Metrics glossary

Every number on a backtest is a plain count or arithmetic over the trade list — no estimates, no curve-fitting. This page defines each metric exactly and tells you how to read it. For where they appear on the strategy card, see Run and read a backtest.

Every metric here is computed by fixed, deterministic code over your exact rules and real historical prices — the AI never invents a figure. P&L is net of modeled slippage and commission (defaults: 1 tick slippage,

1/side micro and

2.50/side full-size commission). Same rules + same data = the same numbers, every time. See Is the backtest real?

Headline metrics

The five numbers under the equity curve. Read them together — no single one tells the story.

Metric	Definition	How to read it
Number of Trades	Count of completed (entry-to-exit) trades over the test window.	Too few (a handful) is too small a sample to trust; too many can mean costs quietly eat the edge.
Total P&L	Net profit or loss summed across all trades, after slippage and commission.	The bottom line — but always weigh it against drawdown and trade count, never alone.
Average P&L per Trade	Total P&L ÷ Number of Trades.	Your per-trade edge. A few ticks either side of zero usually means no real edge once costs are paid.
Win Rate	Share of trades that closed profitable (winners ÷ total trades).	A high win rate alone is not profitability — many small wins and a few large losses still lose money.
Max Drawdown	Largest peak-to-trough drop in cumulative P&L over the window.	The worst stretch you’d have sat through. A drawdown larger than total profit is a red flag.

Sanity-check Total P&L against Max Drawdown. Making

5,000 through a

4,000 drawdown is a very different strategy from making

5,000 with an

800 worst stretch — even though the headline profit is identical.

Profit & loss distribution

How the P&L was actually made — the shape behind the average.

Metric	Definition	How to read it
Profit Factor	Gross profit ÷ gross loss (sum of all winning P&L over the absolute sum of all losing P&L).	Above 1.0 means wins outweigh losses; the further above, the more cushion. Right around 1.0 is a coin flip once real-world frictions are added.
Average Win	Mean P&L of the winning trades only.	Pair with Average Loss and Win Rate — a low win rate can still be very profitable if winners dwarf losers.
Average Loss	Mean P&L of the losing trades — break-even trades (P&L = 0) are grouped here, so it’s zero or negative.	A high win rate can still bleed if the typical loser is much larger than the typical winner.
Largest Win	The single most profitable trade in the run.	If it dwarfs the average win, check whether one outlier is carrying the whole result.
Largest Loss	The single worst trade in the run.	Should sit near your intended stop. A largest loss far beyond the stop hints at gaps or a missing exit.

Winners are trades with P&L above zero. Break-even trades (P&L exactly 0) are grouped with the losers — so they pull on Average Loss, Largest Loss, and the gross-loss side of Profit Factor, but never on Average Win, Largest Win, or Win Rate.

Streaks

How wins and losses clustered in time — useful for the pain you’d have to sit through, not just the totals.

Metric	Definition	How to read it
Max Consecutive Wins	The longest unbroken run of winning trades.	Long winning streaks can flatter a strategy — make sure the edge isn’t one hot patch.
Max Consecutive Losses	The longest unbroken run of losing trades.	The real-world test of whether you’d have kept trading through the worst skid.

Long vs. short breakdown

The same metrics split by trade direction, so you can see whether the edge is genuinely two-sided.

Metric	Definition	How to read it
Long Trades / Short Trades	Count of trades taken in each direction.	A lopsided count can mean the entry condition fires far more on one side.
Long Win Rate / Short Win Rate	Win rate computed within each direction.	One direction winning while the other loses is a sign you may have a one-sided edge.
Long P&L / Short P&L	Total P&L attributed to each direction.	If all the profit comes from longs and shorts lose, consider restricting it — “make it long-only.”

If the short side is dragging a two-sided strategy down, you can split the difference in chat: “how does it look long-only?” AskFutures re-runs it and you can compare the versions side by side.

Trade structure

What the trades looked like as events — how long they ran and why they ended.

Metric	Definition	How to read it
Average Hold Time	Mean duration a trade stayed open, entry to exit.	Confirm it matches intent — a “day-trading” idea showing multi-day holds means a rule isn’t doing what you thought.
Exit-reason breakdown	Count (and share) of trades that closed via each exit reason.	The fastest read on whether your risk rules are actually shaping trades.

The exit reasons

Every closed trade records exactly one reason it ended:

Reason	What it means
`stop`	The stop loss triggered.
`target`	The profit target was reached.
`trailing_stop`	The trailing stop was hit after price pulled back from its high-water mark.
`time`	The max-time-in-trade limit force-closed the position.
`session_close`	The end-of-day flat closed an open position at the session end.
`signal`	The position was closed and flipped on an opposite entry signal.
`custom`	A conditional exit rule you defined fired.
`hold_window`	A required hold window elapsed and the position was released.
`end_of_data`	The backtest reached the end of the data with the position still open.

If almost everything exits on session_close, your stop and target may be too wide to ever trigger; if stop dominates, they may be too tight. Profit that lives entirely in finely-tuned target exits is fragile. See the exit-reason breakdown.

Verify it yourself

Because the engine is deterministic, the downloadable trade list always reconciles to the metrics above — every count and average is recomputable from the raw rows. See Backtesting for the exportable detail.

Backtest results are hypothetical and simulated — no real trades were placed. Simulated results are designed with the benefit of hindsight and can under- or over-state live outcomes (real liquidity, slippage, and execution delays differ). Past performance does not guarantee future results. Always test before you trade.

Next steps

Run and read a backtest

See where each metric appears on the card and what “good” looks like.

Is the backtest real?

Why these numbers are reproducible — and what they don’t model.

Risk & trade management

The stops, targets, and exits behind the exit-reason breakdown.

Indicators and functions

Every indicator and series builder you can put into a rule.

Get Started

Core Concepts

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Reference

Help & Legal

Headline metrics

Profit & loss distribution

Streaks

Long vs. short breakdown

Trade structure

The exit reasons

Verify it yourself

Next steps

Run and read a backtest

Is the backtest real?

Risk & trade management

Indicators and functions

​Headline metrics

​Profit & loss distribution

​Streaks

​Long vs. short breakdown

​Trade structure

​The exit reasons

​Verify it yourself

​Next steps

Run and read a backtest

Is the backtest real?

Risk & trade management

Indicators and functions

Headline metrics

Profit & loss distribution

Streaks

Long vs. short breakdown

Trade structure

The exit reasons

Verify it yourself

Next steps