This discussion of the detailed summary of test results found in technical analysis programs uses in part the report from Omega Research's TradeStation™ software. The purpose of the summary is to show how a particular trading system would have done on historical data.
The summary shown in Table 3.13 is for the British pound continuous contract for the 65-day simple moving average, three consecutive closes (65sma-3cc) trend-following system. The 65sma-3cc trading system is discussed in detail in the next chapter. The summary here is for all trades, long and short. The software shows the same information for long trades only and for all short trades.
The summary is broken down into five blocks. The top-most block describes profitability. The second block gives physical trade count. The third block presents average trade data. The fourth block shows trade duration or length data. Finally, the fifth block gives important information on drawdowns, profit factor, and returns.
The total net profit is the difference between the gross profit and gross loss. The gross profit is the sum of the profits on all profitable trades. Similarly, the gross loss is the sum of losses on all losing trades. The open trade profit or loss is the value on a trade still open at the end of the test period. The net profit is an important figure that influences
68 Foundations of System Design
Table 3.13 Typical performance summary for 65sma-3cc system