QuantAnalyzer统计指标解释

Total Profit 总盈利

最后净值-初始资金

Profit In Pips 总盈利换算成点数

Yearly AVG Profit 每年挣多少钱

This number indicates average profit per year.

Yearly AVG % Return 每年回报率

CAGR 年均复合增长率

It is an appreciation percentage (p.a.).

Sharpe Ratio 夏普比率

It is used to help traders to understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk.

Profit Factor 盈利因子

This is a popular indicator. We basically require a value 1.3 or higher.

Return/DD ratio 盈撤比

This ratio is widely used. It is good to also consider a risk (in this case drawdown).

Winning Percentage 胜率

This indicator usually ranges between 40 and 60 %. Even strategy with WP lower than 50 % can be fine – depends on Risk Reward Ratio (Stop Loss vs. Profit Target), i.e. potential loss or win.

Draw Down 静态回撤

It says what is the biggest downswing of capital (equity).

% Draw Down 回撤比例

This index shows what is the maximum percentage downswing of capital.

Daily AVG Profit 日均盈利

Monthly AVG Profit 月均盈利

Average Trade 每单盈利

Precisely, this is an average profit per one trade.

Annual% / Max DD% 年撤比

本站最爱的指标

R Expectancy R预期

It is an average trade with consideration of risk (maximum potential loss of trade).

R Expectancy Score R预期分数

This indicator extends R EXPECTANCY by an average number of trades per year.

STR Quality number STR质量数

Performance metrics developed by Van Tharp; it measures the quality of a trading system. Standard interpretation of SQN is:

Score: 1.6 – 1.9 Below average, but trade-able
Score: 2.0 – 2.4 Average
Score: 2.5 – 2.9 Good
Score: 3.0 – 5.0 Excellent
Score: 5.1 – 6.9 Superb
Score: 7.0 – Keep this up, and you may have the Holy Grail.

SQN Score SQN分数

STR QUALITY NUMBER does not consider the length of testing period and number of trades produced. Therefore, there is also SQN SCORE.

Wins/Losses ratio 盈亏单数比

Payout ratio 回报比例

It says how many times is the average win bigger than average loss.

AHPR

Z – Score Z分数

It describes the position of a raw score (AVERAGE TRADE) in terms of its distance from the mean, when measured in standard deviation units. The z-score is positive if the value lies above the mean, and negative if it lies below the mean.