Custom Statistic To Use (default = CAGR Over Average Draw Down (3)): Here you can select the custom statistic that you want to use.
Annualized Return Over Average Draw Down (0) | This is a non-compounding version of CAGR/ Average Draw Down.
It is meant to be used in conjunction with the fixed lot and fixed $ risk backtests. Watch: Using ‘Return / Max Drawdown' and Normalized Profit Factor Performance Criteria |
Annualized Return Over Average Peak Draw Down (1) | This is similar to CAGR / Average Drawdown but it instead only evaluates the drawdown peaks and is best used in conjunction with “Sample every Closed Trade (0)”. |
Annualized Return Over Maximum Draw Down (2) | This is a modification of the MAR Ratio used in the financial industry (Read more about it here), it is calculated by taking the total net return vs the maximum drawdown of the strategy. This gives a number that can be compared between different strategies with different risk levels in an objective way. In general the higher the number the better the result. |
Blended Annualized Return Over Draw Down (3) | This is a custom statistic which is a blend of weighing together Annualized Return/Avg DD and Annualized Return/MaxDD. |
CAGR Over Average Draw Down (4) | This custom performance metric takes the draw-down % for every certain sample (selected in the next setting) and compares it to the CAGR of the strategy. This gives a good indication of how much reward a strategy gives for a given loss level over time. This gives a number that can be compared between different strategies with different risk levels in an objective way. In general the higher the number the better the result.Watch: Why Return/MEAN-Drawdown is a better measure of trading performance than MAX Drawdown |
CAGR Over Average Peak Draw Down (5) | This custom stat is a modification CAGR / Average Drawdown but it instead only evaluates the drawdown peaks and is best used in conjunction with “Sample every Closed Trade (0)”.
This gives a number that can be compared between different strategies with different risk levels in an objective way. In general the higher the number the better the result. |
CAGR Over Maximum Draw Down (6) | This is a custom statistic that can be compared across many strategies even if no candle-by candle data is available. (its a simpler custom statistic than the previous ones) and it informs you of the relative reward of your strategy for a certain level of risk. In other words, this gives you a metric of risk-adjusted return for your strategy or portfolio.This gives a number that can be compared between different strategies with different risk levels in an objective way. In general the higher the number the better the result. |
Blended CAGR Over Draw Down (7) | This is a custom statistic which is a blend of weighing together CAGR/Avg DD and CAGR/MaxDD. |
Sampling method for Avg DD (default = Sample every M1 candle (1)): Select the sampling method for calculating the custom performance metric for backtests and optimizations.
Sample every Closed Trade (0) | Best for use with CAGR/Max DD or CAGR / Average Peak DrawDown. |
Sample every M1 candle (1) | Best for day trading strategies and to get the most accurate Average drawdown values. |
Sample every H1 candle (2) | Best for swing trading strategies. |
Sample every D1 candle (3) | Best for position trading strategies. |
Additional Statistics Filters
Minimum Trades for valid stats (default = 60) |
Minimum Win Rate (%) (default = 25) |
Minimum R:R Ratio (default = 1) |
Minimum Profit Factor (default = 1) |
If any of the statistics for the backtest are below the minimums set on the inputs the Custom parameter that OnTester returns will be 0.
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