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Metrics Glossary
Overview
Performance metrics
Trade metrics
Quality metrics
Trade-level metrics
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Metrics Glossary
Overview
This glossary covers every metric shown in the app — in Reports → Detailed, on the Trade Detail page, and on the Dashboard. Metrics are grouped by section the same way the app displays them.
Performance metrics
These appear in the Performance section of Reports → Detailed.
| Metric | Definition |
|---|---|
| Total P&L | Sum of net P&L across all closed trades in the selected period. |
| Largest Gain | Single highest net P&L from one trade. |
| Largest Loss | Single largest net loss from one trade (shown as a negative number). |
| Average Daily P&L | Total P&L divided by the number of trading days in the period. |
| Average Daily Volume | Average dollar volume traded per active trading day. |
| Average Per-share P&L | Total net P&L divided by total shares traded. |
| Total Commissions | Sum of all commissions paid. |
| Total Fees | Sum of all other fees (exchange, regulatory, etc.) paid. |
| Average Drawdown | Mean depth of all drawdown episodes. A drawdown starts when equity falls below a prior peak and ends when a new peak is reached. |
| Maximum Drawdown | Deepest single drawdown — the largest peak-to-trough decline in equity during the period. |
| Average Days per Drawdown | Average duration of a drawdown episode in trading days. |
| Days in Current Drawdown | How many trading days you have been below the last equity peak as of the end of the selected period. |
Trade metrics
These appear in the Trades section of Reports → Detailed.
| Metric | Definition |
|---|---|
| Total Trades | Total number of closed trades. |
| Winning Trades | Trades with net P&L > 0. |
| Losing Trades | Trades with net P&L < 0. |
| Scratch Trades | Trades with net P&L = 0, or close enough to zero to be considered breakeven. |
| Win Rate | Winning trades ÷ total trades, expressed as a percentage. |
| Max Consecutive Wins | The longest unbroken streak of winning trades. |
| Max Consecutive Losses | The longest unbroken streak of losing trades. |
| Average Hold Time (winning) | Mean duration from open to close for winning trades. |
| Average Hold Time (losing) | Mean duration from open to close for losing trades. |
| Average Hold Time (scratch) | Mean duration from open to close for scratch trades. |
| Average Trade P&L | Total net P&L divided by the total number of trades. |
| Average Winning Trade | Mean P&L of winning trades only. |
| Average Losing Trade | Mean P&L of losing trades only (negative). |
| Trade P&L Std. Deviation | Standard deviation of per-trade net P&L — measures how consistent your results are. A lower value means more predictable outcomes. |
| Average Position MFE | Mean Maximum Favorable Excursion across all trades. See MFE/MAE definition below. |
| Average Position MAE | Mean Maximum Adverse Excursion across all trades. |
Quality metrics
These appear in the Quality section of Reports → Detailed.
| Metric | Definition |
|---|---|
| Win Rate | (Same as Trades section) Shown here for context alongside R:R. |
| Average R:R | Average reward-to-risk ratio. Calculated as average winning trade ÷ absolute value of average losing trade. |
| Profit Factor | Gross profit ÷ gross loss. A value above 1.0 means total wins exceed total losses. 1.5 or higher is generally considered a healthy system. |
| Kelly Percentage | The Kelly Criterion applied to your trade history — the theoretically optimal fraction of capital to risk per trade. Values above ~25% are typically scaled down in practice. |
| K-Ratio | Measures consistency of the equity curve relative to its slope. Higher values indicate smoother, more linear growth. A K-Ratio below 1.0 suggests an erratic equity curve. |
| Sharpe Ratio | Return per unit of total volatility (upside + downside). Calculated using daily P&L. A Sharpe above 1.0 is generally good; above 2.0 is excellent. |
| Sortino Ratio | Like Sharpe, but only penalizes downside volatility. A higher Sortino vs. Sharpe indicates that your volatility is mainly on the winning side. |
| System Quality Number (SQN) | Evaluates system quality using expectancy and trade count. Values: below 1.6 = poor, 1.6–1.9 = average, 2.0–2.4 = good, 2.5–2.9 = excellent, 3.0+ = superb. |
| VaR 95% | Value at Risk at the 95% confidence level — the loss threshold you would not expect to exceed on 95% of trading days. Shows your typical worst-day risk. |
| R-squared | Goodness-of-fit of the equity curve to a straight line. A value near 1.0 means growth is very consistent; near 0 means it is highly irregular. |
| Probability of Random Chance | Statistical probability that your results could have been produced by random coin-flip trading. Below 5% suggests your edge is statistically meaningful. |
| Ulcer Index | Measures how severe and prolonged drawdowns are. Unlike max drawdown, it accounts for the duration you spend underwater. Lower is better. |
Trade-level metrics
These appear on the Trade Detail page for each individual trade.
| Metric | Definition |
|---|---|
| Shares Traded | Total quantity (shares, contracts, units) bought and sold across all executions. |
| Closed Gross P&L | Profit or loss before commissions and fees. |
| Gross Return | Closed Gross P&L as a percentage of the cost basis. |
| Commissions / Fees | Total costs deducted from the trade. |
| Closed Net P&L | Profit or loss after commissions and fees. This is the primary P&L figure shown throughout the app. |
| Net Return | Closed Net P&L as a percentage of the cost basis. |
| Best Exit P&L | The maximum P&L that could have been captured if you had exited at the best price between your entry and the end of the session, even if that came after you closed the trade. Calculated once the session has ended. |
| Position MFE | Maximum Favorable Excursion — the peak unrealized gain (in dollars) at any point while the trade was open. Compares to your actual exit to show how much you left on the table. |
| Position MAE | Maximum Adverse Excursion — the deepest unrealized loss (in dollars) at any point while the trade was open. Useful for evaluating stop placement. |
| Price MFE | Same concept as Position MFE, but expressed as a price movement (in dollars per share/contract). |
| Price MAE | Same concept as Position MAE, but expressed as a price movement per share/contract. |
| Exit Efficiency | Closed Net P&L ÷ Best Exit P&L, expressed as a percentage. A value of 100% means you exited at the perfect price. Lower values indicate how much of the available move you captured. |
| P&L R-multiple | Net P&L expressed as a multiple of your Initial Risk. A value of 2R means you made twice your planned risk on the trade. Requires Initial Risk to be set. |
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