Reporting standard
Every figure on the site, in the weekly report and in the posts is computed with the same formulas, on the same daily series of the strategy. Figures come from closed trades, with no periods excluded, net of costs: for CFD strategies the spread is the one measured on the broker's real ticks, plus swaps and commissions; for futures an estimated slippage.
DEFINITIONS
| METRIC | HOW IT IS COMPUTED |
|---|---|
| Return | Percentage change in capital from the start to the end of the period. |
| Calendar | Daily returns from Monday to Friday; days without trades count as zero return; trades closed at the weekend go to the following Monday. |
| Sharpe | Mean daily return divided by its standard deviation, times the square root of 252; zero risk-free rate. |
| Sortino | Mean daily return divided by the square root of the mean of the squared negative parts, computed over all days, times the square root of 252. |
| Max drawdown | The largest fall of equity from a peak to the following low, in percent. |
| Calmar | Annualised return divided by max drawdown. |
| Win rate | Share of closed trades that made a profit. |
| Profit factor | Sum of winning trades divided by the sum of losing trades; above 1 the strategy makes money. |
| Trades | Number of trades closed in the period. |
| Trade P&L | Profit or loss as a percentage of the strategy's capital at entry. |
CALCULATION PERIOD
Published metrics cover the full history of each strategy, including the final out-of-sample period kept separate during development.
BACKTESTS, NOT REAL ACCOUNTS
Unless stated otherwise, results are simulations on historical and real-time data, not returns of real-money accounts. The method is described on the Method page.