Backtest Metrics

The indispensable metrics when we backtest and their definitions everything into a real backtest conditions.

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KEY RATIOS

WINRATE

Percentage of winning trades over total trades executed

(Winning Trades / Total Trades) × 100

PROFIT FACTOR

Ratio of gross profit to gross loss. Above 1.0 indicates a profitable strategy

Gross Profit / Gross Loss

SHARPE RATIO

Risk-adjusted return. Higher values indicate better risk-reward balance

(Return - Risk-Free Rate) / Std Dev

CALMAR RATIO

Annual return divided by maximum drawdown. Measures risk-adjusted performance

Annual Return / Max Drawdown

AVG DURATION

Average time a trade remains open from entry to exit

Σ(Trade Duration) / Total Trades

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RISK MANAGEMENT

Risk Per Trade

1.0%

Maximum capital risked on a single trade

Risk Reward Ratio (RR)

2.5:1

Expected profit relative to risk taken

Break-even Win Rate by Risk-Reward Ratio (Excluding Fees)

Formula: Win Rate = 1 ÷ (1 + RR) × 100

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PERFORMANCE METRICS

TOTAL RETURN

Percentage gain or loss on the initial investment over the backtest period

((Final Capital - Initial Capital) / Initial Capital) × 100

P&L TOTAL

Total profit and loss in absolute monetary value across all trades

Σ(Profit) - Σ(Loss)

INITIAL CAPITAL

Starting capital used at the beginning of the backtest period

Starting Account Balance

FEES

Total trading fees including commissions, spreads, and slippage costs

Σ(Entry Fee + Exit Fee) × Trades

MAX DRAWDOWN

Largest peak-to-trough decline in account value during the backtest

((Trough Value - Peak Value) / Peak Value) × 100

LONG WINRATE

Percentage of profitable long (buy) trades over total long trades

(Winning Long Trades / Total Long Trades) × 100

SHORT WINRATE

Percentage of profitable short (sell) trades over total short trades

(Winning Short Trades / Total Short Trades) × 100

NET PROFIT

Total profit after deducting all fees, commissions, and losses

Gross Profit - Fees - Losses

EXPECTANCY

Average amount expected to win or lose per trade based on historical data

(Win Rate × Avg Win) - (Loss Rate × Avg Loss)

MAX WINNING STREAK

Highest number of consecutive winning trades during the backtest

Max(Consecutive Wins)

MAX LOSING STREAK

Highest number of consecutive losing trades during the backtest

Max(Consecutive Losses)

TOTAL TRADES

Total number of trades executed during the backtest period

Count(All Trades)

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GRAPHICS

Equity Curve vs Buy & Hold

Strategy Performance vs Market Benchmark

Rolling Winrate (60 Trades)

Winrate calculated over sliding 60-trade window

Winrate Evolution

Cumulative winrate recalculated after each trade

Sharpe Ratio Evolution

Cumulative Sharpe ratio recalculated after each trade

Monthly Returns

Performance breakdown by month