I. Profitability
Does the system actually make money?
Net Profit
Net profit after losses and relevant trading costs. High profit is not automatically good if it comes with very deep drawdown.
Gross Profit & Gross Loss
Total money from winning trades and total money lost on losing trades. Together they show where performance comes from.
Profit Factor
Gross Profit / Gross Loss. PF above 1 means total winning profit exceeds total losing loss; always read it with drawdown and sample size.
Expectancy & Profit per Trade
Expectancy estimates the average value of each trade. Profit per Trade is Net Profit divided by total trades.
II. Win/Loss dynamics
How do you win and lose?
Winrate & Loss Rate
Winrate is the percentage of profitable trades. A high winrate is not automatically good if Average Loss is too large.
Risk:Reward
Compares targeted reward with risk. RR should be read together with the actual winrate.
Average Win / Average Loss
Shows whether the average winner is large enough to compensate for the average loser.
Largest Win / Largest Loss
Helps detect when results are dominated by one unusual trade or one major risk-management mistake.
III. Risk & survival
Can the system survive a bad period?
Drawdown
The decline from an equity peak to a later trough. Max DD is one of the most important measures of strategy stress.
Winning / Losing Streak
The longest run of consecutive wins/losses. Losing streaks affect psychology and position sizing.
Recovery Factor
Net Profit / Max Drawdown. Useful for judging whether the return is worth the drawdown taken.
Risk of Ruin & Max Risk per Trade
Tracks the chance of reaching a capital-loss threshold and the risk taken on each trade.
IV. Consistency & quality
Are the results stable and credible?
Equity Curve
The path of account equity over time. A smoother curve is often easier to sustain than one with frequent deep drops.
Sharpe Ratio
Measures return relative to total volatility. It should be read with drawdown and sample size, not in isolation.
Sortino Ratio
Similar to Sharpe but focuses on downside volatility, helping separate harmful volatility from favorable movement.
V. Trading behavior
How are you actually trading?
Trades per Day / Week
Shows trading frequency and can reveal overtrading.
Trade Duration
Average holding time helps identify whether the method behaves like scalping, day trading, or swing trading.
Long vs Short / Session / Timeframe
Compare performance by direction, session, and timeframe to find where the method is strongest or weakest.
VI. Real-world factors
Would the result still make sense under more realistic conditions?
Spread & Commission
Trading costs can materially reduce an edge, especially for short-duration strategies.
Slippage
Execution can differ from the expected price; strategies sensitive to slippage need extra testing.
Sample Size
Too few trades can make a strategy look good by chance. Always read metrics alongside sample size.