Key Performance Metrics

The Analyzer provides a comprehensive set of metrics that go beyond basic backtest results. Here's what each metric tells you and why it matters.

Risk-Adjusted Returns

• Sharpe Ratio — Measures excess return per unit of total volatility. Higher is better
• Sortino Ratio — Like Sharpe, but only penalizes downside volatility. More useful for strategies with asymmetric returns
• Calmar Ratio — Annual return divided by max drawdown. Shows how much return you get per unit of maximum pain

Consistency Metrics

• Percentage of Profitable Months — How often the strategy makes money on a monthly basis
• Recovery Factor — Total net profit divided by maximum drawdown. Shows how quickly the strategy recovers from losses
• Payoff Ratio — Average win divided by average loss. Combined with win rate, this determines profitability

Trade Distribution

The Analyzer shows how your trade returns are distributed. A healthy strategy has a slight positive skew — more small wins than big losses, with occasional large winners pulling up the average.