Quarterly Performance

Time Period

The time period for which the metrics are being reported.

Return (%)

The strategy's cumulative return over the time period, calculated based on the change in the strategy's portfolio value.

Market Change (%)

The change in the market’s value during the backtest period, expressed as a percentage.

Number of Positions

The number of positions the strategy opened during the time period.

Initial Capital Return (%)

The total return generated by the strategy over the time period, assuming only the initial capital is used for trading without reinvesting previous profits or accounting for losses. Expressed as a percentage.

Average Return (%)

The average return made by each position in the strategy, reported in percent.

Worst Return (%)

The minimum return generated by a single position.

Best Return (%)

The maximum return generated by a single position.

Median Return (%)

The median of the strategy’s returns.

Std Return (%)

The standard deviation of the returns, indicating variability, expressed as a percentage.

Average Position Duration

The average duration of position held by the strategy.

Number of Wins

The number of positions that were closed in profit.

Win Return (%)

The total profit generated by positions with a positive return, reported in percent.

Average Win Return (%)

The average return made by positions with a positive return, reported in percent.

Average Win Duration

The average duration of positions that resulted in a positive return.

Number of Losses

The number of positions that resulted in a negative return.

Loss Return (%)

The total loss incurred by positions with a negative return, reported in percent.

Average Loss Return (%)

The average loss incurred by positions with a negative return, reported in percent.

Average Loss Duration

The average duration of positions that resulted in a negative return.

Win Rate (%)

The number of positions closed in profit divided by total number of positions in the time period multiplied by 100.