Performance Metrics

Every performance card ranks and colours scans by a metric you choose. A metric is always measured over a time horizon — the metric says what is measured, the horizon says over how long.

The metrics below are computed across every stock a scan has surfaced, treating each as a trade entered at scan time and exited at the end of the selected horizon.

Risk-adjusted return

These reward return relative to the risk taken — higher is better.

• Sharpe Ratio — return per unit of total volatility. The standard risk-adjusted score.
• Sortino Ratio — like Sharpe, but only penalises downside volatility, so it isn't dragged down by large upside moves.
• Calmar Ratio — return relative to the worst drawdown over the period.
• Profit / Drawdown Ratio — total profit divided by the largest drawdown. Also available close-only (using closing prices) and trade-weighted variants.

Returns

• Avg Percent Return — the average return per trade over the horizon.
• Avg Daily Return — the average return per day held.
• Std Dev of Avg Daily Return — how spread-out those daily returns are (lower is steadier).
• Expectancy — the average expected return per trade: (win rate × avg win) − (loss rate × avg loss).

Wins and losses

• Win Rate / Loss Rate — the share of trades that ended profitable / unprofitable.
• Total Wins / Total Losses / Total Trades — raw trade counts.
• Avg Win % / Avg Loss % — the average size of winning and losing trades.
• Max Win % / Max Loss % — the single best and worst trade over the period.

Drawdown and exposure

• Avg Max Drawdown — the average worst peak-to-trough decline during a trade (lower is better).
• Avg Max Profit Since Entry — how far a trade ran in your favour on average.
• Avg Max Loss Since Entry — how far it ran against you on average.
• Avg Bars Held — the average number of bars (candles) a trade was held.

Reading the colours

Cards colour each value on a scale so you can scan a grid at a glance. For most metrics greener / more saturated is better; for loss-style metrics (drawdown, loss rate, max loss) the scale is inverted so a smaller number reads as the "good" colour.

Related: Time Horizons explains the holding-period buckets every metric is measured over.