Thursday, October 13, 2011

Portfolio Manager Metrics

I really like the portfolio manager but am unclear how the metrics are computed/what they really mean. Is this documented anywhere?

This post will give a breakdown of the different metrics used in Portfolio.

Starting Capital: Can't be changed once set. Important to have the correct starting capital if importing a portfolio.

Open Position@Cost: The cost to acquire all open positions

Open Position@Market: The current value of positions based on the most recent market close OR real-time prices (if real-time prices are selected).

Cash Balance: Remaining cash after open positions

Cash Change: Only applies to strategies where cash has been added, or in an automated strategy where cash has been added in order to meet capital requirements to hold all positions.

Open Position Change Today: Change in value of Open Positions relative to yesterday's Open Position value.

Total Value: Total Value of Portfolio based on end-of-day prices only (does not update when real-time prices are selected).

Net Profit: Return of closed trades after commission (excludes Open Positions)

Net Profit (%): Net Profit percentage return relative to Starting Capital (includes commission, excludes Open Positions)

Return on Capital (%): Net Profit relative to Starting Capital, excluding commission.

Exposure (%): Over the life of the portfolio what the percentage of equity exposure relative to total portfolio value.

Profit Factor: Absolute profit of (closed) winning trades divided by absolute losses of (closed) losing trades
Payoff Ratio: Ratio of average win to average loss.

Recovery Factor: This is the Net Profit of closed trades divided by Maximum Drawdown (%).

Sharpe Ratio: Caclulated for the past 12-months as follows:

Max DD (%): The Maximum Drawdown for the Portfolio is a measure of the maximum decline in cash:equity value (peak to trough). Close positions only.

Longest Flat Days: The longest sequence of days when there are no trades.

Number of Trades: The total number of closed trades

Win/Loss: The percentage of winning trades

Avg. Trade (%): The average percentage return per trade

Avg. Winner (%): The average percentage return of winning (closed) trades

Avg. Loser (%): The average percentage return of losing (closed) trades

Avg. Hold Days: The average number of days (closed) trades are held

Avg. Hold Winners: The average number of days (closed) winning trades are held.

Avg. Hold Losers: The average number of days (closed) losing trades are held

Max consec. win/loss. Best sequence of winning trades and worst sequence of losing trades.



Annual Returns / Monthly Returns / Returns by Stock / Returns by Currency

Follow us on twitter here

Dr. Declan Fallon, Senior Market Technician for, offers a range of stock trading strategies via his Zignals home page. Each Zignals member has an unique home page which they can share with friends and clients to sell their strategies.

Zignals offers a full suite of financial services including price and fundamental stock alerts, stock charts for Indian, Australian, Frankfurt, Euronext, UK, Ireland and Canadian stocks, tabbed stock quote watchlists, multi-currency portfolio manager, active stock screener with fundamental trading strategy support and trading system builder. Forex, precious metal and energy commodities too. Build your own trading system and sell it in our MarketPlace to earn real cash. Read what others are saying about Zignals on


blog comments powered by Disqus