I really like the portfolio manager but am unclear how the metrics are computed/what they really mean. Is this documented anywhere?Gary
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:
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.
Component
Cash:Equity
Drawdown
Annual Returns / Monthly Returns / Returns by Stock / Returns by Currency
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