The **Customize
Titles for Equity Plots** option offers the means to select the equity
plot titles desired for the plot as well the performance metrics to be included in the titles.

Titles

There can be up to three titles containing performance metrics:

**Underlying Buy-Hold**

**Tradescape Signal**

**Trading Signal**

The **Underlying Buy-Hold** title contains the performance information
for holding the entity for the duration of the analysis period. No trading occurs.

The **Tradescape Signal** (**EM**) title contains the performance
information for the EM signal used in the tradescape for the time horizon and lag fraction of the point
that was selected. If this is not a user-signal point, the trades shown in the equity plot represent those
originating from this EM signal. If the equity plot derives from a point representing a user-defined signal,
this will be the EM signal for the time horizon and lag fraction estimated from the user's trading signal.
In this case, the tradescape results will be shown as a reference in the plot.

If the point is a user-defined trading signal, the **Trading Signal**
(**Signal**) title contains the performance information for the user's entry-exit signals signaling.
This will be the principal equity plot in the graph.

The **Toggle
Display of Reference** data in the equity graph toolbar will toggle the references on and off.
If the equity plot contains the underlying and the tradescape signal, the underlying will be present as
a reference. If the equity plot also contains a user-defined signal, the underlying and the tradescape
signal will be shown as references.

If you uncheck any title that corresponds with a reference, that particular reference will not be drawn in the plot.

Performance Titles

The **Annualized Return** (**ArRtn** in titles) is the simple
yearly return. If an entity's price increases from 10 to 40 across ten years, there is a +300% increase
for 10 years, or +30% annualized return.

The **CAGR** (**Cagr** in titles) is the compound annual
growth rate as a percent. This is the standard CAGR formula compounded each trading day (the formula adjusts
for the actual average count of trading days in a year). This formula uses the value at the starting and
ending dates for the computation. The value can be highly sensitive to the specific dates chosen.

The **Robust CAGR (Trend)** (**Trnd** in titles) is the CAGR
fitted to all data points in the analysis period using a linear regression procedure. Compound growth
is assumed, which means the ln of the prices is assumed to be linear. By using this approach, the impact
of the specific starting and ending dates is much lessened. One achieves a better picture of the overall
trending during the period. This is also expressed as an annual growth rate in percent.

The **Trend r²** (**[]** in titles) is the coefficient of
determination from the regression used to compute the robust trend. An r² of 1 is a perfect fit, a 0 is
what one would expect from fitting random noise. The closer the r² is to 1, the better an equity curve
is shown to be continuously trending.

The **Total Round Trips **(**RndTrps** in titles) is the
total count of complete trade cycles (an entry and an exit counts as 1 round trip) for the analysis period.

The **Average Trade Length** (**TradeLen** in titles) is
the average bar count for all of the trade cycles in the analysis period.

The **Win Percentage** (**Win** in titles) is the percent
of trades executed for a net increase in equity.

The **Percentage Invested** (**InMkt **in titles) is the
percent of bars where one was in a position.

The **Volatility** (**Vlty** in titles) is the standard SD
definition of bar-to-bar volatility annualized to a % using the sqrt(n) Gaussian assumption.

The **Sharpe Ratio** (**Sharpe** in titles) is a robust modified
Sharpe. The risk-free return rate in the Sharpe is set to 0. The return for the period is set using the
robust trend instead of a simple equity difference on the starting and ending dates. The Sharpe ratio,
as used in the Tradescape module, is the robust CAGR as a % divided by the annualized SD-based volatility.

The **Sortino Ratio** (**Sortino** in titles) is a robust
modified Sortino. It is identical to the Sharpe ratio, as used in the Tradescape module, except that the
denominator uses only the downside volatility instead of the volatility in both directions.

The **Sterling Ratio** (**Sterling **in titles) is also modified
to use the robust trend. The denominator is the worst drawdown in the period, as a %.

The **Robust Return-Pain (R³)** (**R³** in titles) uses the
robust trend in the numerator and defines the denominator, the pain, as the magnitude * duration of the
n-worst drawdowns in the analysis period, where n is 1 for each 2 years of data. A white
paper is available that describes R³ and RRt in some detail.

The **Robust Return-Retracement (RRt)** (**RRt** in titles)
similarly uses the robust trend in the numerator. The pain defined in the denominator is the average retracement
from the all-time high across the analysis period. RRt is our preferred reward-pain metric since is uses
fundamental properties of the time series and can be optimized by procedures requiring smooth partial
derivatives of the function being minimized. For more information, please refer to the white
paper that describes our preference for RRt.

The **Average Drawdown Info** (**DrwDn** in titles) displays
the count of drawdowns and the average depth and duration as used in the R³ pain component.

The **Average Retracement Info** (**Rtrc **in titles) displays
the average retracement across the analysis period, the pain used in the RRt metric.

The Backtest Engine

The equity curves and their performance metrics are generated using the Trading Sciences backtest engine. To have the curves as representative as possible of the fundamental times series and to standardize the backtest process, the following particulars we have locked into place are important if any effort is made to replicate the equity curve using other platforms:

1. The starting equity is 100K.

2. There is zero trading cost.

3. All monies are invested in subsequent trades up to an integer unit of shares. If the equity curve is growing, subsequent trades will be larger. If the equity curve is diminishing, subsequent trades will be smaller. There is no rounding to lots of a hundred.

4. The entry signal for the EM signaler occurs based on the closing price and any trades are assumed executed at that same close. This would be equivalent of taking the price just before close and using that price to execute a trade-the errors are assumed to balance out across time.

5. There are no stops, no pyramiding, and no partial booking. One is either fully in a position or fully out of market.