Explanation of Terms and Definitions
The analysis centers on the overall performance of the trading strategy and should be used to gauge the total performance. It should not, however, be used exclusively to determine the true worth of the strategy or portfolio. The available fields are listed and described below in alphabetical order:

Adjusted Gross Loss
This figure inflates losing trades by calculating the total losing trades plus its square root, multiplied by the strategy's average losing trade dollar amount. Therefore, if you are willing to accept this adjusted figure and trade the strategy, then actual strategy returns should be even more acceptable.

Adjusted Gross Profit
This figure deflates winning trades by calculating the total winning trades minus its square root, multiplied by the strategy's average winning trade dollar amount.
Therefore, if you are willing to accept this adjusted figure and trade the strategy, then actual strategy returns should be even more acceptable.

Adjusted Net Profit
This field is calculated by subtracting the adjusted gross loss from the adjusted gross profit. The adjusted gross profit and loss fields inflate the strategy's losing trades and deflate the strategy's winning trades in an effort present a worst case scenario. Therefore, if you are willing to accept this adjusted figure and trade the strategy, then actual strategy returns should be even more acceptable.

Adjusted profit factor
This field is similar to profit factor, but it is calculated by dividing the adjusted gross profit by the adjusted gross loss. The adjustment artificially deflates winning trades and inflates losing trades, giving you a worst case scenario.

Annual rate of return
The strategy's annual compounded rate of return for the test period. This value will not display for strategies applied to intraday charts.

Buy/Hold return.
The return you would have achieved if you had bought and held for the duration of the test period. When comparing the total net profit of the strategy to the Buy/Hold Return, keep in mind that the buy and hold strategy can represent significant drawdown as well as risk because your investments are exposed to market moves 100% of the time. Also, consider that since your money is in the market 100% of the time, you cannot invest it elsewhere. The strategy result's Net Profit figure does not need to be greater than the Buy/Hold Return, but certainly the closer (or greater) the better, especially if combined with time in the market.

Commissions
The dollar amount paid in brokerage commissions. This value does not include slippage.

Cumulative return
The cumulative return value finds the amount of money you made (plus open positions), divided by the amount of money that was invested on the first trade.
The formula used to calculate cumulative return is: (net profit + open position profit or loss) divided by (Absolute value (1st entry price X Big Point Value X number of contracts of first trade) )    [X = mutiplied by]

Gross Loss
This field calculates the cumulative total of all losing trades generated by a strategy. This is a very important number that is often overlooked because many people only look at the winning trades, ignoring the losing trades. Keep in mind that net profit will increase not only when you improve gross profit but also when you reduce gross loss. It is very important to analyze the losing trades in order to improve your trading strategies.

Gross Profit
This field calculates the cumulative total of all winning trades generated by a strategy.

Interest Earned
The interest rate your money earns when not in the market. You set the interest rate you earn on non-invested money in the Costs tab of the Format Strategy dialog box.

K-ratio
This ratio is similar to the Sharpe Ratio. It differs in that it uses linear regression techniques to measure the consistency of results through time. The higher the ratio, the greater the return in relation to risk. Note: This value is displayed for strategies applied to intraday charts. This field calculates the total number of dollars made or lost by the trading strategy during the test period.

Open Position
This field calculates the profit/loss on the current open position. If you do not have an open position the field returns zero.

Percent in the market
Divides the test period by total time in the market to derive the percentage of time spent in the market. The less time the strategy has money invested in the market, the less your capital is exposed to market activity, and the more you have your equity available to
invest elsewhere. If this number is large, make sure its reward/risk ratios are in line with other comparable strategies. Percent time in the market is yet another measure of risk.

Percent profitable
This field calculates the percentage of profitable trades generated by a strategy. Percent profitable is calculated by dividing the number of winning trades by total trades generated by a strategy. Percent profitable can be misleading by itself because there are different approaches to profitability. A strategy could have many small winning trades, in which case the percent profitable would be high with a small average winning trade, or a few big winning trades, which would produce a low percent profitable and a big average winning trades. Many successful strategies have a percent profitability below 50% but are still profitable because their losses are limited.

Profit factor
This field calculates how many dollars a trading strategy made for every dollar it lost. This value is calculated by dividing gross profits by gross losses.

Ratio avg. win/avg. loss
This field calculates, on average, how many dollars you win for every dollar you lose. This value is calculated by dividing the average winning trade by the average losing trade. This field can be very deceiving by itself because strategies can have different approaches to profitability. A strategy could look to trade very often in order to capture many small profits yet have an average losing trade greater than the average winning trade. The higher this number is the better, but it should be looked at together with the percentage of winning trades and the net profit.

Return on initial capital
Return on initial capital is the strategy's net profit divided by the initial capital. The field represents the strategy's net profit divided by its maximum draw down. Note: When you do not factor in margin on the Costs tab of the Format Strategy dialog box, Return on Account will equal this field.

RINA Index
This proprietary index combines select net profit, time in the market, and drawdown calculations into a single reward/risk ratio. The larger the number the more efficient the strategy. Look for a strategy with an index of 30 or more. RINA Index = (Select Net Profit) divided by ((Average Drawdown) X (Percent time in the market))

Select Gross Loss
This field adjusts the gross loss by subtracting negative outlier trades from total losing trades. Note: Strategies that are heavily dependent upon outlier trades will generally have dramatically different actual profit results. A trade is considered to be an outlier when its loss is greater than three standard deviations away from the average loss.

Select Gross Profit
This field adjusts the gross profit by subtracting positive outlier trades from total winning trades. Note: Strategies that are heavily dependent upon outlier trades will generally have dramatically different actual profit results. A trade is considered to be an outlier
when its profit is greater than three standard deviations away from the average profit.

Select Net Profit
This field adjusts strategy results by removing all outlier trades, both positive and negative. The final value represents the net profit without any anomalous trades.
Note: Strategies that are heavily dependent upon outlier trades will generally have dramatically different actual profit results. A trade is considered to be an outlier
when its profit/loss is greater than three standard deviations away from the average profit/loss.

Sharpe Ratio
Average monthly return (%) minus the risk-free rate (Interest rate setting in the Costs tab of the Format Strategy dialog box) divided by the standard deviation of monthly returns. The higher the number, the greater the return in relation to the risk. This calculation is based on the last 36 months. Note: this value is displayed for strategies applied to intraday charts via Rina’s software. The Sharpe Ratio is an alternative to the Return Retracement Ratio.

Excel spread sheets provided by Rina’s Portfolio Maximizer and Portfolio Evaluator