Performance Metrics Glossary
Performance Metrics Glossary
Profit Metrics
| Metric | Description |
|---|
| Net Profit | Total profit after all costs (slippage, commission) |
| Gross Profit | Sum of all winning trades |
| Gross Loss | Sum of all losing trades |
| Profit Factor | Gross Profit / Gross Loss (>1.0 is profitable) |
| Average Trade | Net Profit / Total Trades |
Win/Loss Metrics
| Metric | Description |
|---|
| Win % | Percentage of trades that were profitable |
| Average Winner | Mean profit of winning trades |
| Average Loser | Mean loss of losing trades |
| Largest Winner | Best single trade |
| Largest Loser | Worst single trade |
| Avg Win / Avg Loss | Payoff ratio |
Risk-Adjusted Returns
| Metric | Description |
|---|
| Sharpe Ratio | (Annualised Return - Risk Free Rate) / Annualised Volatility |
| Sortino Ratio | Like Sharpe, but uses only downside volatility |
| Calmar Ratio | Annualised Return / Maximum Drawdown |
| RINA Index | Risk-adjusted metric that rewards consistency |
| Ulcer Index | Measures the depth and duration of drawdowns |
Drawdown Metrics
| Metric | Description |
|---|
| Maximum Drawdown | Largest peak-to-trough equity decline |
| NP/DD | Net Profit / Maximum Drawdown |
| Recovery Factor | Net Profit / Maximum Drawdown (same as NP/DD) |
Equity Curve Quality
| Metric | Description |
|---|
| R-Squared | Linearity of the equity curve (1.0 = perfectly linear growth) |
| Pearson Correlation | Correlation between trade sequence and cumulative profit |
Custom Metrics
Algolang supports custom fitness expressions using mathematical operators. Available variables include:
nbrtrades, profitfactor, avgtrade, npdd, npmargin, nbrdd, r2, pearson, sharpe, sortino, rina, tim, tsindex, pct-profitable
Example: --fitness-metric "sharpe * r2" (Sharpe ratio weighted by equity curve linearity).