How is Average Profit % calculated?
Author: Sammy_G
Creation Date: 11/3/2011 10:49 AM
profile picture

Sammy_G

#1
Below are Performance results from some strategy:

CODE:
Please log in to see this code.

I want you to focus on the Average Profit % row under the section that begins with Number of Trades. A quick glance at the Net Profit and Net Profit % would indicate that the Avg Profit % for Shorts should be negative as they lose money (yet its +1.43%), and the Avg Profit % for Buy & Hold is way too excessive (+32.88%). [The Avg Profit % under Winning Trades and Avg Loss % under Losing Trades may similarly be incorrect; haven't checked.]

Not sure how Average Profit % is calculated but it appears to be wrong. Perhaps its unduly influenced by a few trades and thus appears inappropriate in the overall context?
profile picture

Eugene

#2
QUOTE:
Not sure how Average Profit % is calculated but it appears to be wrong.

It's calculated as the simple sum of all Position.NetProfitPercent's divided by position count. Unfortunately, the table is not enough for this kind of troubleshooting: we need to know the net profit % for each short position, available by copying from the Trades tab. tia.
profile picture

Sammy_G

#3
[Can you tell me what html formatting command you used to format my table above?]

You are right. I calculated the simple average in Excel and it gives the Avg Profit % value. However, this raises the question if using the simple average is the right way to do this, as the table above shows it can lead to some funky values. The problem with a simple average is that everything gets equal weight e.g. a 10% profit/loss when the account equity was XX gets the same weight as the same 10% profit/loss when the account value has doubled (or halved). Perhaps you might consider adding a metric like Weighted Average Profit % (and also Weighted Average Profit)?
profile picture

Cone

#4
[Can you tell me what html formatting command you used to format my table above?]
-> CODE tags

The % profit of a trade doesn't have anything to do with weighting. % Profit is % Profit no matter what the size of the position.

On the other hand, the average dollar profit does would be a function of position sizing and progressive changes in Porfolio value if fixed sizing isn't used.
profile picture

Eugene

#5
QUOTE:
Perhaps you might consider adding a metric like Weighted Average Profit % (and also Weighted Average Profit)?

To get fancy, the performance visualizer API is made open:

Wealth-Lab Version 6 (.NET) Development Guide
Home - MS123 Visualizers demo source code

This website uses cookies to improve your experience. We'll assume you're ok with that, but you can opt-out if you wish (Read more).