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Test Statistics Arrays

 

 

 

 

Used in the special-purpose scripts results.rts and graphs.rts, and can also be used in strategy formulas. Similar to a bar fields in that these represent a series of values, one per date.

S.Alloc - current allocation amount

S.BPY - strategy bars per year

S.CashInOut - cumulative net cash in-out

S.Comms - total commissions this period

S.Compounded - strategy compounding flag

S.Date - date of the current stat period

S.DDBars - current drawdown duration

S.DDDlr - current dollar drawdown

S.DDPct - current percent drawdown

S.Divs - total dividends this period

S.Entries - count of positions entered this period

S.Equity - current equity amount

S.Exits - count of positions exited this period

S.Exposure - net long-short dollars in overnight open positions

S.First - period number in which first strategy trade entry occurred

S.LossBars - duration of losing trades this period

S.LossDlr - dollar P&L of losing trades this period

S.Losses - count of losing exits this period

S.LossPct - percent P&L of losing trades this period based on position size

S.LossPctAlloc - percent P&L of losing trades this period based on allocation

S.M2M - net mark-to-market

S.MAE - maximum adverse excursion (worst intraday drawdown)

S.MaxAlloc - highest allocation amount

S.MaxDDBars - longest drawdown duration

S.MaxDDDlr - largest dollar drawdown

S.MaxDDPct - largest percent drawdown

S.MaxEquity - highest equity amount

S.MFE - maximum favorable excursion (best intraday runup)

S.MinAlloc - lowest allocation amount

S.MinEquity - lowest equity amount

S.NetDlr - dollar change in allocation value for this period

S.NetPct - percent change in allocation value for this period

S.Number - number of current stat period in a test

S.Positions - count of overnight open positions

S.Setups - count of entry setups this period

S.Slips - total slippage this period

S.StartEquity - starting equity amount

S.Stops - count of exits that were stops this period

S.Targets - count of exits that were targets this period

S.TradeBars - duration of all trades this period

S.TradeDlr - dollar P&L of all trades this period

S.TradePct - percent P&L of all trades this period based on position size

S.TradePcAlloc - percent P&L of all trades this period based on allocation

S.TWEQ - time-weighted equity value

S.Usage - total long+short dollars in intraday open positions

S.WinBars - duration of winning trades this period

S.WinDlr - dollar P&L of winning trades this period

S.WinPct - percent P&L of winning trades this period based on position size

S.WinPcAlloc - percent P&L of winning trades this period based on allocation

S.Wins - count of winning exits this period

 

 

 

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