I have a conceptual issue that maybe someone more experienced could help me out to figure it out. I am running an algo on backtest mode for a 4 month period. Some statistics:
- The algo does 37 buys and 37 sells.
- Out of those 37 sells 23 are exited using a software stop loss (37.83% of the exits are normal and 62.16% are stop loss, not great at all, I know…).
- The average profit on each trade is +7.58% and the average stop loss is -3.85%
- The average risk to return ratio is 1.96.
Now the question is, despite the accuracy is low, the risk to return ratio is about 1:2, therefore the algo should have profit however the reported PnL on Catalyst is negative. Any idea please?
Thank you very much.