Strategy report metrics

• Open P&L
• Net P&L
• Gross profit
• Gross loss
• Profit factor
• Commission paid
• Expected payoff
• Buy & hold return
• Buy & hold % gain
• Strategy outperformance
• Sharpe ratio
• Sortino Ratio
• Total trades
• Total open trades
• Winning trades
• Losing trades
• Percent profitable
• Avg P&L
• Avg winning trade
• Avg losing trade
• Ratio avg win / avg loss
• Largest winning trade
• Largest winner as % of gross profit
• Largest losing trade
• Largest loser as % of gross loss
• Avg # bars in trades
• Avg # bars in winning trades
• Avg # bars in losing trades
• Annualized return (CAGR)
• Return on initial capital
• Account size required
• Return on account size required
• Net profit as % of largest loss
• Avg margin used
• Max margin used
• Margin efficiency
• Margin calls
• Avg equity run-up duration (close-to-close)
• Avg equity run-up (close-to-close)
• Max equity run-up (close-to-close)
• Max equity run-up (intrabar)
• Max equity run-up as % of initial capital (intrabar)
• Avg equity drawdown duration (close-to-close)
• Avg equity drawdown (close-to-close)
• Max equity drawdown (close-to-close)
• Max equity drawdown (intrabar)
• Max equity drawdown as % of initial capital (intrabar)
• Return of max equity drawdown
• Max contracts held