Strategy Metrics Explained
Plain-English definitions of every strategy and portfolio metric SIPS shows.
Plain-English definitions of the metrics you’ll see on Strategies, Strategy Performance, Portfolio Comparison and Portfolio Analysis. Every figure is calculated from the real trades in your active dataset (or, for SD Score and Stability, taken from your SQX export).
Performance metrics
Net Profit
Total profit minus total loss across every trade in the sample, in dollars.
Average Annual % Return
Average yearly return, calculated on a $100,000 capital basis so strategies and portfolios can be compared on the same footing.
Profit Factor
Gross profit divided by gross loss. Above 1.0 means the strategy made more than it lost.
Win %
The percentage of trades that closed in profit.
Expectancy
The average profit or loss per trade.
Return/DD
Net profit relative to maximum drawdown — a higher figure means more return for the drawdown endured.
Max Drawdown
The largest peak-to-trough fall in cumulative P/L, in dollars.
Max Daily Drawdown
The largest realised loss on a single day, in dollars.
Sharpe Ratio
Return relative to the variability of returns — higher means steadier returns for the same profit.
Profitable Months %
The share of calendar months that finished in profit.
Trades / Avg Trades per Month
How many trades the sample contains, and how many it averages per month (with the minimum and maximum month).
Stagnation
The longest period without a new equity high.
Score metrics
PR Score
A performance/risk score that SIPS calculates itself from the trades, and checks against the value in your StrategyQuant X export during import.
SD Score
Taken as-is from your StrategyQuant X export; SIPS does not recalculate it.
Stability
The StrategyQuant X stability measure of how consistently equity has grown, shown as a percentage.
SIPS never combines these into one overall strategy or portfolio score. Two measures used in an early version of SIPS — RDD Rating and RDD Stability — are not used in any current ranking or rule.
Sample metrics
- FULL / IS / OOS — the complete backtest sample, the in-sample portion and the out-of-sample portion. A strategy with no OOS split shows “—”.
- Monthly / Yearly performance — tables built directly from the real trade history.