Performance / FILGrid_Bollinger / Metrics

← FILGrid_Bollinger

FILGrid_Bollinger — 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 0.37% 0.39% 0.74% 1.16% 0.76%
CAGR 4.59% 4.85% 9.41% 15.05% 9.64%
Buy and hold 21.88% 21.88% 21.88% 21.88% 21.88%
Edge vs B&H -21.51% -21.49% -21.14% -20.72% -21.12%
Volatility (ann.) 1.64% 2.74% 5.19% 6.24% 4.52%
Sharpe 2.75 1.74 1.76 2.28 2.06
Sortino 2.85 1.75 1.79 2.29 2.06
Calmar 8.90 4.88 5.29 9.49 7.97
Omega 1.02 1.01 1.01 1.02 1.02
Max drawdown 0.52% 0.99% 1.78% 1.59% 1.21%
Ulcer index 0.0015 0.0025 0.0044 0.0036 0.0034
Drawdown episodes 103 80 65 90 21
Longest underwater (days) 8.2 8.2 8.2 8.2 24.5
Recovery factor 0.72 0.39 0.42 0.73 0.63
VaR 95% -0.070% -0.091% -0.097% -0.103% -0.064%
VaR 99% -0.153% -0.456% -0.990% -0.606% -0.508%
CVaR 95% -0.111% -0.273% -0.544% -0.354% -0.286%
Skew 2.09 0.23 1.13 2.79 1.49
Excess kurtosis 6.63 6.45 10.32 13.13 9.85
Best day 0.37% 0.50% 1.29% 1.27% 0.76%
Worst day -0.15% -0.46% -0.99% -0.61% -0.51%
Positive days 14 14 14 15 17
Negative days 16 16 16 15 13
Round trips 752 576 436 38 4
Winning / losing trades 243 / 509 237 / 339 176 / 260 11 / 27 3 / 1
Trades per day 25.07 19.20 14.53 1.27 0.13
Win rate 32.31% 41.15% 40.37% 28.95% 75.00%
Profit factor 1.12 0.92 1.25 1.89 1.68
Payoff ratio 2.35 1.32 1.85 4.63 0.56
Expectancy 0.0006 -0.0008 0.0064 0.1733 1.1491
Average win 0.0156 0.0234 0.0786 1.2731 3.7775
Average loss 0.0067 0.0177 0.0425 0.2748 6.7360
Average trade 0.0006 -0.0008 0.0064 0.1733 1.1491
Max win streak 159 110 148 11 3
Max loss streak 169 161 201 27 1
Time in market 99.99% 99.99% 99.99% 99.99% 99.99%
Turnover 0.01 0.01 0.02 0.02 0.02
Realised P&L 0.41 -0.45 2.80 6.59 4.60
Unrealised P&L 3.28 4.35 4.63 5.00 3.00
Fees paid 1.39 1.84 2.42 2.28 1.20
Fee drag 0.14% 0.18% 0.24% 0.23% 0.12%
Final equity 1003.69 1003.90 1007.42 1011.59 1007.59

3m

Metric calm cautious medium bold aggressive
Return 0.14% 0.54% 1.20% 6.35% 6.53%
CAGR 1.72% 6.80% 15.55% 111.58% 115.84%
Buy and hold 21.86% 21.86% 21.86% 21.86% 21.86%
Edge vs B&H -21.72% -21.32% -20.66% -15.51% -15.33%
Volatility (ann.) 1.55% 3.09% 4.96% 8.79% 7.69%
Sharpe 1.11 2.15 2.94 8.57 10.04
Sortino 1.12 2.24 3.12 10.35 12.20
Calmar 3.72 8.84 13.54 86.43 106.76
Omega 1.02 1.03 1.05 1.16 1.20
Max drawdown 0.46% 0.77% 1.15% 1.29% 1.09%
Ulcer index 0.0011 0.0017 0.0024 0.0029 0.0027
Drawdown episodes 37 35 80 86 39
Longest underwater (days) 8.2 8.2 8.2 8.2 22.7
Recovery factor 0.30 0.71 1.04 4.92 6.02
VaR 95% -0.032% -0.042% -0.037% -0.027% -0.038%
VaR 99% -0.217% -0.338% -0.531% -0.578% -0.412%
CVaR 95% -0.125% -0.190% -0.284% -0.302% -0.225%
Skew 1.54 2.43 2.98 4.16 3.79
Excess kurtosis 10.10 11.84 13.43 17.35 14.57
Best day 0.31% 0.63% 1.20% 4.87% 4.13%
Worst day -0.22% -0.34% -0.53% -0.58% -0.41%
Positive days 13 14 14 16 15
Negative days 16 15 15 13 14
Round trips 287 234 159 16 2
Winning / losing trades 80 / 207 114 / 120 81 / 78 9 / 7 2 / 0
Trades per day 9.57 7.80 5.30 0.53 0.07
Win rate 27.87% 48.72% 50.94% 56.25% 100.00%
Profit factor 1.10 2.20 3.62 21.72 ∞
Payoff ratio 2.84 2.32 3.48 16.90 ∞
Expectancy 0.0010 0.0173 0.0666 3.8798 32.4877
Average win 0.0405 0.0652 0.1806 7.2302 32.4877
Average loss 0.0143 0.0281 0.0518 0.4279 0.0000
Average trade 0.0010 0.0173 0.0666 3.8798 32.4877
Max win streak 78 111 81 9 2
Max loss streak 195 113 78 7 0
Time in market 99.86% 99.86% 99.86% 99.86% 99.86%
Turnover 0.01 0.01 0.02 0.07 0.06
Realised P&L 0.29 4.06 10.58 62.08 64.98
Unrealised P&L 1.12 1.37 1.37 1.45 0.30
Fees paid 0.53 0.75 0.88 0.98 0.62
Fee drag 0.05% 0.08% 0.09% 0.10% 0.06%
Final equity 1001.41 1005.42 1011.95 1063.53 1065.27

5m

Metric calm cautious medium bold aggressive
Return 0.50% 1.24% 4.97% 5.03% 6.60%
CAGR 6.29% 16.20% 80.39% 81.78% 117.56%
Buy and hold 21.83% 21.83% 21.83% 21.83% 21.83%
Edge vs B&H -21.33% -20.59% -16.86% -16.79% -15.23%
Volatility (ann.) 2.18% 3.82% 8.85% 8.87% 8.23%
Sharpe 2.81 3.95 6.71 6.78 9.48
Sortino 2.96 4.27 8.78 7.70 12.39
Calmar 12.22 18.16 52.08 44.33 109.80
Omega 1.05 1.07 1.16 1.14 1.22
Max drawdown 0.52% 0.89% 1.54% 1.85% 1.07%
Ulcer index 0.0013 0.0022 0.0041 0.0042 0.0034
Drawdown episodes 51 53 16 56 32
Longest underwater (days) 8.2 8.2 23.4 8.2 22.6
Recovery factor 0.98 1.39 3.22 2.73 6.16
VaR 95% -0.107% -0.185% -0.316% -0.182% -0.090%
VaR 99% -0.196% -0.334% -0.580% -0.723% -0.402%
CVaR 95% -0.151% -0.260% -0.448% -0.453% -0.246%
Skew 1.31 2.02 4.56 3.47 3.81
Excess kurtosis 3.73 5.01 20.67 12.91 14.66
Best day 0.29% 0.69% 4.74% 3.31% 4.13%
Worst day -0.20% -0.33% -0.58% -0.72% -0.40%
Positive days 15 16 15 16 16
Negative days 15 14 15 14 14
Round trips 245 173 156 13 1
Winning / losing trades 163 / 82 95 / 78 78 / 78 13 / 0 1 / 0
Trades per day 8.17 5.77 5.20 0.43 0.03
Win rate 66.53% 54.91% 50.00% 100.00% 100.00%
Profit factor 2.10 3.19 6.20 ∞ ∞
Payoff ratio 1.06 2.62 6.20 ∞ ∞
Expectancy 0.0128 0.0589 0.3054 3.7880 64.5368
Average win 0.0367 0.1563 0.7284 3.7880 64.5368
Average loss 0.0347 0.0597 0.1175 0.0000 0.0000
Average trade 0.0128 0.0589 0.3054 3.7880 64.5368
Max win streak 131 95 78 13 1
Max loss streak 79 78 78 0 0
Time in market 99.79% 99.79% 99.79% 99.79% 99.79%
Turnover 0.01 0.02 0.07 0.05 0.06
Realised P&L 3.13 10.19 47.65 49.24 64.54
Unrealised P&L 1.90 2.22 2.04 1.10 1.44
Fees paid 0.45 0.56 0.88 0.79 0.32
Fee drag 0.05% 0.06% 0.09% 0.08% 0.03%
Final equity 1005.03 1012.41 1049.68 1050.35 1065.97

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 0.27% 0.50% 0.60% 1.18% 0.94%
CAGR 3.31% 6.28% 7.61% 15.30% 12.03%
Buy and hold 21.88% 21.88% 21.88% 21.88% 21.88%
Edge vs B&H -21.61% -21.38% -21.28% -20.70% -20.94%
Volatility (ann.) 1.61% 2.43% 4.89% 6.81% 4.39%
Sharpe 2.03 2.52 1.52 2.12 2.61
Sortino 2.04 2.61 1.51 2.14 2.63
Calmar 7.37 10.22 5.63 8.82 10.79
Omega 1.02 1.03 1.02 1.02 1.03
Max drawdown 0.45% 0.62% 1.35% 1.73% 1.12%
Ulcer index 0.0009 0.0020 0.0037 0.0047 0.0032
Drawdown episodes 28 23 26 27 25
Longest underwater (days) 17.0 25.3 25.3 25.3 24.5
Recovery factor 0.60 0.82 0.45 0.68 0.84
VaR 95% -0.007% -0.002% -0.007% -0.009% -0.013%
VaR 99% -0.198% -0.202% -0.595% -0.750% -0.411%
CVaR 95% -0.102% -0.102% -0.301% -0.380% -0.212%
Skew 1.80 4.04 2.13 2.70 2.39
Excess kurtosis 11.25 18.62 12.60 13.82 10.38
Best day 0.31% 0.63% 0.96% 1.43% 0.80%
Worst day -0.20% -0.20% -0.59% -0.75% -0.41%
Positive days 17 16 17 17 17
Negative days 13 14 13 13 13
Round trips 243 154 183 19 2
Winning / losing trades 243 / 0 154 / 0 183 / 0 19 / 0 2 / 0
Trades per day 8.10 5.13 6.10 0.63 0.07
Win rate 100.00% 100.00% 100.00% 100.00% 100.00%
Profit factor ∞ ∞ ∞ ∞ ∞
Payoff ratio ∞ ∞ ∞ ∞ ∞
Expectancy 0.0097 0.0320 0.0313 0.5975 4.3822
Average win 0.0097 0.0320 0.0313 0.5975 4.3822
Average loss 0.0000 0.0000 0.0000 0.0000 0.0000
Average trade 0.0097 0.0320 0.0313 0.5975 4.3822
Max win streak 243 154 183 19 2
Max loss streak 0 0 0 0 0
Time in market 99.83% 16.62% 99.99% 99.99% 99.99%
Turnover 0.00 0.00 0.01 0.01 0.01
Realised P&L 2.37 4.93 5.73 11.35 8.76
Unrealised P&L 0.31 0.09 0.32 0.42 0.62
Fees paid 0.45 0.50 1.02 1.14 0.60
Fee drag 0.05% 0.05% 0.10% 0.11% 0.06%
Final equity 1002.68 1005.02 1006.04 1011.77 1009.38

3m

Metric calm cautious medium bold aggressive
Return 0.11% 0.14% 2.02% 6.60% 6.53%
CAGR 1.33% 1.68% 27.61% 117.74% 115.84%
Buy and hold 21.86% 21.86% 21.86% 21.86% 21.86%
Edge vs B&H -21.75% -21.72% -19.84% -15.26% -15.33%
Volatility (ann.) 1.56% 2.60% 4.62% 9.08% 7.69%
Sharpe 0.85 0.65 5.30 8.62 10.04
Sortino 0.85 0.65 5.74 10.38 12.20
Calmar 2.90 2.18 24.03 91.20 106.76
Omega 1.02 1.01 1.10 1.17 1.20
Max drawdown 0.46% 0.77% 1.15% 1.29% 1.09%
Ulcer index 0.0010 0.0015 0.0023 0.0029 0.0027
Drawdown episodes 17 17 27 35 39
Longest underwater (days) 25.4 25.4 23.4 23.2 22.7
Recovery factor 0.24 0.18 1.76 5.12 6.02
VaR 95% -0.032% -0.042% -0.037% -0.010% -0.038%
VaR 99% -0.198% -0.344% -0.531% -0.578% -0.412%
CVaR 95% -0.115% -0.193% -0.284% -0.294% -0.225%
Skew 1.65 1.02 3.25 4.25 3.79
Excess kurtosis 11.17 10.40 12.39 18.04 14.57
Best day 0.28% 0.43% 1.63% 5.16% 4.13%
Worst day -0.20% -0.34% -0.53% -0.58% -0.41%
Positive days 15 15 15 16 15
Negative days 14 14 14 13 14
Round trips 78 78 105 16 2
Winning / losing trades 78 / 0 78 / 0 105 / 0 16 / 0 2 / 0
Trades per day 2.60 2.60 3.50 0.53 0.07
Win rate 100.00% 100.00% 100.00% 100.00% 100.00%
Profit factor ∞ ∞ ∞ ∞ ∞
Payoff ratio ∞ ∞ ∞ ∞ ∞
Expectancy 0.0135 0.0169 0.1912 4.0924 32.4877
Average win 0.0135 0.0169 0.1912 4.0924 32.4877
Average loss 0.0000 0.0000 0.0000 0.0000 0.0000
Average trade 0.0135 0.0169 0.1912 4.0924 32.4877
Max win streak 78 78 105 16 2
Max loss streak 0 0 0 0 0
Time in market 15.35% 15.24% 21.92% 99.86% 99.86%
Turnover 0.00 0.00 0.02 0.07 0.06
Realised P&L 1.05 1.32 20.07 65.48 64.98
Unrealised P&L 0.04 0.05 0.17 0.56 0.30
Fees paid 0.14 0.25 0.59 0.98 0.62
Fee drag 0.01% 0.03% 0.06% 0.10% 0.06%
Final equity 1001.09 1001.37 1020.24 1066.04 1065.27

5m

Metric calm cautious medium bold aggressive
Return 1.75% 2.51% 3.03% 5.03% 6.60%
CAGR 23.54% 35.24% 43.73% 81.78% 117.56%
Buy and hold 21.83% 21.83% 21.83% 21.83% 21.83%
Edge vs B&H -20.08% -19.32% -18.80% -16.79% -15.23%
Volatility (ann.) 2.90% 4.52% 6.56% 8.87% 8.23%
Sharpe 7.30 6.70 5.56 6.78 9.48
Sortino 9.53 8.40 6.36 7.70 12.39
Calmar 45.70 39.50 28.33 44.33 109.80
Omega 1.18 1.16 1.13 1.14 1.22
Max drawdown 0.52% 0.89% 1.54% 1.85% 1.07%
Ulcer index 0.0014 0.0026 0.0039 0.0042 0.0034
Drawdown episodes 20 20 19 56 32
Longest underwater (days) 23.4 23.4 23.4 8.2 22.6
Recovery factor 3.40 2.82 1.96 2.73 6.16
VaR 95% -0.107% -0.185% -0.316% -0.182% -0.090%
VaR 99% -0.193% -0.334% -0.580% -0.723% -0.402%
CVaR 95% -0.150% -0.260% -0.448% -0.453% -0.246%
Skew 4.35 4.09 3.42 3.47 3.81
Excess kurtosis 19.07 17.21 12.48 12.91 14.66
Best day 1.51% 2.11% 2.41% 3.31% 4.13%
Worst day -0.19% -0.33% -0.58% -0.72% -0.40%
Positive days 16 16 16 16 16
Negative days 14 14 14 14 14
Round trips 156 142 120 13 1
Winning / losing trades 156 / 0 142 / 0 120 / 0 13 / 0 1 / 0
Trades per day 5.20 4.73 4.00 0.43 0.03
Win rate 100.00% 100.00% 100.00% 100.00% 100.00%
Profit factor ∞ ∞ ∞ ∞ ∞
Payoff ratio ∞ ∞ ∞ ∞ ∞
Expectancy 0.1092 0.1724 0.2469 3.7880 64.5368
Average win 0.1092 0.1724 0.2469 3.7880 64.5368
Average loss 0.0000 0.0000 0.0000 0.0000 0.0000
Average trade 0.1092 0.1724 0.2469 3.7880 64.5368
Max win streak 156 142 120 13 1
Max loss streak 0 0 0 0 0
Time in market 99.79% 99.79% 99.79% 99.79% 99.79%
Turnover 0.02 0.02 0.03 0.05 0.06
Realised P&L 17.03 24.48 29.63 49.24 64.54
Unrealised P&L 0.49 0.65 0.64 1.10 1.44
Fees paid 0.29 0.46 0.67 0.79 0.32
Fee drag 0.03% 0.05% 0.07% 0.08% 0.03%
Final equity 1017.52 1025.12 1030.26 1050.35 1065.97

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.