I have a profitable system with a negative win/loss ratio and a negative avg profit per trade. Is this possible?
The annualized percent gain is based on the daily equity, which includes all open positions, whereas the win/loss ratio and the avg. profit per trade are both based on closed trades (not including open trades). What this means is that the current gains for your open positions exceeds the net losses of all closed trades. Either the system has had some recent success that is unrealized in the stats which only consider closed trades, or the system has too much lag and tends to close out trades after a profitable trade has turned into a loss. You could adjust the parameters for your exit rule(s) to see if the system can be made more responsive.