Performance / FILGrid_ATRBands_Arith / Metrics

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FILGrid_ATRBands_Arith — 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% 0.33% 0.16% 0.83% 1.05%
CAGR 5.38% 4.03% 1.91% 10.58% 13.51%
Buy and hold 21.88% 21.88% 21.88% 21.88% 21.88%
Edge vs B&H -21.45% -21.56% -21.73% -21.05% -20.83%
Volatility (ann.) 4.29% 4.72% 4.79% 5.18% 4.28%
Sharpe 1.24 0.86 0.42 1.96 2.99
Sortino 1.23 0.85 0.41 1.94 3.01
Calmar 5.76 3.80 1.64 8.74 12.11
Omega 1.01 1.01 1.01 1.02 1.03
Max drawdown 0.93% 1.06% 1.16% 1.21% 1.12%
Ulcer index 0.0014 0.0014 0.0017 0.0017 0.0026
Drawdown episodes 117 112 5 153 126
Longest underwater (days) 8.2 8.2 26.0 8.2 8.2
Recovery factor 0.46 0.31 0.13 0.69 0.94
VaR 95% -0.030% -0.024% -0.087% -0.010% -0.001%
VaR 99% -0.298% -0.327% -0.345% -0.493% -0.411%
CVaR 95% -0.164% -0.176% -0.216% -0.251% -0.206%
Skew 1.22 0.02 -0.94 1.11 2.33
Excess kurtosis 8.89 7.88 7.38 8.70 8.47
Best day 0.42% 0.34% 0.27% 0.68% 0.81%
Worst day -0.30% -0.33% -0.34% -0.49% -0.41%
Positive days 16 16 16 17 17
Negative days 14 14 14 13 13
Round trips 1,029 587 396 32 1
Winning / losing trades 501 / 528 285 / 302 167 / 229 28 / 4 1 / 0
Trades per day 34.30 19.57 13.20 1.07 0.03
Win rate 48.69% 48.55% 42.17% 87.50% 100.00%
Profit factor 1.65 1.63 1.19 34.06 ∞
Payoff ratio 1.74 1.73 1.64 4.87 ∞
Expectancy 0.0028 0.0036 0.0018 0.2451 10.4026
Average win 0.0149 0.0192 0.0259 0.2886 10.4026
Average loss 0.0086 0.0111 0.0158 0.0593 0.0000
Average trade 0.0028 0.0036 0.0018 0.2451 10.4026
Max win streak 143 83 38 15 1
Max loss streak 81 44 34 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 2.11 0.70 7.84 10.40
Unrealised P&L 1.39 1.14 0.86 0.45 0.07
Fees paid 5.72 5.68 6.60 3.20 0.30
Fee drag 0.57% 0.57% 0.66% 0.32% 0.03%
Final equity 1004.31 1003.25 1001.56 1008.30 1010.47

3m

Metric calm cautious medium bold aggressive
Return 0.42% 0.39% 0.41% 1.03% 1.11%
CAGR 5.26% 4.88% 5.06% 13.23% 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.) 3.97% 4.08% 4.31% 4.83% 4.40%
Sharpe 1.31 1.19 1.17 2.60 3.09
Sortino 1.33 1.21 1.20 2.67 3.20
Calmar 5.21 4.77 5.11 14.06 13.30
Omega 1.02 1.02 1.02 1.05 1.06
Max drawdown 1.01% 1.02% 0.99% 0.94% 1.09%
Ulcer index 0.0022 0.0020 0.0018 0.0017 0.0025
Drawdown episodes 46 83 81 95 82
Longest underwater (days) 8.2 8.2 8.2 8.2 8.2
Recovery factor 0.42 0.38 0.41 1.09 1.03
VaR 95% -0.065% -0.056% -0.014% -0.013% -0.022%
VaR 99% -0.435% -0.439% -0.413% -0.383% -0.413%
CVaR 95% -0.250% -0.247% -0.214% -0.198% -0.217%
Skew 2.08 1.89 1.63 2.55 2.22
Excess kurtosis 11.76 11.31 10.81 11.38 6.82
Best day 0.71% 0.68% 0.61% 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 527 363 268 16 1
Winning / losing trades 263 / 264 195 / 168 141 / 127 13 / 3 1 / 0
Trades per day 17.57 12.10 8.93 0.53 0.03
Win rate 49.91% 53.72% 52.61% 81.25% 100.00%
Profit factor 1.66 1.60 1.71 31.01 ∞
Payoff ratio 1.66 1.37 1.54 7.16 ∞
Expectancy 0.0066 0.0088 0.0126 0.5992 10.8826
Average win 0.0332 0.0437 0.0574 0.7621 10.8826
Average loss 0.0200 0.0318 0.0373 0.1065 0.0000
Average trade 0.0066 0.0088 0.0126 0.5992 10.8826
Max win streak 108 53 41 9 1
Max loss streak 150 124 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 3.46 3.18 3.36 9.59 10.88
Unrealised P&L 0.76 0.74 0.70 0.67 0.26
Fees paid 2.93 3.51 4.47 1.60 0.30
Fee drag 0.29% 0.35% 0.45% 0.16% 0.03%
Final equity 1004.22 1003.92 1004.06 1010.26 1011.14

5m

Metric calm cautious medium bold aggressive
Return 0.51% 0.39% 0.35% 1.05% 1.13%
CAGR 6.32% 4.81% 4.34% 13.53% 14.71%
Buy and hold 21.83% 21.83% 21.83% 21.83% 21.83%
Edge vs B&H -21.32% -21.44% -21.48% -20.78% -20.69%
Volatility (ann.) 3.91% 3.93% 4.08% 4.53% 4.71%
Sharpe 1.59 1.21 1.06 2.82 2.94
Sortino 1.65 1.26 1.10 2.98 3.13
Calmar 6.28 4.70 4.09 14.88 13.74
Omega 1.03 1.03 1.02 1.06 1.06
Max drawdown 1.01% 1.02% 1.06% 0.91% 1.07%
Ulcer index 0.0023 0.0022 0.0021 0.0018 0.0025
Drawdown episodes 46 47 59 75 59
Longest underwater (days) 8.2 8.2 8.2 8.2 8.2
Recovery factor 0.50 0.38 0.33 1.15 1.06
VaR 95% -0.174% -0.111% -0.066% -0.009% -0.067%
VaR 99% -0.437% -0.441% -0.468% -0.439% -0.402%
CVaR 95% -0.305% -0.276% -0.267% -0.224% -0.234%
Skew 2.21 2.31 1.90 2.69 2.24
Excess kurtosis 11.59 12.70 12.12 12.86 7.91
Best day 0.77% 0.75% 0.71% 0.91% 0.81%
Worst day -0.44% -0.44% -0.47% -0.44% -0.40%
Positive days 16 16 16 17 16
Negative days 14 14 14 13 14
Round trips 401 288 186 15 1
Winning / losing trades 217 / 184 155 / 133 102 / 84 12 / 3 1 / 0
Trades per day 13.37 9.60 6.20 0.50 0.03
Win rate 54.11% 53.82% 54.84% 80.00% 100.00%
Profit factor 1.91 1.68 1.59 15.98 ∞
Payoff ratio 1.62 1.44 1.31 3.99 ∞
Expectancy 0.0107 0.0114 0.0164 0.6687 10.9984
Average win 0.0414 0.0525 0.0810 0.8917 10.9984
Average loss 0.0255 0.0364 0.0620 0.2232 0.0000
Average trade 0.0107 0.0114 0.0164 0.6687 10.9984
Max win streak 104 67 29 7 1
Max loss streak 94 51 48 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 4.29 3.30 3.05 10.03 11.00
Unrealised P&L 0.77 0.57 0.45 0.45 0.35
Fees paid 2.23 2.79 3.10 1.50 0.30
Fee drag 0.22% 0.28% 0.31% 0.15% 0.03%
Final equity 1005.05 1003.87 1003.50 1010.48 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

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 0.91% 0.72% 0.81% 0.86% 1.05%
CAGR 11.61% 9.13% 10.26% 11.04% 13.51%
Buy and hold 21.88% 21.88% 21.88% 21.88% 21.88%
Edge vs B&H -20.97% -21.16% -21.08% -21.02% -20.83%
Volatility (ann.) 4.35% 4.82% 4.75% 5.19% 4.28%
Sharpe 2.55 1.84 2.08 2.05 2.99
Sortino 2.55 1.82 2.07 2.01 3.01
Calmar 11.73 9.12 10.37 9.18 12.11
Omega 1.03 1.02 1.03 1.03 1.03
Max drawdown 0.99% 1.00% 0.99% 1.20% 1.12%
Ulcer index 0.0011 0.0013 0.0012 0.0017 0.0026
Drawdown episodes 136 144 145 155 126
Longest underwater (days) 8.2 8.2 8.2 8.2 8.2
Recovery factor 0.92 0.72 0.81 0.72 0.94
VaR 95% -0.030% -0.020% -0.028% -0.010% -0.001%
VaR 99% -0.078% -0.266% -0.155% -0.485% -0.411%
CVaR 95% -0.054% -0.143% -0.092% -0.247% -0.206%
Skew 3.20 1.61 2.89 1.21 2.33
Excess kurtosis 11.28 7.02 10.87 8.71 8.47
Best day 0.46% 0.45% 0.47% 0.69% 0.81%
Worst day -0.08% -0.27% -0.16% -0.48% -0.41%
Positive days 17 17 17 17 17
Negative days 13 13 13 13 13
Round trips 583 321 225 31 1
Winning / losing trades 583 / 0 321 / 0 225 / 0 31 / 0 1 / 0
Trades per day 19.43 10.70 7.50 1.03 0.03
Win rate 100.00% 100.00% 100.00% 100.00% 100.00%
Profit factor ∞ ∞ ∞ ∞ ∞
Payoff ratio ∞ ∞ ∞ ∞ ∞
Expectancy 0.0132 0.0195 0.0300 0.2638 10.4026
Average win 0.0132 0.0195 0.0300 0.2638 10.4026
Average loss 0.0000 0.0000 0.0000 0.0000 0.0000
Average trade 0.0132 0.0195 0.0300 0.2638 10.4026
Max win streak 583 321 225 31 1
Max loss streak 0 0 0 0 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 7.68 6.25 6.75 8.18 10.40
Unrealised P&L 1.39 0.96 1.31 0.47 0.07
Fees paid 4.14 3.64 3.93 3.10 0.30
Fee drag 0.41% 0.36% 0.39% 0.31% 0.03%
Final equity 1009.07 1007.21 1008.06 1008.64 1010.47

3m

Metric calm cautious medium bold aggressive
Return 0.74% 0.60% 0.56% 0.87% 1.11%
CAGR 9.33% 7.50% 7.07% 11.11% 14.43%
Buy and hold 21.86% 21.86% 21.86% 21.86% 21.86%
Edge vs B&H -21.12% -21.26% -21.30% -20.99% -20.75%
Volatility (ann.) 4.38% 4.79% 4.88% 5.11% 4.40%
Sharpe 2.06 1.53 1.42 2.09 3.09
Sortino 2.12 0.61 1.47 2.14 3.20
Calmar 9.03 7.05 6.78 9.77 13.30
Omega 1.04 1.03 1.03 1.04 1.06
Max drawdown 1.03% 1.06% 1.04% 1.14% 1.09%
Ulcer index 0.0021 0.0020 0.0019 0.0021 0.0025
Drawdown episodes 84 28 26 94 82
Longest underwater (days) 8.2 25.4 17.2 8.2 8.2
Recovery factor 0.71 0.56 0.54 0.76 1.03
VaR 95% -0.015% -0.001% -0.002% -0.009% -0.022%
VaR 99% -0.460% -0.471% -0.493% -0.539% -0.413%
CVaR 95% -0.238% -0.236% -0.248% -0.274% -0.217%
Skew 2.56 2.52 1.96 1.72 2.22
Excess kurtosis 12.80 12.74 11.38 10.27 6.82
Best day 0.87% 0.86% 0.78% 0.85% 0.79%
Worst day -0.46% -0.47% -0.49% -0.54% -0.41%
Positive days 15 3 16 16 15
Negative days 14 2 13 13 14
Round trips 251 169 115 13 1
Winning / losing trades 251 / 0 169 / 0 115 / 0 13 / 0 1 / 0
Trades per day 8.37 5.63 3.83 0.43 0.03
Win rate 100.00% 100.00% 100.00% 100.00% 100.00%
Profit factor ∞ ∞ ∞ ∞ ∞
Payoff ratio ∞ ∞ ∞ ∞ ∞
Expectancy 0.0265 0.0353 0.0480 0.6353 10.8826
Average win 0.0265 0.0353 0.0480 0.6353 10.8826
Average loss 0.0000 0.0000 0.0000 0.0000 0.0000
Average trade 0.0265 0.0353 0.0480 0.6353 10.8826
Max win streak 251 169 115 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 0.01 0.01 0.01 0.01
Realised P&L 6.65 5.96 5.52 8.26 10.88
Unrealised P&L 0.71 -0.00 0.11 0.43 0.26
Fees paid 1.40 1.91 2.52 1.30 0.30
Fee drag 0.14% 0.19% 0.25% 0.13% 0.03%
Final equity 1007.36 1005.96 1005.63 1008.69 1011.14

5m

Metric calm cautious medium bold aggressive
Return 0.81% 0.65% 0.37% 1.03% 1.13%
CAGR 10.28% 8.17% 4.56% 13.24% 14.71%
Buy and hold 21.83% 21.83% 21.83% 21.83% 21.83%
Edge vs B&H -21.02% -21.18% -21.46% -20.80% -20.69%
Volatility (ann.) 3.95% 4.29% 4.52% 4.77% 4.71%
Sharpe 2.50 1.85 1.01 2.63 2.94
Sortino 2.66 1.93 1.05 2.80 3.13
Calmar 10.78 7.73 4.15 12.69 13.74
Omega 1.05 1.04 1.02 1.06 1.06
Max drawdown 0.95% 1.06% 1.10% 1.04% 1.07%
Ulcer index 0.0020 0.0022 0.0022 0.0019 0.0025
Drawdown episodes 57 50 65 75 59
Longest underwater (days) 8.2 8.2 8.2 8.2 8.2
Recovery factor 0.85 0.61 0.33 0.98 1.06
VaR 95% -0.109% -0.090% -0.138% -0.010% -0.067%
VaR 99% -0.443% -0.465% -0.493% -0.439% -0.402%
CVaR 95% -0.276% -0.277% -0.316% -0.225% -0.234%
Skew 2.47 2.53 2.03 2.80 2.24
Excess kurtosis 11.91 12.93 11.92 13.40 7.91
Best day 0.85% 0.86% 0.78% 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 198 144 65 13 1
Winning / losing trades 198 / 0 144 / 0 65 / 0 13 / 0 1 / 0
Trades per day 6.60 4.80 2.17 0.43 0.03
Win rate 100.00% 100.00% 100.00% 100.00% 100.00%
Profit factor ∞ ∞ ∞ ∞ ∞
Payoff ratio ∞ ∞ ∞ ∞ ∞
Expectancy 0.0368 0.0414 0.0529 0.7501 10.9984
Average win 0.0368 0.0414 0.0529 0.7501 10.9984
Average loss 0.0000 0.0000 0.0000 0.0000 0.0000
Average trade 0.0368 0.0414 0.0529 0.7501 10.9984
Max win streak 198 144 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 7.29 5.96 3.44 9.75 11.00
Unrealised P&L 0.79 0.52 0.24 0.52 0.35
Fees paid 1.37 1.40 1.93 1.30 0.30
Fee drag 0.14% 0.14% 0.19% 0.13% 0.03%
Final equity 1008.08 1006.47 1003.67 1010.27 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.