How to Interpret Expert Advisor Backtest Report Metrics
Summary
The article explains fields in an Expert Advisor testing report, including modeled bars and ticks, modeling quality, gross and net profit, profit factor, expected payoff, and drawdown. It gives formulas for several metrics and explains how trade counts, win percentages, average and largest trades, and consecutive winning or losing streaks are derived. It also describes the report’s modeling-quality color diagram, which distinguishes minute data, larger timeframes, fractal modeling, and date limits, then works through an example calculation using sample history boundaries.
This is a guide to interpreting report output rather than a strategy evaluation. The described figures summarize a historical simulation and depend on the available history and modeling method; a modeling-quality percentage is not itself evidence that a strategy will perform well live. The article supplies definitions and a worked example, but no guidance on statistical significance, out-of-sample validation, transaction costs, or choosing among systems. Readers should use the metrics together and examine the underlying test assumptions.
Key ideas
- Net profit is gross profit minus gross loss, while profit factor compares gross profit with gross loss.
- Expected payoff combines the frequency and average size of profitable and losing trades.
- Absolute and maximal drawdown describe different declines in account balance or equity during a test.
- Modeling quality depends on the history segments available at different timeframes and on the test start point.
- Report statistics describe past simulated results and do not by themselves establish future performance.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.