Strategy Performance Insights

Interpreting and understanding all available performance metrics for the Tradingview Strategy Performance including Net Profit, Gross Profit, Max Drawdown and more.

What is Percent Profitability? 

  • The percent profitable metric is also known as the probability of winning. This metric is calculated by dividing the number of winning trades by the total number of trades for a specified period.

What is Net Profit?

  • An investors profits/losses in real time. The value shown is the total amount earned or spent, considering whether it's positive or negative based on sign of trade(s).

What is Gross Profit? 

  • The total profit for all trades generated by a strategy.

What is Gross Loss? 

  • The total amount of money that you have lost on all your losing trades.

What is Max Drawdown? 

  • Displays the greatest loss drawdown, i.e. the greatest possible loss the strategy had during its run compared to its highest profits.

What is Buy and Hold Return?

  • This is the return achieved if all funds (initial capital) were used to buy this security when you first enter a trade, and then held it until your test period was over.

What is the Sharpe Ratio? 

  • Nobel Laureate, William Sharpe, introduced the Sharpe Ratio in 1966 under the name “reward-to-variability ratio”. The Sharpe Ratio is widely used by portfolio managers and individual traders to show how much risk was taken to achieve specific returns. The formula for the Sharpe ratio is SR = (MR - RFR) / SD, where MR is the average return for a period (monthly for a trading period of 3 or more months or daily for a trading period of 3 or more days), and RFR is the risk-free rate of return (by default, 2% annually. Can be changed with the "risk_free_rate" parameter of the "strategy()" function). SD is the standard deviation of returns. Thus, this formula yields a value that could be loosely defined as return per unit risked if we accept the premise that variability is risk. The higher Sharpe ratio, the smoother the equity curve. Having a smooth equity curve is an important objective for many traders. 

What is the Sortino Ratio?

  • The Sortino ratio is a variation of the Sharpe ratio. Unlike the Sharpe ratio, its is calculated using the standard deviation of the downside risk, rather than that of the entire (upside + downside) risk. Due to this, it is thought to give a better view of a portfolio's risk-adjusted performance because positive volatility is considered a benefit. The formula for the Sortino ratio is SR = (MR - RFR) / DD, where MR is the average return for a period (monthly for a trading period of 3 or more months or daily for a trading period of 3 or more days), and RFR is the risk-free rate of return (by default, 2% annually. Can be changed with the "risk_free_rate" parameter of the "strategy()" function). DD is the downside deviation of returns = sqrt(sum(min(0, Xi - T))^2/N), where Xi - ith return, N - total number of returns, T - target return.

What is Profit Factor?  

  • Amount made vs amount lost, including slippage, fees, and commissions. 
  • This value is calculated by dividing Gross Profit by Gross Loss.  By definition, a value greater than 1 means the trades have a positive net profit.

Sources