Does the Wealthlab performance reports break down trade efficiency between winning and losing trades? Tradestation only gives you efficiency numbers for all trades. Can someone who uses Wealthlab post a complete set of performance reports so I can compare it with Tradestation? Thanks.
Code: Long + Short Long Only Short Only Buy & Hold Starting Capital $50,000.00 $50,000.00 $50,000.00 $50,000.00 Ending Capital $642,857.07 $642,857.07 $50,000.00 $625,214.43 Net Profit $592,857.07 $592,857.07 $0.00 $575,214.43 Net Profit % 1,185.71% 1,185.71% 0.00% 1,150.43% Annualized Gain % 66.75% 66.75% 0.00% 65.83% Exposure 1.08% 1.08% 0.00% 13.63% Number of Trades 231 231 0 11 Avg Profit/Loss $2,566.48 $2,566.48 $0.00 $52,292.22 Avg Profit/Loss % 0.61% 0.61% 0.00% 36.95% Avg Bars Held 2.16 2.16 0.00 1,258.00 Winning Trades 219 219 0 11 Winning % 94.81% 94.81% N/A 100.00% Gross Profit $705,057.01 $705,057.01 $0.00 $575,214.43 Avg Profit $3,219.44 $3,219.44 $0.00 $52,292.22 Avg Profit % 0.74% 0.74% 0.00% 36.95% Avg Bars Held 1.78 1.78 0.00 1,258.00 Max Consecutive 48 48 0 N/A Losing Trades 12 12 0 0 Losing % 5.19% 5.19% N/A 0.00% Gross Loss $-112,199.94 $-112,199.94 $0.00 $0.00 Avg Loss $-9,349.99 $-9,349.99 $0.00 $0.00 Avg Loss % -1.82% -1.82% 0.00% 0.00% Avg Bars Held 9.08 9.08 0.00 0.00 Max Consecutive 2 2 0 N/A Max Drawdown $-33,376.08 $-33,376.08 $0.00 $-164,350.30 Max Drawdown % -32.35% -32.35% 0.00% -110.23% Max Drawdown Date 7/23/2002 7/23/2002 N/A 5/10/2004 Wealth-Lab Score 4,199.94 4,199.94 0.00 -49.42 Profit Factor 6.28 6.28 0.00 INF Recovery Factor 17.76 17.76 N/A 3.50 Payoff Ratio 0.41 0.41 0.00 INF Sharpe Ratio 1.47 1.47 0.00 0.89 Ulcer Index 2.61 2.61 0.00 28.24 Wealth-Lab Error Term 21.71 21.71 0.00 39.87 Wealth-Lab Reward Ratio 3.07 3.07 N/A 1.65 Luck Coefficient 12.74 12.74 0.00 2.28 Pessimistic Rate of Return 5.36 5.36 0.00 0.00 Equity Drop Ratio 0.13 0.13 0.00 0.00
thanks wayne. is this the only page that gives system stats? is there something that gives maximum adverse excursion, efficiency, etc.?
It has MAE, distribution, by period, etc, and you can add in a tool that analyzes more stuff. You can also program it to show whatever you want. <img src ="http://www.wealth-lab.com/images/WLD3ss_3.gif"/> <img src ="http://www.wealth-lab.com/images/RLprofit.gif"/>
thanks wayne. have you used both Wealthlab and Tradestation? i've only used Tradestation but i'm thinking of switching over. one thing about Tradestation i don't like is the execute on next bar quirk. does Wealthlab have this quirk?
Haven't used TS. I only trade using EOD, but there has been discussion about bar execution when realtime trading. Check here: http://www.wealth-lab.com/cgi-bin/WealthLab.DLL/categories