Performance Metrics
โก 1. Volatility (Annualized) โ 86.98%
Volatility measures how much your returns fluctuate. The annualized version tells you how much variation to expect over a year.
- High volatility = bigger ups and downs.
- Low volatility = smoother performance.
๐ In this case, 86.9% means the portfolio experiences large price swings โ both profitable and risky.
๐ 2. CAGR (Compound Annual Growth Rate) โ 44.93%
CAGR tells you how much your account grows on average per year, assuming profits are reinvested.
A CAGR of 44.9% means the portfolio compounds aggressively โ doubling roughly every two years. Impressive growth, but only sustainable with controlled drawdowns.
โ๏ธ 3. Sharpe Ratio โ 0.82
The Sharpe Ratio measures return per unit of total risk. It compares your returns to a risk-free asset, adjusted for volatility.
- > 1 โ Good
- > 2 โ Excellent
At 0.82, the systemโs risk-adjusted efficiency is modest โ good returns, but with significant volatility.
๐ฏ 4. Sortino Ratio โ 2.33
The Sortino Ratio focuses only on downside volatility, ignoring fluctuations from positive returns โ making it a more realistic measure of โbad risk.โ
A score of 2.33 means the system generates very strong returns for the downside risk it takes. Itโs a hallmark of a high-quality trading strategy.
๐งญ 5. Calmar Ratio โ 1.98
The Calmar Ratio compares your CAGR to your maximum drawdown, helping you see how efficiently youโre growing relative to your worst loss.
At 1.98, itโs a well-balanced system: great growth for the risk endured.
(Above 1.5 is considered strong, above 2 is elite.)
๐ช 6. Alpha โ 181.90%
Alpha measures how much better (or worse) your system performs compared to the overall market, adjusting for risk exposure (Beta).
A massive 181.9% Alpha means the system isnโt just riding market waves โ itโs outperforming by a huge margin, driven by genuine trading edge.
๐ 7. Beta โ 0.16
Beta shows how much your portfolio moves in relation to the market.
- ฮฒ = 1 โ Moves with the market
- ฮฒ < 1 โ Less sensitive
- ฮฒ > 1 โ More volatile
A Beta of 0.15 means the system is mostly uncorrelated โ a big advantage for diversification.
๐ฅ 8. Maximum Drawdown โ -35.97%
Max Drawdown (MDD) is the worst peak-to-trough drop in portfolio value before reaching a new high.
A -36% drawdown means that at one point, the strategy lost over one-third of its value. Manageable if returns are high, but it requires emotional and financial resilience.
๐ 9. Win Rate โ 70%
The Win Rate is the percentage of trades that end in profit.
A 70% win rate looks great โ but itโs only meaningful when paired with metrics like Profit Factor and Expectancy, which tell you how big your wins and losses are.
๐ฐ 10. Profit Factor โ 7.12
Profit Factor (PF) tells you how much you earn for every dollar you lose.
A PF of 7.12 means for every โน1 lost, โน7 are made โ an exceptional ratio. Anything above 2.0 is considered very strong.
๐ 11. Expectancy โ 13.96%
Expectancy measures the average percentage gain or loss per trade, incorporating win rate and risk-reward ratio.
At 13.96%, this strategy makes roughly 14% profit per trade over the long run โ a consistent positive edge.
๐งฎ 12. SQN (System Quality Number) โ 2.09
Developed by Dr. Van Tharp, the SQN quantifies how consistently profitable your system is.
Interpretation:
- < 1.6: Poor
- 1.6โ2.0: Average
- 2.0โ3.0: Good
- > 3.0: Excellent
An SQN of 2.09 shows a good-quality system with repeatable results.
๐ฏ 13. Kelly Criterion โ 0.60
The Kelly Criterion helps determine the optimal fraction of your capital to risk per trade for maximum long-term growth.
A Kelly value of 0.6 means risking 60% of capital per trade would theoretically maximize growth โ though most traders wisely use half-Kelly (30%) to reduce drawdowns.
๐ Summary Table
| Metric | What It Shows | Ideal Range | Result |
|---|---|---|---|
| Volatility | Return fluctuation | Lower = stable | 86.9% |
| CAGR | Annual growth | Higher = better | 44.9% |
| Sharpe | Return per risk | >1 good, >2 great | 0.82 |
| Sortino | Downside risk-adjusted return | >2 excellent | 2.33 |
| Calmar | Return vs drawdown | >1.5 strong | 1.98 |
| Alpha | Skill-based return | >0 good | 181.9% |
| Beta | Market correlation | ~0 = uncorrelated | 0.15 |
| Max Drawdown | Largest loss | Lower = better | -35.9% |
| Win Rate | % winning trades | >60% solid | 70% |
| Profit Factor | Profit/Loss ratio | >2 great | 7.12 |
| Expectancy | Avg gain per trade | >0 positive | 13.96% |
| SQN | System quality | >2 good | 2.09 |
| Kelly | Optimal risk per trade | 0.3โ0.6 balanced | 0.60 |
โจ Conclusion: Numbers Donโt Lie โ They Tell a Story
Each metric gives you a unique lens to evaluate your system.
Together, they help answer three key questions:
- Am I growing fast enough? โ CAGR, Alpha, Profit Factor
- Am I taking too much risk? โ Volatility, Drawdown, Sharpe
- Is my edge consistent? โ SQN, Sortino, Expectancy