Donchian_Midline_Trend — metrics
Unguarded: PASSGuarded: PASSDirectionalgunbot-quant
The same document for both runs of the same measurement — first as the strategy ships, then with the break-even guard. Everything else about the two runs is identical.
As it ships PASS
Exits: the strategy's own exits, stops included
The metric set the portfolio dashboard reports, computed per cell so a backtested configuration and a running one read on the same axes. Portfolio-level measures (concentration, pairwise correlation, beta against a benchmark) are omitted: one strategy on one pair has no cross-sectional structure to measure, and printing a null would imply the number exists.
1m
| Metric | calm | cautious | medium | bold | aggressive |
|---|---|---|---|---|---|
| Return | -26.27% | -43.93% | -73.07% | -88.87% | -90.74% |
| CAGR | -97.55% | -99.91% | -100.00% | -100.00% | -100.00% |
| Buy and hold | 21.88% | 21.88% | 21.88% | 21.88% | 21.88% |
| Edge vs B&H | -48.15% | -65.81% | -94.95% | -110.75% | -112.62% |
| Volatility (ann.) | 5.36% | 9.51% | 19.22% | 26.96% | 29.51% |
| Sharpe | -69.10 | -73.94 | -82.96 | -98.95 | -97.94 |
| Sortino | -76.03 | -78.27 | -84.38 | -97.24 | -96.72 |
| Calmar | -3.71 | -2.27 | -1.37 | -1.13 | -1.10 |
| Omega | 0.54 | 0.56 | 0.56 | 0.55 | 0.55 |
| Max drawdown | 26.27% | 43.93% | 73.07% | 88.87% | 90.74% |
| Ulcer index | 0.1518 | 0.2636 | 0.4781 | 0.6310 | 0.6522 |
| Drawdown episodes | 2 | 2 | 1 | 1 | 1 |
| Longest underwater (days) | 30.0 | 30.0 | 30.0 | 30.0 | 30.0 |
| Recovery factor | -1.00 | -1.00 | -1.00 | -1.00 | -1.00 |
| VaR 95% | -1.311% | -2.466% | -5.600% | -9.082% | -10.001% |
| VaR 99% | -1.336% | -2.574% | -5.986% | -9.450% | -10.512% |
| CVaR 95% | -1.323% | -2.520% | -5.793% | -9.266% | -10.256% |
| Skew | 2.33 | 1.94 | 1.02 | 0.56 | 0.50 |
| Excess kurtosis | 6.83 | 5.25 | 1.47 | -0.00 | 0.02 |
| Best day | 0.14% | -0.03% | -1.22% | -3.40% | -3.71% |
| Worst day | -1.34% | -2.57% | -5.99% | -9.45% | -10.51% |
| Positive days | 1 | 0 | 0 | 0 | 0 |
| Negative days | 29 | 30 | 30 | 30 | 30 |
| Round trips | 3,318 | 3,317 | 3,316 | 3,316 | 3,316 |
| Winning / losing trades | 204 / 3,114 | 176 / 3,141 | 189 / 3,127 | 318 / 2,998 | 311 / 3,005 |
| Trades per day | 110.60 | 110.57 | 110.53 | 110.53 | 110.53 |
| Win rate | 6.15% | 5.31% | 5.70% | 9.59% | 9.38% |
| Profit factor | 0.16 | 0.16 | 0.20 | 0.20 | 0.20 |
| Payoff ratio | 2.50 | 2.94 | 3.24 | 1.91 | 1.97 |
| Expectancy | -0.0792 | -0.1324 | -0.2203 | -0.2680 | -0.2736 |
| Average win | 0.2519 | 0.4926 | 0.9396 | 0.7099 | 0.7492 |
| Average loss | 0.1009 | 0.1675 | 0.2904 | 0.3717 | 0.3795 |
| Average trade | -0.0792 | -0.1324 | -0.2203 | -0.2680 | -0.2736 |
| Max win streak | 3 | 3 | 3 | 4 | 4 |
| Max loss streak | 183 | 205 | 183 | 116 | 116 |
| Time in market | 45.99% | 48.74% | 49.81% | 50.07% | 50.07% |
| Turnover | 0.37 | 0.61 | 1.09 | 1.34 | 1.37 |
| Realised P&L | -262.67 | -439.30 | -730.64 | -888.65 | -907.32 |
| Unrealised P&L | -0.01 | -0.02 | -0.04 | -0.03 | -0.03 |
| Fees paid | 178.87 | 294.14 | 479.58 | 577.46 | 588.82 |
| Fee drag | 17.89% | 29.41% | 47.96% | 57.75% | 58.88% |
| Final equity | 737.32 | 560.68 | 269.32 | 111.32 | 92.65 |
3m
| Metric | calm | cautious | medium | bold | aggressive |
|---|---|---|---|---|---|
| Return | -8.59% | -15.36% | -32.71% | -49.09% | -52.05% |
| CAGR | -66.48% | -86.86% | -99.19% | -99.97% | -99.99% |
| Buy and hold | 21.86% | 21.86% | 21.86% | 21.86% | 21.86% |
| Edge vs B&H | -30.45% | -37.22% | -54.57% | -70.95% | -73.91% |
| Volatility (ann.) | 4.12% | 8.07% | 17.58% | 24.50% | 26.82% |
| Sharpe | -26.48 | -25.13 | -27.33 | -33.41 | -33.21 |
| Sortino | -28.26 | -27.63 | -29.52 | -35.36 | -35.06 |
| Calmar | -7.74 | -5.65 | -3.03 | -2.04 | -1.92 |
| Omega | 0.72 | 0.73 | 0.72 | 0.71 | 0.71 |
| Max drawdown | 8.59% | 15.36% | 32.71% | 49.09% | 52.05% |
| Ulcer index | 0.0454 | 0.0821 | 0.1816 | 0.2853 | 0.3067 |
| Drawdown episodes | 1 | 1 | 1 | 1 | 1 |
| Longest underwater (days) | 30.0 | 30.0 | 30.0 | 30.0 | 30.0 |
| Recovery factor | -1.00 | -1.00 | -1.00 | -1.00 | -1.00 |
| VaR 95% | -0.556% | -1.025% | -2.298% | -3.956% | -4.048% |
| VaR 99% | -0.592% | -1.084% | -2.577% | -4.103% | -4.557% |
| CVaR 95% | -0.574% | -1.054% | -2.437% | -4.029% | -4.303% |
| Skew | 2.61 | 2.70 | 2.08 | 1.62 | 1.66 |
| Excess kurtosis | 6.90 | 7.18 | 4.08 | 2.32 | 2.48 |
| Best day | 0.94% | 1.91% | 2.78% | 2.54% | 2.87% |
| Worst day | -0.59% | -1.08% | -2.58% | -4.10% | -4.56% |
| Positive days | 3 | 3 | 2 | 2 | 2 |
| Negative days | 26 | 26 | 27 | 27 | 27 |
| Round trips | 1,155 | 1,155 | 1,155 | 1,155 | 1,155 |
| Winning / losing trades | 120 / 1,035 | 106 / 1,049 | 82 / 1,073 | 148 / 1,007 | 151 / 1,004 |
| Trades per day | 38.50 | 38.50 | 38.50 | 38.50 | 38.50 |
| Win rate | 10.39% | 9.18% | 7.10% | 12.81% | 13.07% |
| Profit factor | 0.36 | 0.36 | 0.38 | 0.39 | 0.39 |
| Payoff ratio | 3.14 | 3.59 | 4.93 | 2.66 | 2.60 |
| Expectancy | -0.0744 | -0.1331 | -0.2833 | -0.4251 | -0.4507 |
| Average win | 0.4095 | 0.8271 | 2.4140 | 2.1275 | 2.2168 |
| Average loss | 0.1305 | 0.2301 | 0.4894 | 0.8003 | 0.8519 |
| Average trade | -0.0744 | -0.1331 | -0.2833 | -0.4251 | -0.4507 |
| Max win streak | 4 | 4 | 3 | 4 | 4 |
| Max loss streak | 69 | 69 | 69 | 42 | 39 |
| Time in market | 48.53% | 50.77% | 51.60% | 51.67% | 51.67% |
| Turnover | 0.18 | 0.33 | 0.72 | 1.12 | 1.19 |
| Realised P&L | -85.95 | -153.70 | -327.21 | -491.03 | -520.58 |
| Unrealised P&L | 0.04 | 0.07 | 0.13 | 0.25 | 0.25 |
| Fees paid | 65.79 | 116.66 | 239.82 | 358.50 | 377.00 |
| Fee drag | 6.58% | 11.67% | 23.99% | 35.86% | 37.71% |
| Final equity | 914.05 | 846.30 | 672.79 | 508.97 | 479.42 |
5m
| Metric | calm | cautious | medium | bold | aggressive |
|---|---|---|---|---|---|
| Return | -4.74% | -8.67% | -19.20% | -32.41% | -35.20% |
| CAGR | -44.62% | -66.81% | -92.53% | -99.15% | -99.49% |
| Buy and hold | 21.83% | 21.83% | 21.83% | 21.83% | 21.83% |
| Edge vs B&H | -26.57% | -30.50% | -41.03% | -54.24% | -57.03% |
| Volatility (ann.) | 4.49% | 9.27% | 18.31% | 25.45% | 27.54% |
| Sharpe | -13.14 | -11.86 | -14.08 | -18.59 | -19.03 |
| Sortino | -14.74 | -13.24 | -15.85 | -20.38 | -20.95 |
| Calmar | -7.78 | -6.34 | -4.36 | -3.00 | -2.80 |
| Omega | 0.80 | 0.81 | 0.80 | 0.77 | 0.77 |
| Max drawdown | 5.73% | 10.54% | 21.22% | 33.06% | 35.53% |
| Ulcer index | 0.0301 | 0.0568 | 0.1101 | 0.1782 | 0.1923 |
| Drawdown episodes | 11 | 12 | 4 | 2 | 3 |
| Longest underwater (days) | 21.7 | 21.7 | 21.7 | 21.7 | 21.7 |
| Recovery factor | -0.83 | -0.82 | -0.90 | -0.98 | -0.99 |
| VaR 95% | -0.441% | -0.810% | -1.718% | -2.991% | -3.274% |
| VaR 99% | -0.453% | -0.835% | -1.754% | -3.280% | -3.327% |
| CVaR 95% | -0.447% | -0.823% | -1.736% | -3.136% | -3.300% |
| Skew | 2.53 | 2.81 | 2.15 | 1.73 | 1.86 |
| Excess kurtosis | 6.74 | 8.25 | 4.57 | 2.91 | 3.46 |
| Best day | 1.14% | 2.31% | 3.84% | 4.38% | 4.78% |
| Worst day | -0.45% | -0.84% | -1.75% | -3.28% | -3.33% |
| Positive days | 3 | 3 | 6 | 4 | 5 |
| Negative days | 27 | 27 | 24 | 26 | 25 |
| Round trips | 703 | 703 | 703 | 703 | 703 |
| Winning / losing trades | 82 / 621 | 69 / 634 | 59 / 644 | 100 / 603 | 102 / 601 |
| Trades per day | 23.43 | 23.43 | 23.43 | 23.43 | 23.43 |
| Win rate | 11.66% | 9.82% | 8.39% | 14.22% | 14.51% |
| Profit factor | 0.51 | 0.50 | 0.50 | 0.49 | 0.49 |
| Payoff ratio | 3.83 | 4.58 | 5.44 | 2.98 | 2.89 |
| Expectancy | -0.0674 | -0.1233 | -0.2731 | -0.4610 | -0.5007 |
| Average win | 0.5912 | 1.2507 | 3.2284 | 3.1622 | 3.3240 |
| Average loss | 0.1544 | 0.2728 | 0.5939 | 1.0618 | 1.1499 |
| Average trade | -0.0674 | -0.1233 | -0.2731 | -0.4610 | -0.5007 |
| Max win streak | 3 | 3 | 2 | 3 | 3 |
| Max loss streak | 53 | 55 | 45 | 34 | 34 |
| Time in market | 50.21% | 52.18% | 52.91% | 52.91% | 52.92% |
| Turnover | 0.14 | 0.26 | 0.57 | 0.96 | 1.03 |
| Realised P&L | -47.41 | -86.67 | -192.00 | -324.07 | -352.02 |
| Unrealised P&L | 0.00 | -0.00 | 0.00 | 0.00 | 0.00 |
| Fees paid | 40.40 | 72.40 | 155.84 | 245.56 | 261.47 |
| Fee drag | 4.04% | 7.24% | 15.58% | 24.56% | 26.15% |
| Final equity | 952.59 | 913.33 | 808.00 | 675.93 | 647.98 |
Every number on this page is read from the run record that produced it — the audit pipeline writes the page and the record together, so the two cannot drift apart.
With the break-even guard PASS
Exits: no exit below average entry plus fees, stops included
The metric set the portfolio dashboard reports, computed per cell so a backtested configuration and a running one read on the same axes. Portfolio-level measures (concentration, pairwise correlation, beta against a benchmark) are omitted: one strategy on one pair has no cross-sectional structure to measure, and printing a null would imply the number exists.
1m
| Metric | calm | cautious | medium | bold | aggressive |
|---|---|---|---|---|---|
| Return | 2.04% | 4.13% | 9.39% | 9.69% | 10.87% |
| CAGR | 27.84% | 63.65% | 197.93% | 208.00% | 251.13% |
| Buy and hold | 21.88% | 21.88% | 21.88% | 21.88% | 21.88% |
| Edge vs B&H | -19.84% | -17.75% | -12.49% | -12.19% | -11.01% |
| Volatility (ann.) | 5.34% | 9.06% | 21.03% | 32.88% | 35.35% |
| Sharpe | 4.63 | 5.48 | 5.30 | 3.59 | 3.73 |
| Sortino | 5.55 | 6.23 | 5.41 | 3.56 | 3.70 |
| Calmar | 31.64 | 49.32 | 53.13 | 33.03 | 36.76 |
| Omega | 1.03 | 1.04 | 1.03 | 1.02 | 1.02 |
| Max drawdown | 0.88% | 1.29% | 3.73% | 6.30% | 6.83% |
| Ulcer index | 0.0032 | 0.0053 | 0.0121 | 0.0242 | 0.0261 |
| Drawdown episodes | 32 | 35 | 51 | 59 | 62 |
| Longest underwater (days) | 9.7 | 9.5 | 9.5 | 9.5 | 9.5 |
| Recovery factor | 2.32 | 3.20 | 2.52 | 1.54 | 1.59 |
| VaR 95% | -0.175% | -0.303% | -0.821% | -1.523% | -1.643% |
| VaR 99% | -0.301% | -0.469% | -0.887% | -1.643% | -1.653% |
| CVaR 95% | -0.238% | -0.386% | -0.854% | -1.583% | -1.648% |
| Skew | 2.87 | 2.77 | 1.92 | 1.37 | 1.48 |
| Excess kurtosis | 9.63 | 8.82 | 3.69 | 1.63 | 1.99 |
| Best day | 1.30% | 2.28% | 4.12% | 4.97% | 5.65% |
| Worst day | -0.30% | -0.47% | -0.89% | -1.64% | -1.65% |
| Positive days | 16 | 17 | 16 | 16 | 16 |
| Negative days | 14 | 13 | 14 | 14 | 14 |
| Round trips | 47 | 46 | 38 | 52 | 50 |
| Winning / losing trades | 47 / 0 | 46 / 0 | 38 / 0 | 52 / 0 | 50 / 0 |
| Trades per day | 1.57 | 1.53 | 1.27 | 1.73 | 1.67 |
| Win rate | 100.00% | 100.00% | 100.00% | 100.00% | 100.00% |
| Profit factor | ∞ | ∞ | ∞ | ∞ | ∞ |
| Payoff ratio | ∞ | ∞ | ∞ | ∞ | ∞ |
| Expectancy | 0.5316 | 1.0733 | 2.8626 | 2.9705 | 3.4443 |
| Average win | 0.5316 | 1.0733 | 2.8626 | 2.9705 | 3.4443 |
| Average loss | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| Average trade | 0.5316 | 1.0733 | 2.8626 | 2.9705 | 3.4443 |
| Max win streak | 47 | 46 | 38 | 52 | 50 |
| Max loss streak | 0 | 0 | 0 | 0 | 0 |
| Time in market | 99.39% | 99.35% | 99.53% | 99.24% | 99.29% |
| Turnover | 0.02 | 0.05 | 0.11 | 0.15 | 0.17 |
| Realised P&L | 24.98 | 49.37 | 108.78 | 154.47 | 172.21 |
| Unrealised P&L | -4.59 | -8.06 | -14.90 | -57.60 | -63.47 |
| Fees paid | 4.62 | 9.30 | 19.10 | 31.19 | 33.13 |
| Fee drag | 0.46% | 0.93% | 1.91% | 3.12% | 3.31% |
| Final equity | 1020.39 | 1041.31 | 1093.88 | 1096.87 | 1108.75 |
3m
| Metric | calm | cautious | medium | bold | aggressive |
|---|---|---|---|---|---|
| Return | 2.11% | 4.07% | 9.86% | 12.28% | 13.09% |
| CAGR | 29.00% | 62.57% | 213.98% | 309.25% | 346.71% |
| Buy and hold | 21.86% | 21.86% | 21.86% | 21.86% | 21.86% |
| Edge vs B&H | -19.75% | -17.79% | -12.00% | -9.58% | -8.77% |
| Volatility (ann.) | 4.96% | 9.67% | 24.17% | 33.84% | 36.65% |
| Sharpe | 5.15 | 5.07 | 4.85 | 4.33 | 4.27 |
| Sortino | 5.39 | 5.28 | 4.96 | 4.36 | 4.29 |
| Calmar | 30.89 | 32.92 | 42.03 | 47.77 | 49.51 |
| Omega | 1.05 | 1.05 | 1.04 | 1.03 | 1.03 |
| Max drawdown | 0.94% | 1.90% | 5.09% | 6.47% | 7.00% |
| Ulcer index | 0.0046 | 0.0096 | 0.0231 | 0.0310 | 0.0335 |
| Drawdown episodes | 35 | 35 | 42 | 54 | 54 |
| Longest underwater (days) | 21.7 | 21.7 | 18.0 | 18.0 | 18.0 |
| Recovery factor | 2.25 | 2.14 | 1.94 | 1.90 | 1.87 |
| VaR 95% | -0.259% | -0.507% | -1.584% | -1.958% | -2.129% |
| VaR 99% | -0.424% | -0.827% | -2.551% | -3.140% | -3.407% |
| CVaR 95% | -0.341% | -0.667% | -2.067% | -2.549% | -2.768% |
| Skew | 2.17 | 2.20 | 1.35 | 1.30 | 1.35 |
| Excess kurtosis | 5.32 | 5.40 | 1.76 | 1.74 | 1.86 |
| Best day | 1.37% | 2.71% | 4.81% | 5.95% | 6.55% |
| Worst day | -0.42% | -0.83% | -2.55% | -3.14% | -3.41% |
| Positive days | 15 | 15 | 15 | 15 | 15 |
| Negative days | 14 | 14 | 14 | 14 | 14 |
| Round trips | 26 | 26 | 27 | 26 | 28 |
| Winning / losing trades | 26 / 0 | 26 / 0 | 27 / 0 | 26 / 0 | 28 / 0 |
| Trades per day | 0.87 | 0.87 | 0.90 | 0.87 | 0.93 |
| Win rate | 100.00% | 100.00% | 100.00% | 100.00% | 100.00% |
| Profit factor | ∞ | ∞ | ∞ | ∞ | ∞ |
| Payoff ratio | ∞ | ∞ | ∞ | ∞ | ∞ |
| Expectancy | 1.0772 | 2.1045 | 4.6791 | 6.9608 | 6.9388 |
| Average win | 1.0772 | 2.1045 | 4.6791 | 6.9608 | 6.9388 |
| Average loss | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| Average trade | 1.0772 | 2.1045 | 4.6791 | 6.9608 | 6.9388 |
| Max win streak | 26 | 26 | 27 | 26 | 28 |
| Max loss streak | 0 | 0 | 0 | 0 | 0 |
| Time in market | 99.01% | 98.97% | 98.56% | 98.99% | 98.90% |
| Turnover | 0.03 | 0.05 | 0.13 | 0.18 | 0.19 |
| Realised P&L | 28.01 | 54.72 | 126.34 | 180.98 | 194.29 |
| Unrealised P&L | -6.86 | -13.98 | -27.75 | -58.23 | -63.42 |
| Fees paid | 2.66 | 5.48 | 14.37 | 16.00 | 18.84 |
| Fee drag | 0.27% | 0.55% | 1.44% | 1.60% | 1.88% |
| Final equity | 1021.11 | 1040.67 | 1098.46 | 1122.50 | 1130.61 |
5m
| Metric | calm | cautious | medium | bold | aggressive |
|---|---|---|---|---|---|
| Return | 2.45% | 4.71% | 9.10% | 13.55% | 14.71% |
| CAGR | 34.32% | 75.13% | 188.49% | 369.23% | 430.89% |
| Buy and hold | 21.83% | 21.83% | 21.83% | 21.83% | 21.83% |
| Edge vs B&H | -19.37% | -17.12% | -12.73% | -8.28% | -7.12% |
| Volatility (ann.) | 4.51% | 8.92% | 20.07% | 34.40% | 37.31% |
| Sharpe | 6.57 | 6.33 | 5.38 | 4.67 | 4.66 |
| Sortino | 7.31 | 6.86 | 5.73 | 4.83 | 4.82 |
| Calmar | 50.76 | 48.95 | 52.82 | 58.87 | 63.49 |
| Omega | 1.09 | 1.09 | 1.06 | 1.05 | 1.05 |
| Max drawdown | 0.68% | 1.53% | 3.57% | 6.27% | 6.79% |
| Ulcer index | 0.0038 | 0.0098 | 0.0169 | 0.0284 | 0.0307 |
| Drawdown episodes | 24 | 26 | 29 | 37 | 37 |
| Longest underwater (days) | 21.7 | 21.7 | 21.7 | 9.6 | 9.6 |
| Recovery factor | 3.63 | 3.07 | 2.55 | 2.16 | 2.17 |
| VaR 95% | -0.168% | -0.289% | -1.021% | -1.908% | -2.075% |
| VaR 99% | -0.289% | -0.496% | -1.735% | -3.204% | -3.477% |
| CVaR 95% | -0.229% | -0.392% | -1.378% | -2.556% | -2.776% |
| Skew | 2.67 | 2.98 | 1.94 | 1.31 | 1.39 |
| Excess kurtosis | 7.89 | 9.60 | 4.49 | 1.93 | 2.17 |
| Best day | 1.40% | 2.79% | 4.81% | 6.34% | 7.26% |
| Worst day | -0.29% | -0.50% | -1.74% | -3.20% | -3.48% |
| Positive days | 16 | 17 | 17 | 17 | 16 |
| Negative days | 14 | 13 | 13 | 13 | 14 |
| Round trips | 26 | 25 | 21 | 25 | 25 |
| Winning / losing trades | 26 / 0 | 25 / 0 | 21 / 0 | 25 / 0 | 25 / 0 |
| Trades per day | 0.87 | 0.83 | 0.70 | 0.83 | 0.83 |
| Win rate | 100.00% | 100.00% | 100.00% | 100.00% | 100.00% |
| Profit factor | ∞ | ∞ | ∞ | ∞ | ∞ |
| Payoff ratio | ∞ | ∞ | ∞ | ∞ | ∞ |
| Expectancy | 1.1040 | 2.1776 | 5.8325 | 7.8067 | 8.5141 |
| Average win | 1.1040 | 2.1776 | 5.8325 | 7.8067 | 8.5141 |
| Average loss | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| Average trade | 1.1040 | 2.1776 | 5.8325 | 7.8067 | 8.5141 |
| Max win streak | 26 | 25 | 21 | 25 | 25 |
| Max loss streak | 0 | 0 | 0 | 0 | 0 |
| Time in market | 97.71% | 97.88% | 98.48% | 97.96% | 98.06% |
| Turnover | 0.03 | 0.05 | 0.12 | 0.20 | 0.21 |
| Realised P&L | 28.71 | 54.44 | 122.48 | 195.17 | 212.85 |
| Unrealised P&L | -4.16 | -7.30 | -31.50 | -59.68 | -65.78 |
| Fees paid | 2.42 | 4.78 | 10.76 | 15.44 | 16.87 |
| Fee drag | 0.24% | 0.48% | 1.08% | 1.54% | 1.69% |
| Final equity | 1024.55 | 1047.14 | 1090.98 | 1135.49 | 1147.07 |
Every number on this page is read from the run record that produced it — the audit pipeline writes the page and the record together, so the two cannot drift apart.
What the guard is, and what a better number under it means. The break-even guard refuses any exit below average entry plus fees. It cannot improve a strategy's judgement — it can only stop it selling at a loss, which means holding the position instead. Across the pack that turns a strategy that churned into one that buys and waits: trade counts collapse and time in market rises towards 100%. In a window where the asset itself rose, that reads as a much better return while being strictly less of a strategy.
So read the return next to round trips, time in market and edge vs buy and hold. The last of those is the one that matters: not one strategy in this matrix beat simply holding the asset, in either run.
Ignore the win rate and the profit factor under the guard. Both count closed trades only, and the guard closes nothing at a loss — in all 101 guarded runs the number of losing closed trades is exactly zero. So the win rate goes to 100% and the profit factor becomes undefined for arithmetic reasons, while the losses sit in the position that is still open. The unrealised row is where they went.