Metrics Reference

Every metric EquityTruth computes — what it means, how it’s calculated, and how to read it. Definitions match the engine exactly, so what you see in a report is what’s explained here.

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  • Equity curvecomputed on the equity curve
  • Trades listcomputed on the trade list
  • Seriesthe underlying data series
  • computed across reports
  • has a full article

Equity-Curve Metrics

How your whole account performed over time — computed on the daily equity curve: Sharpe, CAGR, drawdown, volatility, consistency.

Consistency & Distribution

How smooth and how symmetric the returns are — win rates by period, skew, fat tails, best/worst.

Stability (R²)
R² of the log-cumulative Return curve vs time. 1.0 = perfectly smooth equity curve, 0 = no trend.
Win Days %
Percentage of trading days with positive return on the Return curve.
Skewness
Asymmetry of daily returns on the Return curve (low-to-low). Negative = left-tail risk, more large losses than gains.
Kurtosis
Excess kurtosis of daily returns on the Return curve (low-to-low). >0 = fat tails, more extreme moves than normal distribution.
Tail Ratio
95th percentile / |5th percentile| of daily returns on the Return curve (low-to-low). >1 = upside outliers dominate.
Value at Risk (95%)
5th percentile of daily returns on the Return curve (low-to-low). ~1 in 20 days the loss will exceed this value.
Conditional VaR (95%)
Average of the worst 5% of daily returns on the Return curve (low-to-low). Expected Shortfall — captures tail severity.

Per-Trade Metrics

How your individual trades behaved — computed on the list of closed trades: win rate, profit factor, expectancy, MAE/MFE, sizing.

Trade Quality

What the individual trades look like — win rate, profit factor, expectancy, payoff, system quality, and how concentrated the result is.

Win Rate
Percentage of trades closed with positive net P&L. Won / Total × 100%.
Profit Factor
Gross profit / gross loss in account currency. The standard Profit Factor. Affected by position sizing. >1 = net profitable.
Expectancy
Expected value per trade in account currency. Average net P&L across all trades.
Payoff Ratio
Average winning trade / |average losing trade| in account currency. The standard Payoff Ratio. >1 means wins are larger than losses on average.
System Quality Number (SQN)
Van Tharp's SQN = mean(HPR) / std(HPR) × √N. Benchmarks: 1.7 viable, 2.0 good, 3.0 excellent, 5.0+ superb.
Kelly Criterion
Optimal fraction of capital to risk per trade. Kelly = W − (1−W)/R, where W = win rate, R = payoff ratio.
Profit Concentration
Share of gross profit produced by the top 5% of trades by net P&L. High values mean the result rides on a few outsized winners rather than a broad edge.

Excursion (MAE / MFE)

How far trades ran for and against you while open — entry edge, exit efficiency, profit left on the table.

MAE / MFE
Average maximum adverse excursion of WINNING trades (how deep winners dipped before recovering). Shallow = stops can be tight. In account currency.
Profit Captured (MFE Capture)
Average share of the favorable move actually kept on winning trades = mean(realized / MFE), clipped to 0–100%. Low = exiting too early, leaving profit on the table. (a.k.a. MFE Capture / Exit Efficiency)
Loss Taken (MAE Capture)
Loss-side mirror of Profit Captured: average share of the adverse move taken as a realized loss = mean(|loss| / |MAE|), clipped to 0–100%. ~100% = losers close near the worst point (hard stop / held to the bottom); low = adverse move recovered before exit. Read together with Avg MAE. (a.k.a. MAE Capture)

Portfolio & Diversification

Computed across two or more reports — how strategies move together and combine. Each is still built on a single basis (the chip shows which): correlation on the equity curve, overlap on the trade list.

Correlation & Diversification

How several reports' equity curves (their daily returns) move together — diversification, downside co-movement, effective bet count.

Return Correlation
Pearson correlation of two reports’ daily returns over their overlapping period. +1 = move together, 0 = independent, −1 = move opposite. Lower is better for diversification.
Downside Correlation
Pearson correlation computed only over the loss periods (where at least one of the two reports is down) — captures whether two strategies tend to draw down together, which ordinary correlation can hide.
Effective Strategies (N-eff)
Effective number of independent strategies in a collection, from the eigenvalues of the correlation matrix: (Σλ)² / Σλ². Near the report count = well diversified; near 1 = everything moves as one bet.

Exposure Overlap

How much two reports hold the SAME position at the SAME time — co-exposure measured from the trade list (by symbol and side), not from the equity curve. Catches crowding that return correlation can miss.

Symbol Overlap
Symbol overlap (concordance S, 0–1): how much two reports hold a position in the SAME instrument at the SAME time — any direction — from their trade intervals. 1 = always in the same markets together; 0 = never co-exposed. Catches crowding that return correlation can miss.
Directional Overlap
Directional overlap (concordance S, 0–1): how much two reports hold the same instrument on the SAME side at the same time — the side-aware refinement of symbol overlap. A hedge (one long, one short) scores 0. Tells same-direction crowding from offsetting positions.

Foundations — Series & Axes

The series the metrics above are built on: three equity CURVES (Return, TWR, P&L; close-to-close vs low-to-low) and four per-trade AXES (Return%, P&L$, pips%, pips). A curve is a function of time; an axis is how one trade's result is measured.

Equity Curves

The three equity curves a metric can be computed on — and the close-to-close vs low-to-low sampling. A curve is a function of time.

Return Series (money-weighted)
The Return series is EquityTruth's money-weighted equity curve: each point is the account's cumulative compounded return as a percentage of running balance. Deposits and withdrawals move the denominator, so the number reflects what actually happened to your money — including the timing of cashflows.
TWR Series (time-weighted)
The TWR (time-weighted return) series is EquityTruth's cashflow-neutral equity curve, the GIPS standard for comparing managers. It removes the distortion of deposits and withdrawals so the curve reflects pure trading skill — use it to compare strategies, not your personal money-weighted return.
P&L Series (account currency)
The P&L series is EquityTruth's cumulative profit curve in account currency. It is additive, not compounded — metrics on it use arithmetic dollar changes, not log-returns. Useful when absolute amounts matter, but it is not size- or time-normalized, so don't compare it across accounts.

Trade Axes

The four per-trade axes — Return %, P&L, pips%, pips. An axis is a unit of measure on a single trade, not a curve.

Per-Trade Return Axis (%)
The Return axis expresses each trade's result as a percentage of account balance at the time of the trade (net_pnl / running balance). It normalizes for position size and account growth. Note: a cumulative figure on this axis compounds, it is not a simple sum.
Per-Trade P&L Axis (account currency)
The P&L axis expresses each trade's result in account currency (net profit after commission and swap). Reflects the actual dollar impact, so larger positions and later trades weigh more — it is contaminated by position sizing when comparing strategies.
Per-Trade Pips% Axis (basis points)
The Pips% axis expresses each trade as its price move in basis points: (close/open − 1) × 10000. It is size-agnostic and cross-symbol comparable, so it isolates the quality of entries and exits independent of how much was risked.
Per-Trade Pips Axis (symbol points)
The Pips axis expresses each trade in symbol-specific points (e.g. EURUSD 0.0001 = 1 pip). Only meaningful for a single symbol — summing pips across different instruments is not comparable, so this axis is shown only when one symbol is selected.