The maximum and average margin requirements show how much of the total
equity is tied up in one or several positions, as the highest value over the whole
testing period or as an average for all days tested, including those days when we
have no open positions at all. The time in market shows how much time the entire
strategy, made up of all systems and markets tested and the average of all system-
market combinations, spent in a trade.
Of the numbers mentioned, those to take most notice of are the average annu-
al return in relation to the Sharpe ratio, the maximum drawdown and flat time in
relation to the average drawdown, the gain-to-loss ratio, and the percentage of win-
ning months. The rest of the numbers grouped under Trade statistics, Trade frequen-
cy, Distribution analysis, and Miscellaneous are less important, simply because it’s
too much to keep track of, rank against everything else, and compromise between.
For example, if a strategy has a skewness and kurtosis I am not all that happy
with, but otherwise shows a good profit potential and a low risk, I am not about toCHAPTER 27 Spreadsheet Development 327
FIGURE 27.2
The strategy summary for the professional spreadsheet.