Signal Strength - Close After X Days

The signal strength indicator works by tracking each trade and closing the trade after a certain number of days. The summary of how the strategy would have performed if every trade was closed after 1-day, 5-days, 10-days, etc, is displayed on the right:

Max Drawdown
Drawdown is calculated for each trade individually. The drawdown is the most negative profit and loss for each trade. If a trade never goes below the entry price (for long trades), the drawdown for that trade will be zero. The max drawdown shows the largest drawdown for any of the trades in the strategy.

CML Efficiency Score® (ES)

The ES takes the average trade return from each triggered backtest (the 'reward') and divides it by the maximum drawdown (the risk).