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Table of Pairs

Table of Pairs

Table of pairs contains all settings and results of pairs backtests. It is a main tool for editing the parameters, sorting, processing and selection of the portfolio.

Pair parameters can be edited directly in the table by inserting required value.

Pairs are selected by standard procedures of MS Windows, ie. by clicking the left button of the mouse, or by holding the keys Ctrl or Shift.

Columns of pairs table

Columns that are to be shown in the table can be set by double clinking the columns heading.

Entry parameters:
Column Description
Class This is used for classification of the pairs into groups. It has no impact on the backtesting.
Pair ID Automatic identification of a pair. Pairs that differs just by the titles order have the same ID.
Model Calculation model of the pair More details are available at calculation models
Stock A Stock A symbol
Stock B Stock B symbol
Period Period for calculation of the moving average and the standard deviation
Time SL Maximum amount of business days, for which the position can be opened. Day of position entry = 0 At the end of day X (where X is a time stop-loss) the position is closed (at latest).
Entry value Limit level of relative deviation for entry to the position
Exit value Limit level of relative deviation for exit the position
Capital Capital allocated for one stock in the pair. Number of opened positions of one leg of pair = Capital / Close price After opening the trade, trader checks the position that corresponds to double value of the capital! Settings is based on an usual 50% margin for stocks trading.
Beginning of testing First day, when the trade can be entered.
End of testing Last day, when it is possible to enter the trade
Pair characteristics
Column Description
Close price A Last know Close price of stock A
Close price B Last known Close price of stock B
Ratio of Close prices Ratio of last known Close prices: CloseA / CloseB
Maximal change Close Maximal change Close between two business days. This variable helps to identify splits, errors and gaps in data. It corresponds to a variable at a tab Database.
Average volume A Average volume A at last 30 business days that are saved in the database (ie. not in the last 30 days of tested period!)
Average volume B Average volume A at last 30 business days that are saved in the database (ie. not in the last 30 days of tested period!)
Backtest results:
Column Description
Profit Gross profit of pair (without commissions)
Profit / DD Ratio between total profit and maximal recorded pair drawdown at the tested period of time
Average profit / DD Ratio between total profit and maximal recorded pair drawdown at the tested period of time
Equity stability Equity stability = average trade / average deviation of equity from straight course. The higher the equity stability value, the smoother its course and the closer it is to a straight line.
Profitable % Percentage of profitable trades
RRR Risk - reward ratio. RRR = Average profitable trade / Average unprofitable trade
Number of trades Total number of trades within tested period
Number of profitable trades Number of profitable trades within tested period
Number of unprofitable trades Total number of unprofitable trades within tested period
Average trade Gross average trade = Profit / Number of trades. Commissions are not included
Average profit Average profitable trade at tested period of time
Average profit per day Average profit / loss per one day, when a pair was in position
Average loss Average unprofitable trade at tested period of time
Average duration of trade Average number of days, within which a position at a given pair is opened
Ratio of days in position Ratio of time, when the pair was in a position / total time
Highest profit Highest profitable trade within tested period of time
Highest loss Highest unprofitable trade within tested period of time
Highest opened loss Highest opened pair loss = highest loss that happened at an opened position within tested period of time
Drawdown Drawdown is different between the last equity peak and following bottom of the decrease. Ie. it expresses maximal decrease of profit of tested pair before the next peak is achieved