FILGrid_ATRBands — metrics

Unguarded: WARN · 1 warnGuarded: WARN · 1 warnFILGridgunbot-quant

BTCUSDT · 2026-08-13 01:50 → 2026-09-12 01:50 UTC (30 days) · 0.03% fee + 2 bps slippage · 1,000 quote, one figure for every cell

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 WARN · 1 warn

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	0.43%	0.32%	0.15%	0.83%	1.05%
CAGR	5.36%	3.91%	1.88%	10.57%	13.51%
Buy and hold	21.88%	21.88%	21.88%	21.88%	21.88%
Edge vs B&H	-21.45%	-21.57%	-21.73%	-21.05%	-20.83%
Volatility (ann.)	4.28%	4.72%	4.79%	5.18%	4.28%
Sharpe	1.24	0.84	0.41	1.96	2.99
Sortino	1.23	0.82	0.41	1.93	3.01
Calmar	5.73	3.69	1.62	8.73	12.11
Omega	1.01	1.01	1.01	1.02	1.03
Max drawdown	0.94%	1.06%	1.16%	1.21%	1.12%
Ulcer index	0.0014	0.0014	0.0017	0.0017	0.0026
Drawdown episodes	116	111	5	153	126
Longest underwater (days)	8.2	8.2	26.0	8.2	8.2
Recovery factor	0.46	0.30	0.13	0.69	0.94
VaR 95%	-0.030%	-0.024%	-0.082%	-0.010%	-0.001%
VaR 99%	-0.299%	-0.329%	-0.349%	-0.493%	-0.411%
CVaR 95%	-0.164%	-0.177%	-0.216%	-0.251%	-0.206%
Skew	1.16	-0.09	-1.02	1.11	2.33
Excess kurtosis	8.77	7.90	7.59	8.70	8.47
Best day	0.41%	0.33%	0.26%	0.68%	0.81%
Worst day	-0.30%	-0.33%	-0.35%	-0.49%	-0.41%
Positive days	16	16	16	17	17
Negative days	14	14	14	13	13
Round trips	1,028	588	394	32	1
Winning / losing trades	502 / 526	285 / 303	167 / 227	28 / 4	1 / 0
Trades per day	34.27	19.60	13.13	1.07	0.03
Win rate	48.83%	48.47%	42.39%	87.50%	100.00%
Profit factor	1.65	1.60	1.19	34.06	∞
Payoff ratio	1.73	1.70	1.62	4.87	∞
Expectancy	0.0028	0.0034	0.0018	0.2451	10.4026
Average win	0.0148	0.0189	0.0258	0.2886	10.4026
Average loss	0.0086	0.0111	0.0159	0.0593	0.0000
Average trade	0.0028	0.0034	0.0018	0.2451	10.4026
Max win streak	144	84	38	15	1
Max loss streak	80	43	33	1	0
Time in market	99.99%	99.99%	99.99%	99.99%	18.40%
Turnover	0.01	0.01	0.01	0.01	0.01
Realised P&L	2.93	2.02	0.69	7.84	10.40
Unrealised P&L	1.37	1.14	0.84	0.45	0.07
Fees paid	5.71	5.69	6.57	3.20	0.30
Fee drag	0.57%	0.57%	0.66%	0.32%	0.03%
Final equity	1004.30	1003.16	1001.53	1008.29	1010.47

3m

Metric	calm	cautious	medium	bold	aggressive
Return	0.42%	0.39%	0.41%	1.03%	1.11%
CAGR	5.19%	4.90%	5.05%	13.22%	14.43%
Buy and hold	21.86%	21.86%	21.86%	21.86%	21.86%
Edge vs B&H	-21.44%	-21.47%	-21.45%	-20.83%	-20.75%
Volatility (ann.)	3.93%	4.04%	4.30%	4.83%	4.40%
Sharpe	1.31	1.20	1.17	2.60	3.09
Sortino	1.33	1.23	1.20	2.67	3.20
Calmar	5.20	4.82	5.12	14.05	13.30
Omega	1.02	1.02	1.02	1.05	1.06
Max drawdown	1.00%	1.02%	0.99%	0.94%	1.09%
Ulcer index	0.0021	0.0020	0.0017	0.0017	0.0025
Drawdown episodes	45	83	81	95	82
Longest underwater (days)	8.2	8.2	8.2	8.2	8.2
Recovery factor	0.42	0.39	0.41	1.09	1.03
VaR 95%	-0.061%	-0.048%	-0.014%	-0.013%	-0.022%
VaR 99%	-0.437%	-0.437%	-0.412%	-0.383%	-0.413%
CVaR 95%	-0.249%	-0.242%	-0.213%	-0.198%	-0.217%
Skew	2.01	1.88	1.62	2.55	2.22
Excess kurtosis	11.63	11.33	10.77	11.38	6.82
Best day	0.70%	0.67%	0.60%	0.80%	0.79%
Worst day	-0.44%	-0.44%	-0.41%	-0.38%	-0.41%
Positive days	15	15	15	16	15
Negative days	14	14	14	13	14
Round trips	522	359	265	16	1
Winning / losing trades	261 / 261	194 / 165	138 / 127	13 / 3	1 / 0
Trades per day	17.40	11.97	8.83	0.53	0.03
Win rate	50.00%	54.04%	52.08%	81.25%	100.00%
Profit factor	1.65	1.61	1.72	31.01	∞
Payoff ratio	1.65	1.37	1.59	7.16	∞
Expectancy	0.0065	0.0090	0.0127	0.5992	10.8826
Average win	0.0329	0.0436	0.0581	0.7621	10.8826
Average loss	0.0199	0.0317	0.0367	0.1065	0.0000
Average trade	0.0065	0.0090	0.0127	0.5992	10.8826
Max win streak	109	53	39	9	1
Max loss streak	144	121	77	3	0
Time in market	99.87%	99.87%	99.87%	99.87%	99.87%
Turnover	0.01	0.01	0.01	0.01	0.01
Realised P&L	3.40	3.21	3.36	9.59	10.88
Unrealised P&L	0.78	0.72	0.69	0.67	0.26
Fees paid	2.90	3.48	4.42	1.60	0.30
Fee drag	0.29%	0.35%	0.44%	0.16%	0.03%
Final equity	1004.17	1003.94	1004.05	1010.26	1011.14

5m

Metric	calm	cautious	medium	bold	aggressive
Return	0.50%	0.36%	0.34%	1.04%	1.13%
CAGR	6.20%	4.49%	4.19%	13.35%	14.71%
Buy and hold	21.83%	21.83%	21.83%	21.83%	21.83%
Edge vs B&H	-21.33%	-21.47%	-21.49%	-20.79%	-20.69%
Volatility (ann.)	3.86%	3.92%	4.07%	4.53%	4.71%
Sharpe	1.58	1.14	1.03	2.79	2.94
Sortino	1.64	1.18	1.06	2.95	3.13
Calmar	6.27	4.34	3.93	14.68	13.74
Omega	1.03	1.03	1.02	1.06	1.06
Max drawdown	0.99%	1.03%	1.07%	0.91%	1.07%
Ulcer index	0.0022	0.0022	0.0021	0.0018	0.0025
Drawdown episodes	46	48	58	75	59
Longest underwater (days)	8.2	8.2	8.2	8.2	8.2
Recovery factor	0.50	0.35	0.32	1.14	1.06
VaR 95%	-0.166%	-0.117%	-0.071%	-0.008%	-0.067%
VaR 99%	-0.428%	-0.443%	-0.470%	-0.439%	-0.402%
CVaR 95%	-0.297%	-0.280%	-0.270%	-0.224%	-0.234%
Skew	2.18	2.24	1.85	2.70	2.24
Excess kurtosis	11.52	12.53	11.99	12.93	7.91
Best day	0.74%	0.74%	0.70%	0.91%	0.81%
Worst day	-0.43%	-0.44%	-0.47%	-0.44%	-0.40%
Positive days	16	16	16	17	16
Negative days	14	14	14	13	14
Round trips	393	284	185	15	1
Winning / losing trades	211 / 182	153 / 131	103 / 82	12 / 3	1 / 0
Trades per day	13.10	9.47	6.17	0.50	0.03
Win rate	53.69%	53.87%	55.68%	80.00%	100.00%
Profit factor	1.94	1.62	1.58	15.68	∞
Payoff ratio	1.67	1.39	1.26	3.92	∞
Expectancy	0.0107	0.0107	0.0160	0.6620	10.9984
Average win	0.0410	0.0519	0.0783	0.8839	10.9984
Average loss	0.0245	0.0374	0.0624	0.2255	0.0000
Average trade	0.0107	0.0107	0.0160	0.6620	10.9984
Max win streak	102	67	29	7	1
Max loss streak	90	52	46	3	0
Time in market	99.80%	99.80%	99.80%	99.80%	99.80%
Turnover	0.01	0.01	0.01	0.01	0.01
Realised P&L	4.19	3.05	2.95	9.93	11.00
Unrealised P&L	0.77	0.57	0.43	0.42	0.35
Fees paid	2.18	2.75	3.08	1.50	0.30
Fee drag	0.22%	0.27%	0.31%	0.15%	0.03%
Final equity	1004.96	1003.62	1003.38	1010.35	1011.34

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 WARN · 1 warn

Exits: no exit below average entry plus fees, stops included

1m

Metric	calm	cautious	medium	bold	aggressive
Return	0.64%	0.71%	0.82%	0.86%	1.05%
CAGR	8.10%	9.04%	10.50%	11.03%	13.51%
Buy and hold	21.88%	21.88%	21.88%	21.88%	21.88%
Edge vs B&H	-21.24%	-21.17%	-21.06%	-21.02%	-20.83%
Volatility (ann.)	4.22%	4.82%	4.82%	5.19%	4.28%
Sharpe	1.87	1.82	2.10	2.04	2.99
Sortino	1.84	1.80	2.08	2.01	3.01
Calmar	9.76	9.04	10.61	9.18	12.11
Omega	1.03	1.02	1.03	1.03	1.03
Max drawdown	0.83%	1.00%	0.99%	1.20%	1.12%
Ulcer index	0.0011	0.0013	0.0012	0.0017	0.0026
Drawdown episodes	106	142	144	155	126
Longest underwater (days)	8.2	8.2	8.2	8.2	8.2
Recovery factor	0.77	0.71	0.83	0.72	0.94
VaR 95%	-0.003%	-0.020%	-0.028%	-0.010%	-0.001%
VaR 99%	-0.157%	-0.266%	-0.151%	-0.485%	-0.411%
CVaR 95%	-0.080%	-0.143%	-0.090%	-0.247%	-0.206%
Skew	2.32	1.57	2.87	1.21	2.33
Excess kurtosis	7.58	6.92	10.60	8.71	8.47
Best day	0.37%	0.44%	0.47%	0.69%	0.81%
Worst day	-0.16%	-0.27%	-0.15%	-0.48%	-0.41%
Positive days	17	17	17	17	17
Negative days	13	13	13	13	13
Round trips	438	320	225	31	1
Winning / losing trades	438 / 0	320 / 0	225 / 0	31 / 0	1 / 0
Trades per day	14.60	10.67	7.50	1.03	0.03
Win rate	100.00%	100.00%	100.00%	100.00%	100.00%
Profit factor	∞	∞	∞	∞	∞
Payoff ratio	∞	∞	∞	∞	∞
Expectancy	0.0144	0.0193	0.0307	0.2638	10.4026
Average win	0.0144	0.0193	0.0307	0.2638	10.4026
Average loss	0.0000	0.0000	0.0000	0.0000	0.0000
Average trade	0.0144	0.0193	0.0307	0.2638	10.4026
Max win streak	438	320	225	31	1
Max loss streak	0	0	0	0	0
Time in market	15.27%	99.99%	99.99%	99.99%	18.40%
Turnover	0.01	0.01	0.01	0.01	0.01
Realised P&L	6.30	6.19	6.91	8.18	10.40
Unrealised P&L	0.12	0.95	1.33	0.46	0.07
Fees paid	3.26	3.62	3.93	3.10	0.30
Fee drag	0.33%	0.36%	0.39%	0.31%	0.03%
Final equity	1006.42	1007.14	1008.24	1008.64	1010.47

3m

Metric	calm	cautious	medium	bold	aggressive
Return	0.74%	0.47%	0.59%	0.87%	1.11%
CAGR	9.34%	5.88%	7.40%	11.10%	14.43%
Buy and hold	21.86%	21.86%	21.86%	21.86%	21.86%
Edge vs B&H	-21.12%	-21.39%	-21.27%	-20.99%	-20.75%
Volatility (ann.)	4.36%	4.76%	4.89%	5.11%	4.40%
Sharpe	2.07	1.22	1.49	2.08	3.09
Sortino	2.13	0.49	1.54	2.14	3.20
Calmar	9.17	5.40	6.97	9.76	13.30
Omega	1.04	1.03	1.03	1.04	1.06
Max drawdown	1.02%	1.09%	1.06%	1.14%	1.09%
Ulcer index	0.0021	0.0021	0.0019	0.0021	0.0025
Drawdown episodes	84	23	50	94	82
Longest underwater (days)	8.2	25.4	8.2	8.2	8.2
Recovery factor	0.72	0.43	0.55	0.76	1.03
VaR 95%	-0.016%	-0.041%	-0.002%	-0.008%	-0.022%
VaR 99%	-0.454%	-0.470%	-0.494%	-0.539%	-0.413%
CVaR 95%	-0.235%	-0.256%	-0.248%	-0.274%	-0.217%
Skew	2.60	2.14	1.97	1.72	2.22
Excess kurtosis	12.89	11.72	11.36	10.27	6.82
Best day	0.87%	0.78%	0.79%	0.85%	0.79%
Worst day	-0.45%	-0.47%	-0.49%	-0.54%	-0.41%
Positive days	15	3	16	16	15
Negative days	14	2	13	13	14
Round trips	253	128	121	13	1
Winning / losing trades	253 / 0	128 / 0	121 / 0	13 / 0	1 / 0
Trades per day	8.43	4.27	4.03	0.43	0.03
Win rate	100.00%	100.00%	100.00%	100.00%	100.00%
Profit factor	∞	∞	∞	∞	∞
Payoff ratio	∞	∞	∞	∞	∞
Expectancy	0.0263	0.0367	0.0477	0.6353	10.8826
Average win	0.0263	0.0367	0.0477	0.6353	10.8826
Average loss	0.0000	0.0000	0.0000	0.0000	0.0000
Average trade	0.0263	0.0367	0.0477	0.6353	10.8826
Max win streak	253	128	121	13	1
Max loss streak	0	0	0	0	0
Time in market	99.87%	15.49%	15.49%	99.87%	99.87%
Turnover	0.01	0.00	0.01	0.01	0.01
Realised P&L	6.66	4.70	5.77	8.26	10.88
Unrealised P&L	0.71	-0.00	0.12	0.43	0.26
Fees paid	1.41	2.03	2.25	1.30	0.30
Fee drag	0.14%	0.20%	0.23%	0.13%	0.03%
Final equity	1007.37	1004.70	1005.89	1008.69	1011.14

5m

Metric	calm	cautious	medium	bold	aggressive
Return	0.65%	0.65%	0.36%	1.01%	1.13%
CAGR	8.14%	8.22%	4.41%	13.06%	14.71%
Buy and hold	21.83%	21.83%	21.83%	21.83%	21.83%
Edge vs B&H	-21.18%	-21.18%	-21.47%	-20.82%	-20.69%
Volatility (ann.)	3.80%	4.27%	4.52%	4.76%	4.71%
Sharpe	2.08	1.87	0.98	2.60	2.94
Sortino	2.19	1.95	1.02	2.76	3.13
Calmar	8.54	7.82	4.01	12.52	13.74
Omega	1.04	1.04	1.02	1.06	1.06
Max drawdown	0.95%	1.05%	1.10%	1.04%	1.07%
Ulcer index	0.0020	0.0022	0.0022	0.0019	0.0025
Drawdown episodes	57	51	65	75	59
Longest underwater (days)	8.2	8.2	8.2	8.2	8.2
Recovery factor	0.68	0.62	0.32	0.97	1.06
VaR 95%	-0.119%	-0.087%	-0.139%	-0.010%	-0.067%
VaR 99%	-0.436%	-0.464%	-0.493%	-0.439%	-0.402%
CVaR 95%	-0.277%	-0.275%	-0.316%	-0.225%	-0.234%
Skew	1.81	2.55	1.97	2.81	2.24
Excess kurtosis	9.88	12.98	11.79	13.47	7.91
Best day	0.71%	0.86%	0.77%	0.92%	0.81%
Worst day	-0.44%	-0.46%	-0.49%	-0.44%	-0.40%
Positive days	16	16	16	17	16
Negative days	14	14	14	13	14
Round trips	173	143	65	13	1
Winning / losing trades	173 / 0	143 / 0	65 / 0	13 / 0	1 / 0
Trades per day	5.77	4.77	2.17	0.43	0.03
Win rate	100.00%	100.00%	100.00%	100.00%	100.00%
Profit factor	∞	∞	∞	∞	∞
Payoff ratio	∞	∞	∞	∞	∞
Expectancy	0.0335	0.0420	0.0511	0.7423	10.9984
Average win	0.0335	0.0420	0.0511	0.7423	10.9984
Average loss	0.0000	0.0000	0.0000	0.0000	0.0000
Average trade	0.0335	0.0420	0.0511	0.7423	10.9984
Max win streak	173	143	65	13	1
Max loss streak	0	0	0	0	0
Time in market	99.80%	99.80%	99.80%	99.80%	99.80%
Turnover	0.01	0.01	0.00	0.01	0.01
Realised P&L	5.79	6.00	3.32	9.65	11.00
Unrealised P&L	0.66	0.51	0.23	0.49	0.35
Fees paid	1.50	1.39	1.92	1.30	0.30
Fee drag	0.15%	0.14%	0.19%	0.13%	0.03%
Final equity	1006.45	1006.51	1003.55	1010.14	1011.34

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.