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Glossary

The verdict's checks

Cost check: Does it still win after spread and commission?; Killed at the gates; The full definition
Sample check: Does the test have enough trades to judge?; Killed at the gates; The full definition
Hold-out: Does it hold on price history it was never tuned on?; Killed at the hold-out; The full definition
K-fold: How often it survived across many slices of the same history.; Killed at K-fold; The full definition
Walk-forward: How often it survived when it was always tested into the future.; Killed at the expensive tier; The full definition
Chance this is luck: The odds that the winner you picked was luck.; Killed at the expensive tier; The full definition
Deflated Sharpe: The Sharpe ratio, with the credit for trying repeatedly taken back off.; Killed at the expensive tier; The full definition

Statistics

Trades: How many closing fills the run made. A position closed in pieces counts once per piece.; The full definition
Net profit: Sum of every trade's result after all costs, swap included.; The full definition
Gross profit: Sum of the trades that made money, after all costs.; The full definition
Gross loss: Sum of the trades that lost money, after all costs.; The full definition
Largest win: The single best trade, after all costs.; The full definition
Largest loss: The single worst trade, after all costs.; The full definition
Loss rate: Share of trades that lost money.; The full definition
Break-even trades: Trades that made exactly nothing. They are neither wins nor losses.; The full definition
Average winning streak: Average length of a run of winning trades in a row.; The full definition
Average losing streak: Average length of a run of losing trades in a row.; The full definition
Trades in the best winning run: How many trades made up the winning run that earned the most.; The full definition
Trades in the worst losing run: How many trades made up the losing run that cost the most.; The full definition
Profit factor: Total won divided by total lost, after commission, spread and slippage.; The full definition
Win rate: Share of trades that made money.; The full definition
Average win: Average result of the trades that made money.; The full definition
Average loss: Average size of the losing trades, shown as a positive amount.; The full definition
Payoff ratio: Average win divided by average loss.; The full definition
Expectancy: Average result per trade, after commission, spread and slippage.; The full definition
Skew: Whether the big results lean to the upside (positive) or the downside (negative).; The full definition
Excess kurtosis: How fat the tails are beyond a normal curve. High means rare, extreme trades.; The full definition
Longest winning streak: Most winning trades in a row. Below it: the most money a winning run made.; The full definition
Longest losing streak: Most losing trades in a row. Below it: the most money a losing run cost.; The full definition
Best winning run: What the best winning run earned in total.; The full definition
Worst losing run: What the worst losing run cost in total, as a negative number.; The full definition
Sharpe, daily: The return per unit of day-to-day swing, scaled to a year.; The full definition
Sortino, daily: The return per unit of downside swing, scaled to a year.; The full definition
Sharpe, per trade: Mean return of a closing fill on the balance it met, divided by the standard deviation of those returns. Not scaled to a year. On one run it can differ from the daily Sharpe by a factor of two.; The full definition
Sortino, per trade: The return per unit of downside swing, per trade. Not scaled to a year.; The full definition
MAR, full window: Growth a year over the whole traded window, divided by its worst drawdown.; The full definition
Calmar, last 36 months: Growth a year over the last 36 months of the traded window, divided by the worst drawdown inside those months.; The full definition
SQN: Tharp's System Quality Number: the square root of the number of trades with an R, capped at 100, times the mean R, divided by the standard deviation of R. 2.0 to 2.5 is average, 2.5 to 3.0 good, 3.0 to 5.0 excellent, above 5.0 superb. A figure without the cap is not called SQN.; The full definition
Minimum margin level: How close the account came to a margin call: the lowest equity as a percent of the margin held.; The full definition
Maximum deposit load: How much of the account the open positions tied up at the most.; The full definition
Deposit load, by share of bars: How the deposit load was spread: the share of time spent in each band, the last band being 90 and above.; The full definition
Long trades won: The share of long trades that made money.; The full definition
Short trades won: The share of short trades that made money.; The full definition
Cash over the same period: What the same money would have earned in cash at the run's risk-free rate.; The full definition
Return above cash: How much more than cash the strategy made over the test.; The full definition
Trading days a year: The trading days in a year this run's data contains, which every annualised figure uses.; The full definition
Bars a year: The bars in a year this run's data contains, for figures taken per bar.; The full definition
Positions: How many positions the fills add up to. An add to a position is not a new one.; The full definition
What a trade is: Every count and average here counts closing fills, so a position closed in pieces counts once per piece.; The full definition
How much evidence: How many trades the figures rest on, and how many the gates asked for.; The full definition
Recovery factor: Net profit divided by the money size of the worst drawdown.; The full definition
Longest time without a new high, in bars: The longest stretch without a new equity high, counted in bars and in calendar days. A stretch still open at the end of the run counts.; The full definition
Longest time without a new high, in days: The longest stretch without a new equity high, counted in bars and in calendar days. A stretch still open at the end of the run counts.; The full definition
worst drawdown, intrabar: The worst fall from a peak to a later low, as a share of the peak, on the equity curve this figure names. Negative; zero when the curve never fell.; The full definition
worst drawdown in money, intrabar: The worst fall from a peak to a later low in money, on the equity curve this figure names. Negative; zero when the curve never fell.; The full definition
worst drawdown, bar: The worst fall from a peak to a later low, as a share of the peak, on the equity curve this figure names. Negative; zero when the curve never fell.; The full definition
worst drawdown in money, bar: The worst fall from a peak to a later low in money, on the equity curve this figure names. Negative; zero when the curve never fell.; The full definition
worst drawdown, daily: The worst fall from a peak to a later low, as a share of the peak, on the equity curve this figure names. Negative; zero when the curve never fell.; The full definition
worst drawdown in money, daily: The worst fall from a peak to a later low in money, on the equity curve this figure names. Negative; zero when the curve never fell.; The full definition
Balance drawdown, absolute: MT5's absolute drawdown of the balance curve, in MT5's own terms.; The full definition
Balance drawdown, maximal: MT5's maximal drawdown of the balance curve, in MT5's own terms.; The full definition
Balance drawdown, maximal (percent): MT5's maximal (percent) drawdown of the balance curve, in MT5's own terms.; The full definition
Balance drawdown, relative: MT5's relative drawdown of the balance curve, in MT5's own terms.; The full definition
Balance drawdown, relative (money): MT5's relative (money) drawdown of the balance curve, in MT5's own terms.; The full definition
Equity drawdown, absolute: MT5's absolute drawdown of the equity curve, in MT5's own terms.; The full definition
Equity drawdown, maximal: MT5's maximal drawdown of the equity curve, in MT5's own terms.; The full definition
Equity drawdown, maximal (percent): MT5's maximal (percent) drawdown of the equity curve, in MT5's own terms.; The full definition
Equity drawdown, relative: MT5's relative drawdown of the equity curve, in MT5's own terms.; The full definition
Equity drawdown, relative (money): MT5's relative (money) drawdown of the equity curve, in MT5's own terms.; The full definition
Compound annual growth: The yearly growth rate that takes the first equity to the last over the traded window.; The full definition
Return over maximal drawdown: What the run made for each unit of money of its worst fall, with no scaling to a year.; The full definition
Omega: The size of the days that made money against the days that lost it, added up.; The full definition
Tail ratio: How big the best days run against the worst, over the same series: above 1, the good days are bigger.; The full definition
Variability-weighted return: The yearly return, marked down by how far the equity wandered from a smooth line (Bernut).; The full definition
Annual volatility: How much the daily returns swing, scaled to a year.; The full definition
Annual variance: The square of the annual volatility: the daily variance scaled to a year.; The full definition
LR correlation: How straight the balance curve is: 1 is a perfectly straight rise.; The full definition
LR standard error: How far the balance strays from its straight line, in money.; The full definition
Z-score of the runs: Whether wins and losses come in streaks: negative when they clump, positive when they alternate.; The full definition
Average holding period return: The average factor each trade multiplied the balance by.; The full definition
Geometric holding period return: The one factor that, repeated for every trade, carries the starting balance to the final one.; The full definition
Mean R: What the average trade made, in units of the risk it was sized to take.; The full definition
Worst R: The worst trade in units of its planned risk. Below -1, a stop let more through than planned.; The full definition
Loss against planned risk, median: How much a typical losing trade lost against its plan: 1 is a loss exactly as planned.; The full definition
Loss against planned risk, 95th percentile: How much the bad losing trades lost against their plan: 1 is a loss exactly as planned.; The full definition
Loss against planned risk, worst: The losing trade that went furthest past its plan: 1 is a loss exactly as planned.; The full definition
Worst loss, share of equity: The largest loss on one trade as a share of the account equity when that trade opened.; The full definition
Losses past their planned risk: Losing trades that lost more than the risk they were sized to take. A loss exactly as planned does not count.; The full definition
Trades without a stop: A trade with no stop has no stop distance, so it has no R. These trades are counted here and left out of every R figure.; The full definition
Share of trades without a stop: The share of the trades that had no stop, so no R.; The full definition
Trades past minus one R: Trades whose loss went past the risk they were sized to take: a stop that let more through.; The full definition
Trades with an R of exactly zero: Trades that made or lost exactly nothing, whose planned risk cannot be worked back from their R.; The full definition
Adverse excursion, mean: Adverse excursion is how far the trade went against its entry before it closed, measured on the closing side from the entry price.; The full definition
Adverse excursion, largest: Adverse excursion is how far the trade went against its entry before it closed, measured on the closing side from the entry price.; The full definition
Adverse excursion, mean, in R: Adverse excursion is how far the trade went against its entry before it closed, measured on the closing side from the entry price.; The full definition
Adverse excursion, largest, in R: Adverse excursion is how far the trade went against its entry before it closed, measured on the closing side from the entry price.; The full definition
Adverse excursion, mean, net of costs: Adverse excursion is how far the trade went against its entry before it closed, measured on the closing side from the entry price.; The full definition
Adverse excursion, largest, net of costs: Adverse excursion is how far the trade went against its entry before it closed, measured on the closing side from the entry price.; The full definition
Favourable excursion, mean: Favourable excursion is how far the trade went in its favour before it closed, measured on the closing side from the entry price.; The full definition
Favourable excursion, largest: Favourable excursion is how far the trade went in its favour before it closed, measured on the closing side from the entry price.; The full definition
Favourable excursion, mean, in R: Favourable excursion is how far the trade went in its favour before it closed, measured on the closing side from the entry price.; The full definition
Favourable excursion, largest, in R: Favourable excursion is how far the trade went in its favour before it closed, measured on the closing side from the entry price.; The full definition
Favourable excursion, mean, net of costs: Favourable excursion is how far the trade went in its favour before it closed, measured on the closing side from the entry price.; The full definition
Favourable excursion, largest, net of costs: Favourable excursion is how far the trade went in its favour before it closed, measured on the closing side from the entry price.; The full definition
Give-back, mean: How much of the best price the trade had it handed back before closing, in money.; The full definition
Give-back, worst: How much of the best price the trade had it handed back before closing, in money.; The full definition
Give-back, total: How much of the best price the trade had it handed back before closing, in money.; The full definition
Holding time in minutes, min: The shortest time a trade was held, in minutes, for all trades, the winners and the losers.; The full definition
Holding time in minutes, max: The longest time a trade was held, in minutes, for all trades, the winners and the losers.; The full definition
Holding time in minutes, mean: The mean time a trade was held, in minutes, for all trades, the winners and the losers.; The full definition
Holding time in minutes, median: The median time a trade was held, in minutes, for all trades, the winners and the losers.; The full definition
Holding time in bars, min: The shortest time a trade was held, in bars, for all trades, the winners and the losers.; The full definition
Holding time in bars, max: The longest time a trade was held, in bars, for all trades, the winners and the losers.; The full definition
Holding time in bars, mean: The mean time a trade was held, in bars, for all trades, the winners and the losers.; The full definition
Holding time in bars, median: The median time a trade was held, in bars, for all trades, the winners and the losers.; The full definition
Profit factor of a period: The profit factor of the trades that closed in one week, month, year or weekday.; The full definition
Best trade: What the best trade made, and how much of the net profit that was.; The full definition
Best day: What the best day made, and how much of the net profit that was.; The full definition
Best month: What the best month made, and how much of the net profit that was.; The full definition
Best year: What the best year made, and how much of the net profit that was.; The full definition
Best day against the days that made money: The best day read against the sum of the winning days, the base some firms' consistency rule uses.; The full definition
Trades by direction: How many trades were long and how many were short.; The full definition
Margin level, lowest: How close the account came to a margin call: the lowest level reached, with the bar it happened on.; The full definition
Margin in use, most: The most margin the run held at once, with the bar it happened on.; The full definition
Legs: How many legs the run traded. A position closed in pieces is one leg.; The full definition
Most positions open at once: The most legs open together, with the first bar it happened on and the legs then open.; The full definition
Positions open, average: How many legs were open on an average bar of the test.; The full definition
Worst floating loss: The deepest unrealised loss the open positions reached, with the first bar it happened on.; The full definition
Most risk open at once: The most the open legs were sized to lose at once, in money and as a share of the equity then.; The full definition
Most risk open at once, with correlation: The most risk open at once once instruments that move together are counted as one.; The full definition
Sharpe of a held curve: The Sharpe of the strategy and of the same money held in each instrument, on the same days.; The full definition
Return above the held instrument: How much more the strategy made over the test than the same money held in the instrument.; The full definition
Alpha: What the strategy earned a year beyond what its exposure to the instrument explains.; The full definition
Beta: How much the strategy moved for each unit the held instrument moved.; The full definition
Treynor ratio: The strategy's yearly excess return for each unit of beta.; The full definition
Information ratio: The yearly return above the instrument for each unit of how far the strategy strayed from it.; The full definition
Tracking error: How far the strategy's daily returns strayed from the instrument's, scaled to a year.; The full definition
Up capture: How much of the instrument's good days the strategy kept.; The full definition
Down capture: How much of the instrument's bad days the strategy took.; The full definition
Trading days: The days the data traded on, which the yearly constant is measured from.; The full definition
Span in days: How long the traded window is, in calendar days.; The full definition
Risk-free rate: The yearly return of holding cash that the run's risk-adjusted figures are measured above.; The full definition
Out-of-sample profit factor: Gross profit over gross loss on data the search never selected on. This is the engine's ranking key.; The full definition
In-sample profit factor: The same ratio on the data the search chose this setting from. On its own it says little: every setting in a sweep looks good in sample.; The full definition
Maximum drawdown: The worst fall from a peak to a later low on the out-of-sample equity. Negative; -1 means the account blew up.; The full definition
Trades: How many trades the out-of-sample test made.; The full definition
Skew of the trade results: Whether the big results lean to the upside (positive) or the downside (negative).; The full definition
Probability of backtest overfitting: How often the best setting on one half of the history lands below the middle on the other half. Above 0.5, the search is choosing noise.; The full definition
Deflated Sharpe: The chance the Sharpe is real after allowing for how many settings were tried. A raw Sharpe does not know that.; The full definition
Plateau score: How many of the settings next to this one also work. A setting that works alone is fitting noise.; The full definition
K-fold pass rate: How many of the consecutive folds of the search period the setting passed.; The full definition
Walk-forward pass rate: How many of the consecutive later windows inside the search period the setting passed.; The full definition
Win rate, out of sample: Share of the out-of-sample trades that made money.; The full definition
Payoff ratio, out of sample: Average win divided by average loss on the out-of-sample trades.; The full definition
Largest win in average losses: The best trade measured in average losses: the bound the live tripwire is set from.; The full definition
Average hold, out of sample: How long an out-of-sample trade was held on average, in minutes.; The full definition
Friction: How much of what the trades made before costs went to costs.; The full definition
Interval on a statistic: The range a statistic could plausibly have had on other draws of the same trades, and whether it includes the value that means no edge.; The full definition
Is the average trade above zero: Whether the average trade is more than luck. The t figure assumes independent trades, and says so.; The full definition
Cost multiple at break-even: How many times the costs this run paid it could take before the average trade makes nothing.; The full definition
Costs by kind: What the run paid in each of the four costs, and how much of the gross profit that was.; The full definition
Baseline for tracking the run live: What the test said the strategy would do, frozen with the result so a live record can be held to it.; The full definition
Weekly grid: How the account moved week by week.; The full definition
Monthly grid: How the account moved month by month.; The full definition
Annual grid: How the account moved year by year.; The full definition
Ranking key, test profit factor: How a run without an objective orders its candidates: best out-of-sample profit factor first.; The full definition
Ranking key, chosen objective: How a run with an objective orders its settings: by that objective on the search block, never by the hold-out.; The full definition
Noise rule for the leaderboard: A result that cannot be told from no edge is listed after the ones that can, whatever its figure is.; The full definition
Objective: net profit: The sum of profit and loss over the in-sample trades, in account currency.; The full definition
Objective: profit factor: Gross profit divided by gross loss over the in-sample trades. Undefined with no losing trade.; The full definition
Objective: win rate: The share of in-sample trades that made money, as a percentage.; The full definition
Objective: expectancy: The average profit or loss per in-sample trade, in account currency.; The full definition
Objective: max drawdown: The largest fall of in-sample equity from its running peak, as a percentage of that peak.; The full definition
Objective: recovery factor: In-sample net profit divided by the largest fall of equity from a peak, in account currency.; The full definition
Objective: sharpe ratio: The mean return per bar of in-sample equity divided by its standard deviation, annualised.; The full definition
Objective: sortino ratio: The mean return per bar of in-sample equity divided by the deviation of its losing bars, annualised.; The full definition
Objective: calmar ratio: The annual growth rate of in-sample equity divided by its maximum drawdown.; The full definition
Objective: profit factor, win rate and trade count: Profit factor times the win rate as a fraction, scaled down below 100 trades by the trade count over 100.; The full definition
Objective: worst instrument profit factor: The lowest profit factor among the instruments that traded.; The full definition
Verdict from the flags: One level for the whole result: the worst thing found sets it, and the other checks cannot soften it.; The full definition
Chain verdict: How far the combination got and what ended it. A combination whose passers were never graded is never filed as if it had been.; The full definition
Gate 4, cost: Kills a setting whose costs eat too much of what its trades make, or that dies when the spread widens.; The full definition
Gate 5, sample: Kills a setting that history could not produce enough evidence about.; The full definition
Gate 6, bounded tail: Flags a hidden tail for review. It never kills a setting: the person owns this verdict.; The full definition
Gate 7, parameter budget: Scores how many knobs the search could turn: every one multiplies the ways the optimiser can fool itself.; The full definition
Hold-out: The first check on data the search did not see. Passing it is necessary and never sufficient.; The full definition
K-fold pass rate: Whether the setting holds up on most of the consecutive pieces of the search period.; The full definition
Walk-forward pass rate: Whether the setting keeps working in the period straight after the one it was fitted on, again and again.; The full definition
Probability of backtest overfitting: A low figure is good: it says the winner of the search is not just the luckiest of many.; The full definition
Deflated Sharpe: Whether the Sharpe survives having been picked as the best of many.; The full definition
Plateau: Whether the settings next to this one work too: a setting that works alone is fitting noise.; The full definition

Glossary

The verdict's checks

Cost check: Does it still win after spread and commission?; Killed at the gates; The full definition
Sample check: Does the test have enough trades to judge?; Killed at the gates; The full definition
Hold-out: Does it hold on price history it was never tuned on?; Killed at the hold-out; The full definition
K-fold: How often it survived across many slices of the same history.; Killed at K-fold; The full definition
Walk-forward: How often it survived when it was always tested into the future.; Killed at the expensive tier; The full definition
Chance this is luck: The odds that the winner you picked was luck.; Killed at the expensive tier; The full definition
Deflated Sharpe: The Sharpe ratio, with the credit for trying repeatedly taken back off.; Killed at the expensive tier; The full definition

Statistics

Trades: How many closing fills the run made. A position closed in pieces counts once per piece.; The full definition
Net profit: Sum of every trade's result after all costs, swap included.; The full definition
Gross profit: Sum of the trades that made money, after all costs.; The full definition
Gross loss: Sum of the trades that lost money, after all costs.; The full definition
Largest win: The single best trade, after all costs.; The full definition
Largest loss: The single worst trade, after all costs.; The full definition
Loss rate: Share of trades that lost money.; The full definition
Break-even trades: Trades that made exactly nothing. They are neither wins nor losses.; The full definition
Average winning streak: Average length of a run of winning trades in a row.; The full definition
Average losing streak: Average length of a run of losing trades in a row.; The full definition
Trades in the best winning run: How many trades made up the winning run that earned the most.; The full definition
Trades in the worst losing run: How many trades made up the losing run that cost the most.; The full definition
Profit factor: Total won divided by total lost, after commission, spread and slippage.; The full definition
Win rate: Share of trades that made money.; The full definition
Average win: Average result of the trades that made money.; The full definition
Average loss: Average size of the losing trades, shown as a positive amount.; The full definition
Payoff ratio: Average win divided by average loss.; The full definition
Expectancy: Average result per trade, after commission, spread and slippage.; The full definition
Skew: Whether the big results lean to the upside (positive) or the downside (negative).; The full definition
Excess kurtosis: How fat the tails are beyond a normal curve. High means rare, extreme trades.; The full definition
Longest winning streak: Most winning trades in a row. Below it: the most money a winning run made.; The full definition
Longest losing streak: Most losing trades in a row. Below it: the most money a losing run cost.; The full definition
Best winning run: What the best winning run earned in total.; The full definition
Worst losing run: What the worst losing run cost in total, as a negative number.; The full definition
Sharpe, daily: The return per unit of day-to-day swing, scaled to a year.; The full definition
Sortino, daily: The return per unit of downside swing, scaled to a year.; The full definition
Sharpe, per trade: Mean return of a closing fill on the balance it met, divided by the standard deviation of those returns. Not scaled to a year. On one run it can differ from the daily Sharpe by a factor of two.; The full definition
Sortino, per trade: The return per unit of downside swing, per trade. Not scaled to a year.; The full definition
MAR, full window: Growth a year over the whole traded window, divided by its worst drawdown.; The full definition
Calmar, last 36 months: Growth a year over the last 36 months of the traded window, divided by the worst drawdown inside those months.; The full definition
SQN: Tharp's System Quality Number: the square root of the number of trades with an R, capped at 100, times the mean R, divided by the standard deviation of R. 2.0 to 2.5 is average, 2.5 to 3.0 good, 3.0 to 5.0 excellent, above 5.0 superb. A figure without the cap is not called SQN.; The full definition
Minimum margin level: How close the account came to a margin call: the lowest equity as a percent of the margin held.; The full definition
Maximum deposit load: How much of the account the open positions tied up at the most.; The full definition
Deposit load, by share of bars: How the deposit load was spread: the share of time spent in each band, the last band being 90 and above.; The full definition
Long trades won: The share of long trades that made money.; The full definition
Short trades won: The share of short trades that made money.; The full definition
Cash over the same period: What the same money would have earned in cash at the run's risk-free rate.; The full definition
Return above cash: How much more than cash the strategy made over the test.; The full definition
Trading days a year: The trading days in a year this run's data contains, which every annualised figure uses.; The full definition
Bars a year: The bars in a year this run's data contains, for figures taken per bar.; The full definition
Positions: How many positions the fills add up to. An add to a position is not a new one.; The full definition
What a trade is: Every count and average here counts closing fills, so a position closed in pieces counts once per piece.; The full definition
How much evidence: How many trades the figures rest on, and how many the gates asked for.; The full definition
Recovery factor: Net profit divided by the money size of the worst drawdown.; The full definition
Longest time without a new high, in bars: The longest stretch without a new equity high, counted in bars and in calendar days. A stretch still open at the end of the run counts.; The full definition
Longest time without a new high, in days: The longest stretch without a new equity high, counted in bars and in calendar days. A stretch still open at the end of the run counts.; The full definition
worst drawdown, intrabar: The worst fall from a peak to a later low, as a share of the peak, on the equity curve this figure names. Negative; zero when the curve never fell.; The full definition
worst drawdown in money, intrabar: The worst fall from a peak to a later low in money, on the equity curve this figure names. Negative; zero when the curve never fell.; The full definition
worst drawdown, bar: The worst fall from a peak to a later low, as a share of the peak, on the equity curve this figure names. Negative; zero when the curve never fell.; The full definition
worst drawdown in money, bar: The worst fall from a peak to a later low in money, on the equity curve this figure names. Negative; zero when the curve never fell.; The full definition
worst drawdown, daily: The worst fall from a peak to a later low, as a share of the peak, on the equity curve this figure names. Negative; zero when the curve never fell.; The full definition
worst drawdown in money, daily: The worst fall from a peak to a later low in money, on the equity curve this figure names. Negative; zero when the curve never fell.; The full definition
Balance drawdown, absolute: MT5's absolute drawdown of the balance curve, in MT5's own terms.; The full definition
Balance drawdown, maximal: MT5's maximal drawdown of the balance curve, in MT5's own terms.; The full definition
Balance drawdown, maximal (percent): MT5's maximal (percent) drawdown of the balance curve, in MT5's own terms.; The full definition
Balance drawdown, relative: MT5's relative drawdown of the balance curve, in MT5's own terms.; The full definition
Balance drawdown, relative (money): MT5's relative (money) drawdown of the balance curve, in MT5's own terms.; The full definition
Equity drawdown, absolute: MT5's absolute drawdown of the equity curve, in MT5's own terms.; The full definition
Equity drawdown, maximal: MT5's maximal drawdown of the equity curve, in MT5's own terms.; The full definition
Equity drawdown, maximal (percent): MT5's maximal (percent) drawdown of the equity curve, in MT5's own terms.; The full definition
Equity drawdown, relative: MT5's relative drawdown of the equity curve, in MT5's own terms.; The full definition
Equity drawdown, relative (money): MT5's relative (money) drawdown of the equity curve, in MT5's own terms.; The full definition
Compound annual growth: The yearly growth rate that takes the first equity to the last over the traded window.; The full definition
Return over maximal drawdown: What the run made for each unit of money of its worst fall, with no scaling to a year.; The full definition
Omega: The size of the days that made money against the days that lost it, added up.; The full definition
Tail ratio: How big the best days run against the worst, over the same series: above 1, the good days are bigger.; The full definition
Variability-weighted return: The yearly return, marked down by how far the equity wandered from a smooth line (Bernut).; The full definition
Annual volatility: How much the daily returns swing, scaled to a year.; The full definition
Annual variance: The square of the annual volatility: the daily variance scaled to a year.; The full definition
LR correlation: How straight the balance curve is: 1 is a perfectly straight rise.; The full definition
LR standard error: How far the balance strays from its straight line, in money.; The full definition
Z-score of the runs: Whether wins and losses come in streaks: negative when they clump, positive when they alternate.; The full definition
Average holding period return: The average factor each trade multiplied the balance by.; The full definition
Geometric holding period return: The one factor that, repeated for every trade, carries the starting balance to the final one.; The full definition
Mean R: What the average trade made, in units of the risk it was sized to take.; The full definition
Worst R: The worst trade in units of its planned risk. Below -1, a stop let more through than planned.; The full definition
Loss against planned risk, median: How much a typical losing trade lost against its plan: 1 is a loss exactly as planned.; The full definition
Loss against planned risk, 95th percentile: How much the bad losing trades lost against their plan: 1 is a loss exactly as planned.; The full definition
Loss against planned risk, worst: The losing trade that went furthest past its plan: 1 is a loss exactly as planned.; The full definition
Worst loss, share of equity: The largest loss on one trade as a share of the account equity when that trade opened.; The full definition
Losses past their planned risk: Losing trades that lost more than the risk they were sized to take. A loss exactly as planned does not count.; The full definition
Trades without a stop: A trade with no stop has no stop distance, so it has no R. These trades are counted here and left out of every R figure.; The full definition
Share of trades without a stop: The share of the trades that had no stop, so no R.; The full definition
Trades past minus one R: Trades whose loss went past the risk they were sized to take: a stop that let more through.; The full definition
Trades with an R of exactly zero: Trades that made or lost exactly nothing, whose planned risk cannot be worked back from their R.; The full definition
Adverse excursion, mean: Adverse excursion is how far the trade went against its entry before it closed, measured on the closing side from the entry price.; The full definition
Adverse excursion, largest: Adverse excursion is how far the trade went against its entry before it closed, measured on the closing side from the entry price.; The full definition
Adverse excursion, mean, in R: Adverse excursion is how far the trade went against its entry before it closed, measured on the closing side from the entry price.; The full definition
Adverse excursion, largest, in R: Adverse excursion is how far the trade went against its entry before it closed, measured on the closing side from the entry price.; The full definition
Adverse excursion, mean, net of costs: Adverse excursion is how far the trade went against its entry before it closed, measured on the closing side from the entry price.; The full definition
Adverse excursion, largest, net of costs: Adverse excursion is how far the trade went against its entry before it closed, measured on the closing side from the entry price.; The full definition
Favourable excursion, mean: Favourable excursion is how far the trade went in its favour before it closed, measured on the closing side from the entry price.; The full definition
Favourable excursion, largest: Favourable excursion is how far the trade went in its favour before it closed, measured on the closing side from the entry price.; The full definition
Favourable excursion, mean, in R: Favourable excursion is how far the trade went in its favour before it closed, measured on the closing side from the entry price.; The full definition
Favourable excursion, largest, in R: Favourable excursion is how far the trade went in its favour before it closed, measured on the closing side from the entry price.; The full definition
Favourable excursion, mean, net of costs: Favourable excursion is how far the trade went in its favour before it closed, measured on the closing side from the entry price.; The full definition
Favourable excursion, largest, net of costs: Favourable excursion is how far the trade went in its favour before it closed, measured on the closing side from the entry price.; The full definition
Give-back, mean: How much of the best price the trade had it handed back before closing, in money.; The full definition
Give-back, worst: How much of the best price the trade had it handed back before closing, in money.; The full definition
Give-back, total: How much of the best price the trade had it handed back before closing, in money.; The full definition
Holding time in minutes, min: The shortest time a trade was held, in minutes, for all trades, the winners and the losers.; The full definition
Holding time in minutes, max: The longest time a trade was held, in minutes, for all trades, the winners and the losers.; The full definition
Holding time in minutes, mean: The mean time a trade was held, in minutes, for all trades, the winners and the losers.; The full definition
Holding time in minutes, median: The median time a trade was held, in minutes, for all trades, the winners and the losers.; The full definition
Holding time in bars, min: The shortest time a trade was held, in bars, for all trades, the winners and the losers.; The full definition
Holding time in bars, max: The longest time a trade was held, in bars, for all trades, the winners and the losers.; The full definition
Holding time in bars, mean: The mean time a trade was held, in bars, for all trades, the winners and the losers.; The full definition
Holding time in bars, median: The median time a trade was held, in bars, for all trades, the winners and the losers.; The full definition
Profit factor of a period: The profit factor of the trades that closed in one week, month, year or weekday.; The full definition
Best trade: What the best trade made, and how much of the net profit that was.; The full definition
Best day: What the best day made, and how much of the net profit that was.; The full definition
Best month: What the best month made, and how much of the net profit that was.; The full definition
Best year: What the best year made, and how much of the net profit that was.; The full definition
Best day against the days that made money: The best day read against the sum of the winning days, the base some firms' consistency rule uses.; The full definition
Trades by direction: How many trades were long and how many were short.; The full definition
Margin level, lowest: How close the account came to a margin call: the lowest level reached, with the bar it happened on.; The full definition
Margin in use, most: The most margin the run held at once, with the bar it happened on.; The full definition
Legs: How many legs the run traded. A position closed in pieces is one leg.; The full definition
Most positions open at once: The most legs open together, with the first bar it happened on and the legs then open.; The full definition
Positions open, average: How many legs were open on an average bar of the test.; The full definition
Worst floating loss: The deepest unrealised loss the open positions reached, with the first bar it happened on.; The full definition
Most risk open at once: The most the open legs were sized to lose at once, in money and as a share of the equity then.; The full definition
Most risk open at once, with correlation: The most risk open at once once instruments that move together are counted as one.; The full definition
Sharpe of a held curve: The Sharpe of the strategy and of the same money held in each instrument, on the same days.; The full definition
Return above the held instrument: How much more the strategy made over the test than the same money held in the instrument.; The full definition
Alpha: What the strategy earned a year beyond what its exposure to the instrument explains.; The full definition
Beta: How much the strategy moved for each unit the held instrument moved.; The full definition
Treynor ratio: The strategy's yearly excess return for each unit of beta.; The full definition
Information ratio: The yearly return above the instrument for each unit of how far the strategy strayed from it.; The full definition
Tracking error: How far the strategy's daily returns strayed from the instrument's, scaled to a year.; The full definition
Up capture: How much of the instrument's good days the strategy kept.; The full definition
Down capture: How much of the instrument's bad days the strategy took.; The full definition
Trading days: The days the data traded on, which the yearly constant is measured from.; The full definition
Span in days: How long the traded window is, in calendar days.; The full definition
Risk-free rate: The yearly return of holding cash that the run's risk-adjusted figures are measured above.; The full definition
Out-of-sample profit factor: Gross profit over gross loss on data the search never selected on. This is the engine's ranking key.; The full definition
In-sample profit factor: The same ratio on the data the search chose this setting from. On its own it says little: every setting in a sweep looks good in sample.; The full definition
Maximum drawdown: The worst fall from a peak to a later low on the out-of-sample equity. Negative; -1 means the account blew up.; The full definition
Trades: How many trades the out-of-sample test made.; The full definition
Skew of the trade results: Whether the big results lean to the upside (positive) or the downside (negative).; The full definition
Probability of backtest overfitting: How often the best setting on one half of the history lands below the middle on the other half. Above 0.5, the search is choosing noise.; The full definition
Deflated Sharpe: The chance the Sharpe is real after allowing for how many settings were tried. A raw Sharpe does not know that.; The full definition
Plateau score: How many of the settings next to this one also work. A setting that works alone is fitting noise.; The full definition
K-fold pass rate: How many of the consecutive folds of the search period the setting passed.; The full definition
Walk-forward pass rate: How many of the consecutive later windows inside the search period the setting passed.; The full definition
Win rate, out of sample: Share of the out-of-sample trades that made money.; The full definition
Payoff ratio, out of sample: Average win divided by average loss on the out-of-sample trades.; The full definition
Largest win in average losses: The best trade measured in average losses: the bound the live tripwire is set from.; The full definition
Average hold, out of sample: How long an out-of-sample trade was held on average, in minutes.; The full definition
Friction: How much of what the trades made before costs went to costs.; The full definition
Interval on a statistic: The range a statistic could plausibly have had on other draws of the same trades, and whether it includes the value that means no edge.; The full definition
Is the average trade above zero: Whether the average trade is more than luck. The t figure assumes independent trades, and says so.; The full definition
Cost multiple at break-even: How many times the costs this run paid it could take before the average trade makes nothing.; The full definition
Costs by kind: What the run paid in each of the four costs, and how much of the gross profit that was.; The full definition
Baseline for tracking the run live: What the test said the strategy would do, frozen with the result so a live record can be held to it.; The full definition
Weekly grid: How the account moved week by week.; The full definition
Monthly grid: How the account moved month by month.; The full definition
Annual grid: How the account moved year by year.; The full definition
Ranking key, test profit factor: How a run without an objective orders its candidates: best out-of-sample profit factor first.; The full definition
Ranking key, chosen objective: How a run with an objective orders its settings: by that objective on the search block, never by the hold-out.; The full definition
Noise rule for the leaderboard: A result that cannot be told from no edge is listed after the ones that can, whatever its figure is.; The full definition
Objective: net profit: The sum of profit and loss over the in-sample trades, in account currency.; The full definition
Objective: profit factor: Gross profit divided by gross loss over the in-sample trades. Undefined with no losing trade.; The full definition
Objective: win rate: The share of in-sample trades that made money, as a percentage.; The full definition
Objective: expectancy: The average profit or loss per in-sample trade, in account currency.; The full definition
Objective: max drawdown: The largest fall of in-sample equity from its running peak, as a percentage of that peak.; The full definition
Objective: recovery factor: In-sample net profit divided by the largest fall of equity from a peak, in account currency.; The full definition
Objective: sharpe ratio: The mean return per bar of in-sample equity divided by its standard deviation, annualised.; The full definition
Objective: sortino ratio: The mean return per bar of in-sample equity divided by the deviation of its losing bars, annualised.; The full definition
Objective: calmar ratio: The annual growth rate of in-sample equity divided by its maximum drawdown.; The full definition
Objective: profit factor, win rate and trade count: Profit factor times the win rate as a fraction, scaled down below 100 trades by the trade count over 100.; The full definition
Objective: worst instrument profit factor: The lowest profit factor among the instruments that traded.; The full definition
Verdict from the flags: One level for the whole result: the worst thing found sets it, and the other checks cannot soften it.; The full definition
Chain verdict: How far the combination got and what ended it. A combination whose passers were never graded is never filed as if it had been.; The full definition
Gate 4, cost: Kills a setting whose costs eat too much of what its trades make, or that dies when the spread widens.; The full definition
Gate 5, sample: Kills a setting that history could not produce enough evidence about.; The full definition
Gate 6, bounded tail: Flags a hidden tail for review. It never kills a setting: the person owns this verdict.; The full definition
Gate 7, parameter budget: Scores how many knobs the search could turn: every one multiplies the ways the optimiser can fool itself.; The full definition
Hold-out: The first check on data the search did not see. Passing it is necessary and never sufficient.; The full definition
K-fold pass rate: Whether the setting holds up on most of the consecutive pieces of the search period.; The full definition
Walk-forward pass rate: Whether the setting keeps working in the period straight after the one it was fitted on, again and again.; The full definition
Probability of backtest overfitting: A low figure is good: it says the winner of the search is not just the luckiest of many.; The full definition
Deflated Sharpe: Whether the Sharpe survives having been picked as the best of many.; The full definition
Plateau: Whether the settings next to this one work too: a setting that works alone is fitting noise.; The full definition