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Other Key Terms in Rina Report The Terminology of Efficiency
Total Efficiency is defined as a realized difference in prices from a trade expressed as a part of the total profit potential during that trade. It shows how well the total move of a trade has been used. The following formula is used to compute Total Efficiency for a trade. Total Efficiency = Realized_Difference_in_Prices/Profit_Potential. Realized_Difference_in_Prices is the difference between Exit Price and Entry Price taken into account the direction of the trade. Profit_Potential is the difference between the highest and the lowest prices during the trade. That means For Long Trades Total_Efficiency = (Exit_Price - Entry_Price)/(Highest_Price - Lowest_Price), For Short Trades Total_Efficiency = (Entry_Price - Exit_Price)/(Highest_Price - Lowest_Price). Entry Efficiency is defined as a maximum possible realized difference in prices from a trade that has the trade entry price expressed as a part of the total profit potential during that trade. Entry Efficiency shows how well a system enters into a trade. If a trade is long - how close an entry to the lowest point within the trading period, if a trade is short - how close an entry to the highest point within the trading period. The following formula is used to compute Entry Efficiency for a trade.
Entry Efficiency Description Entry Efficiency = Maximum_Possible_Difference_in_Prices_For_This_Entry/Profit_Potential. Maximum_Possible_Difference_in_Prices_For_This_Entry is the difference between the Highest Close Price (for Long Trade or the Lowest Close Price for Short Trade) and Entry Price. That means For Long Trades Entry_Efficiency = (Highest_Price - Entry_Price)/(Highest_Price - Lowest_Price). For Short Trades Entry_Efficiency = (Entry_Price - Lowest_Price)/(Highest_Price - Lowest_Price). Exit Efficiency is defined as a maximum possible realized difference in prices from a trade that has the trade exit price expressed as a part of the total profit potential during that trade. Exit Efficiency shows how well a system exits a trade. If a trade is long - how close an exit to the highest point within the trading period, if a trade is short - to the lowest point within the trading period. The following formula is used to compute Exit Efficiency for a trade.
Exit Efficiency Description Exit Efficiency = Maximum_Possible_Difference_in_Prices_For_This_Exit/Profit_Potential. That means For Long Trades Exit_Efficiency = (Exit_Price - Lowest_Price)/(Highest_Price - Lowest_Price). For Short Trades Exit_Efficiency = (Highest_Price - Exit_Price)/(Highest_Price
- Lowest_Price).
Number of trades The total number of trades generated in the portfolio.
Total stopped trades The number of trades that were stopped out by the system.
Average trade The average profit/loss of all the trades in the portfolio.
1 Standard Deviation Measures the absolute variability of the returns made by all of the trades. The smaller the number the less deviation there is between the trades.
Average trade ± 1 Standard Deviation Measures the range of trades ± one standard deviation (STDEV) from the average. Note: adjustments made to the standard deviation setting found in the options menu will effect this calculation.
Coefficient of variation Expresses the standard deviation as a percentage of the
mean. The smaller the percentage, the more stable the trades. Maximum Run-up The largest intra-day run-up experienced by the portfolio on a single closed out trade.
Maximum Run-up Date The date of the largest intra-day run-up experienced by the portfolio on a single closed out trade.
Average Run-up The average maximum profit potential of all the portfolio’s
trades.
Maximum Drawdown The largest drawdown experienced by a trade (from the highest high to the subsequent lowest low) on an intra-trade basis at the portfolio level.
Drawdown Date The date of the portfolio’s maximum drawdown.
Average Drawdown The average maximum open loss (whether realized or unrealized at the time) of all the trades.
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Efficiency
Description