Trade Log File Attributes and Definitions
spintwig Solutions LLC
v1.0.0
Last updated: 2019-10-22
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StrategyStats.csv & StrategySummary.csv (same data, different layout)
AnnReturn Annual Return = Total Yearly Annual Returns / Total Years
AnnSharpe Annual Sharpe Ratio = Annual Return – Risk-Free Return / Standard Deviation of Excess Returns
AnnSortino Annual Sortino Ratio = Annual Return – Risk-Free Return / Standard Deviation of Negative Excess Returns
AnnVolatility Standard Deviation of Yearly Returns
MaxDrawDown% Percentage of Max drawdown from peak to trough
DrawDownDays Number of days of Max drawdown from peak to trough
BestMonthRtn Best Returns in a month
WorstMonthRtn Worst Returns in a month
BestYearRtn Best Returns in a year
WorstYearRtn Worst Returns in a year
BestTradeP&L$ Best profit/loss in a given trade in absolute dollars per 1 contract
WorstTradeP&L$ Worst profit/loss in a given trade in absolute dollars per 1 contract
BestTradeP&L% Best profit/loss in a given trade in notional percent returns
WorstTradeP&L% Worst profit/loss in a given trade in notional percent returns
P&L$PerTradeAvg Profit/Loss per trade average in dollar terms
P&L$PerDayAvg Profit/Loss per day average in dollar terms
P&L%PerTradeAvg Profit/Loss per trade average in percentage terms
P&L%PerDayAvg Profit/Loss per day average in percentage terms
StratWinRate Strategy Win Rate = Total Number of Winning trades divided by Total number of trades
DaysInTradeAvg Average number of days in option trade
TotStratTrades Total number of trades
TotStratP&L$ Total Profit/Loss for the strategy in dollar terms
TotStratP&L% Total Profit/Loss for the strategy in percentage terms = TotStratP&L$ / (CreditReceivedPerTradeAvg * TotStratTrades)
CreditReceivedPerTradeAvg Credit/Debit Received/Paid per trade average
%OfTimeInMarket Percent of time in the market = Number of days in the market divided total number of days in the backtest
Year Year of backtest
Jan - Dec Monthly Returns
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StrategyReturns.csv
Date Date of Daily Return
Return Daily Notional Return = Daily Option Profit / Entry Stock Price
Delta Total net delta in the position
StockPx Stock Price
TotalProfit Total 1 lot daily strategy profit
TotalTrades Total number of current option positions
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StrategyTrades.csv
Date Date of option trade entry
Ticker Stock Symbol
Leg Leg number of the trade
Ratio Ratio of the option trade (ie 1 for long and -1 for short. -2 could be the middle strike for 2 short options in a butterfly)
Weight Weightings multiplier for a symbol that affects profit and return calculations. Commonly used for multi-symbol strategies
OptionType call or put
Year Year of expiration
Month Month of expiration
Strike Strike of the option
DTE Days to expiration
TradeOptPx Entry option price
Delta Entry option delta
EntryStockPx Stock price at the time of option trade entry
IVR Implied Volatility Rank of the time of entry
ExitDate Exit date of the option trade
ExitStockPx Stock price at the time of option trade exit
ExitOptionPx Exit option price
ExpirDate Expiration date
ExpirPx Stock Price at expiration
Profit 1 lot total strategy profit including commissions and weightings multiplier if any
TradeType Opening or Adjustment trade
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