Understanding the performance metrics for your strategies.
Primary knowledge hub
Primary knowledge hub for platform usage and feature reference.
Total return is the overall percentage gain or loss of a strategy since deployment. This includes all realized and unrealized P&L from executed trades, minus any fees paid to the exchange.
The Sharpe ratio measures risk-adjusted return. A higher Sharpe ratio indicates better returns per unit of risk. Generally, a Sharpe ratio above 1.0 is considered good, above 2.0 is very good, and above 3.0 is excellent. Sharpe values appear when sufficient historical backtest data is available for a strategy.
Maximum drawdown is the largest peak-to-trough decline in portfolio value. This metric helps you understand the worst-case loss scenario. Strategies with lower maximum drawdown are generally considered less risky.
Win rate is the percentage of profitable trades. Additional statistics include average trade duration, number of trades, average gain per winning trade, and average loss per losing trade. A high win rate does not guarantee profitability -- the ratio of average win to average loss matters equally.