 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.

Understanding Ratio Avg Win / Avg Loss
Ratio Avg Win / Avg LossThis 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. winnersThis 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. losersThis 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 tradeThis statistic returns the the most profitable trade value from the collection of trades

Understanding Largest Losing Trade
Largest losing tradeThis statistic returns the the least profitable trade value from the collection of trades

Understanding Average # of trades per day
Average # of Trades per DayThis 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 MarketThis 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 MonthThis 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)

Understanding Max. Time to Recover
Max. Time to RecoverThe 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 PeriodThis 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 
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.

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.

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 profitThis statistic returns a value representing a summation of all the profit earned by all your trades. It can be interpreted as a performance measure.

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:
Exit Efficiency is Calculated as:
(exit price  minimum price seen) / (maximum price seen  minimum price seen)
Total Efficiency is Calculated as:
(exit price  entry price) / (maximum price seen  minimum price seen)
