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Report Statistics

The following statistics are shown in a table at the top of the Detailed report page, as well as on the Win vs Loss Days and the Compare reports. Depending on your subscription level, and the particular report you are viewing, not all stats may be available.

Important Only closed trades are reflected in the report statistics.

Total gain/loss

The total aggregate P&L for all trades matching the current filter.

Average daily gain/loss

The average daily P&L for all trades matching the current filter. This is calculated as the total aggregate P&L divided by the number of days that had trades matching the current filter.

Average daily volume

The average daily volume for each day with trades matching the current filter.

Average winning trade

The average P&L of trades matching the current filter with a P&L greater than zero.

Average losing trade

The average P&L of trades matching the current filter with a P&L less than zero.

System Quality Number (SQN) gold

The SQN is a calculation developed by Van K Tharp. It can be interpreted as an overall "grade" for your trading system, and should generally not be deemed reliable with less than 30 trades. SQN is only calculated when the reports are run in R mode, and will only consider trades for which an initial risk was entered.

The SQN value can be roughly interpreted as follows:

SQN ScoreSystem Quality1.6 - 1.9Poor, but tradeable2.0 - 2.4Average2.5 - 2.9Good3.0 - 4.9Excellent5.0 - 6.9Superb7.0+Maybe the Holy Grail!

For more information on SQN, please refer to the Van Tharp site.

Total number of trades

The number of closed trades matching the current filter.

Number of winning trades

The number of trades matching the current filter with a P&L greater than zero.

Number of Losing Trades

The number of trades matching the current filter with a P&L less than zero.

Number of scratch trades

The number of trades matching the current filter with a P&L equal to zero. Note that when using the Net P&L type, a scratch trade will be considered as a trade with a zero net P&L.

Max consecutive wins

The maximum number of consecutive trades matching the current filter with a P&L greater than zero. For the purposes of determining consecutive trades, trades are ordered by start date/time. Click the show link to see the specific set of trades.

Max consecutive losses

The maximum number of consecutive trades matching the current filter with a P&L less than zero. For the purposes of determining consecutive trades, trades are ordered by start date/time. Click the show link to see the specific set of trades.

Largest Gain

The largest single trade gain, out of all trades matching the current filter. Click the show link to see the trade.

Largest Loss

The largest single trade loss, out of all trades matching the current filter. Click the show link to see the trade.

Average per-share gain/loss

The average gain or loss on a per-share (or per-contract) basis, across all trades matching the current filter. Calculated as the total P&L for all matching trades, divided by the total entry volume (that is, total volume / 2) of those trades.

Average trade gain/loss

The average gain or loss for all trades matching the current filter.

Trade P&L standard deviation

The standard deviation of the P&L for all trades matching the current filter.

Probability of random chance gold

The probability that the results, at least this extreme, could be purely due to random chance. This is based on the p value, which is a significance test (known as a one-tailed t-test) for the mean P&L being > 0. A commonly used threshold for statistical significance is when p < 5%, and a sample size of at least 30 trades is recommended.

K-Ratio gold

The raw k-ratio, as described by Lars Kestner, calculated over all of the trades matching the current filter. K-Ratio is generally used as a measure of trading consistency, where larger positive values represent greater positive consistency. A value over 2.0 is commonly considered to be a "good" ratio.

Kelly percentage gold

Also known as the Kelly Criterion, this is a measure of the quality of a system, and calculates a potential allocation percentage per trade. This is calculated over all of the trades matching the current filter. Note that this will not be calculated if all trades are losing, or all trades are winning.

Profit Factor

The result of dividing total profits by total losses for all trades matching the current filter. When using the Net P&L type, net profits and net losses are used for this calculation.

Average hold time (winning trades)

The average length of time a winning trade was held, averaged across all winning trades matching the current filter.

Average hold time (losing trades)

The average length of time a losing trade was held, averaged across all losing trades matching the current filter.

Average hold time (scratch trades)

The average length of time a scratch trade (zero P&L) was held, averaged across all winning trades matching the current filter. Note that when using the Net P&L type, a scratch trade will be considered as a trade with a zero net P&L.

Average Position MFE silver gold

Position MFE is calculated to be the maximum interim profit during a trade. Average Position MFE is the average Position MFE of all trades matching the current filter. Only trades in instruments priced in USD are included in the average.

Average position MAE silver gold

Position MAE is calculated to be the maximum interim drawdown during a trade. Average position MAE is the average Position MAE of all trades matching the current filter. Only trades in instruments priced in USD are included in the average.