1. Max system % drawdown
2. Max trade % drawdown
3. Max Flat (from Fred Tonetti's Portfolio.afl)
4. RAR
5. CAR
Michael.S.G. wrote:
[Revised List]
Question for everyone,
What are your 5 most important backtest statistics.
You may choose from the following list (From AB backtest
report/statistics)
Number of stocks (new)
Initial capital
Ending capital
Net Profit
Net Profit %
Exposure %
Net Risk Adjusted Return %
Annual Return %
Risk Adjusted Return %
All trades (Number of trades)
Avg. Profit/Loss
Avg. Profit/Loss %
Avg. Bars Held
# of Winners
Total Profit
Avg. Profit
Avg. Profit %
Avg. Bars Held
Max. Consecutive
Largest win
# bars in largest win
# of Losers
Total Loss
Avg. Loss
Avg. Loss %
Avg. Bars Held
Max. Consecutive
Largest loss
# bars in largest loss
Max. trade drawdown
Max. trade % drawdown
Max. system drawdown
Max. system % drawdown
Recovery Factor
CAR/MaxDD
RAR/MaxDD
Profit Factor
Payoff Ratio
Standard Error
Risk-Reward Ratio
Ulcer Index
Ulcer Performance Index
Sharpe Ratio of trades
K-Ratio
