← QGrid_DONCHIAN_PCT_CHOP_Mart
QGrid_DONCHIAN_PCT_CHOP_Mart — metrics
Guarded: WARN · 5 warnQuantGridgunbot-quant
With the break-even guard WARN · 5 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 | 0.00% | 0.00% | 0.11% | 0.37% | 0.13% |
| CAGR | 0.00% | 0.00% | 1.35% | 4.64% | 1.61% |
| Buy and hold | 21.88% | 21.88% | 21.88% | 21.88% | 21.88% |
| Edge vs B&H | -21.88% | -21.88% | -21.77% | -21.51% | -21.75% |
| Volatility (ann.) | 0.00% | 0.00% | 0.32% | 0.99% | 2.93% |
| Sharpe | 0.00 | 0.00 | 4.20 | 4.58 | 0.56 |
| Sortino | 0.00 | 0.00 | 1.56 | 3.23 | 0.47 |
| Calmar | 0.00 | 0.00 | 26.21 | 26.54 | 2.24 |
| Omega | 0.00 | 0.00 | 1.06 | 1.03 | 1.00 |
| Max drawdown | 0.00% | 0.00% | 0.05% | 0.17% | 0.72% |
| Ulcer index | 0.0000 | 0.0000 | 0.0001 | 0.0004 | 0.0020 |
| Drawdown episodes | 0 | 0 | 32 | 117 | 150 |
| Longest underwater (days) | 0.0 | 0.0 | 2.3 | 3.9 | 8.2 |
| Recovery factor | 0.00 | 0.00 | 2.14 | 2.14 | 0.18 |
| VaR 95% | 0.000% | 0.000% | -0.006% | -0.087% | -0.201% |
| VaR 99% | 0.000% | 0.000% | -0.006% | -0.088% | -0.218% |
| CVaR 95% | 0.000% | 0.000% | -0.006% | -0.088% | -0.210% |
| Skew | 0.00 | 0.00 | 1.23 | 0.90 | -0.11 |
| Excess kurtosis | 0.00 | 0.00 | -0.05 | 3.37 | -0.21 |
| Best day | 0.00% | 0.00% | 0.02% | 0.18% | 0.23% |
| Worst day | 0.00% | 0.00% | -0.01% | -0.09% | -0.22% |
| Positive days | 0 | 0 | 7 | 15 | 15 |
| Negative days | 0 | 0 | 2 | 6 | 10 |
| Round trips | 0 | 0 | 5 | 17 | 24 |
| Winning / losing trades | 0 / 0 | 0 / 0 | 5 / 0 | 17 / 0 | 24 / 0 |
| Trades per day | 0.00 | 0.00 | 0.17 | 0.57 | 0.80 |
| Win rate | 0.00% | 0.00% | 100.00% | 100.00% | 100.00% |
| Profit factor | 0.00 | 0.00 | ∞ | ∞ | ∞ |
| Payoff ratio | 0.00 | 0.00 | ∞ | ∞ | ∞ |
| Expectancy | 0.0000 | 0.0000 | 0.2209 | 0.2637 | 0.2920 |
| Average win | 0.0000 | 0.0000 | 0.2209 | 0.2637 | 0.2920 |
| Average loss | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| Average trade | 0.0000 | 0.0000 | 0.2209 | 0.2637 | 0.2920 |
| Max win streak | 0 | 0 | 5 | 17 | 24 |
| Max loss streak | 0 | 0 | 0 | 0 | 0 |
| Time in market | 0.00% | 0.00% | 14.70% | 34.65% | 69.43% |
| Turnover | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 |
| Realised P&L | 0.00 | 0.00 | 1.10 | 4.48 | 7.01 |
| Unrealised P&L | 0.00 | 0.00 | 0.00 | -0.74 | -5.69 |
| Fees paid | 0.00 | 0.00 | 0.09 | 0.45 | 1.01 |
| Fee drag | 0.00% | 0.00% | 0.01% | 0.05% | 0.10% |
| Final equity | 1000.00 | 1000.00 | 1001.10 | 1003.74 | 1001.32 |
3m
| Metric | calm | cautious | medium | bold | aggressive |
|---|---|---|---|---|---|
| Return | 0.00% | 0.04% | 0.14% | 0.19% | 0.75% |
| CAGR | 0.00% | 0.46% | 1.74% | 2.38% | 9.49% |
| Buy and hold | 21.86% | 21.86% | 21.86% | 21.86% | 21.86% |
| Edge vs B&H | -21.86% | -21.82% | -21.72% | -21.67% | -21.11% |
| Volatility (ann.) | 0.00% | 0.24% | 0.68% | 1.60% | 3.64% |
| Sharpe | 0.00 | 1.97 | 2.55 | 1.48 | 2.51 |
| Sortino | 0.00 | 0.64 | 1.88 | 1.39 | 2.17 |
| Calmar | 0.00 | 12.15 | 12.34 | 10.67 | 17.57 |
| Omega | 0.00 | 1.05 | 1.03 | 1.02 | 1.02 |
| Max drawdown | 0.00% | 0.04% | 0.14% | 0.22% | 0.54% |
| Ulcer index | 0.0000 | 0.0000 | 0.0004 | 0.0007 | 0.0016 |
| Drawdown episodes | 0 | 15 | 45 | 115 | 111 |
| Longest underwater (days) | 0.0 | 1.2 | 6.5 | 5.1 | 4.4 |
| Recovery factor | 0.00 | 1.00 | 1.01 | 0.87 | 1.38 |
| VaR 95% | 0.000% | 0.000% | -0.063% | -0.087% | -0.286% |
| VaR 99% | 0.000% | 0.000% | -0.083% | -0.117% | -0.344% |
| CVaR 95% | 0.000% | 0.000% | -0.073% | -0.102% | -0.315% |
| Skew | 0.00 | 2.87 | 0.76 | 0.33 | 0.23 |
| Excess kurtosis | 0.00 | 7.64 | 5.75 | 1.53 | 2.61 |
| Best day | 0.00% | 0.02% | 0.13% | 0.17% | 0.49% |
| Worst day | 0.00% | 0.00% | -0.08% | -0.12% | -0.34% |
| Positive days | 0 | 4 | 13 | 19 | 18 |
| Negative days | 0 | 0 | 6 | 10 | 9 |
| Round trips | 0 | 2 | 7 | 13 | 32 |
| Winning / losing trades | 0 / 0 | 2 / 0 | 7 / 0 | 13 / 0 | 32 / 0 |
| Trades per day | 0.00 | 0.07 | 0.23 | 0.43 | 1.07 |
| Win rate | 0.00% | 100.00% | 100.00% | 100.00% | 100.00% |
| Profit factor | 0.00 | ∞ | ∞ | ∞ | ∞ |
| Payoff ratio | 0.00 | ∞ | ∞ | ∞ | ∞ |
| Expectancy | 0.0000 | 0.2394 | 0.2312 | 0.2722 | 0.2964 |
| Average win | 0.0000 | 0.2394 | 0.2312 | 0.2722 | 0.2964 |
| Average loss | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| Average trade | 0.0000 | 0.2394 | 0.2312 | 0.2722 | 0.2964 |
| Max win streak | 0 | 2 | 7 | 13 | 32 |
| Max loss streak | 0 | 0 | 0 | 0 | 0 |
| Time in market | 0.00% | 10.72% | 39.92% | 59.72% | 69.23% |
| Turnover | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 |
| Realised P&L | 0.00 | 0.48 | 1.62 | 3.54 | 9.49 |
| Unrealised P&L | 0.00 | -0.10 | -0.20 | -1.60 | -2.00 |
| Fees paid | 0.00 | 0.03 | 0.14 | 0.41 | 1.46 |
| Fee drag | 0.00% | 0.00% | 0.01% | 0.04% | 0.15% |
| Final equity | 1000.00 | 1000.38 | 1001.42 | 1001.93 | 1007.48 |
5m
| Metric | calm | cautious | medium | bold | aggressive |
|---|---|---|---|---|---|
| Return | 0.00% | 0.05% | 0.18% | 0.26% | 0.76% |
| CAGR | 0.00% | 0.66% | 2.26% | 3.16% | 9.71% |
| Buy and hold | 21.83% | 21.83% | 21.83% | 21.83% | 21.83% |
| Edge vs B&H | -21.83% | -21.78% | -21.65% | -21.57% | -21.06% |
| Volatility (ann.) | 0.00% | 0.16% | 0.67% | 1.49% | 3.80% |
| Sharpe | 0.00 | 3.99 | 3.32 | 2.10 | 2.46 |
| Sortino | 0.00 | 3.77 | 2.91 | 1.72 | 2.33 |
| Calmar | 0.00 | 29.21 | 16.58 | 15.37 | 17.96 |
| Omega | 0.00 | 1.23 | 1.05 | 1.03 | 1.03 |
| Max drawdown | 0.00% | 0.02% | 0.14% | 0.21% | 0.54% |
| Ulcer index | 0.0000 | 0.0000 | 0.0004 | 0.0007 | 0.0016 |
| Drawdown episodes | 0 | 12 | 73 | 59 | 87 |
| Longest underwater (days) | 0.0 | 14.0 | 6.5 | 5.1 | 4.6 |
| Recovery factor | 0.00 | 2.39 | 1.35 | 1.25 | 1.41 |
| VaR 95% | 0.000% | -0.000% | -0.061% | -0.085% | -0.279% |
| VaR 99% | 0.000% | -0.000% | -0.081% | -0.120% | -0.332% |
| CVaR 95% | 0.000% | -0.000% | -0.071% | -0.102% | -0.305% |
| Skew | 0.00 | 3.45 | 0.79 | 0.37 | 0.46 |
| Excess kurtosis | 0.00 | 11.76 | 4.88 | 0.92 | 2.14 |
| Best day | 0.00% | 0.03% | 0.13% | 0.17% | 0.52% |
| Worst day | 0.00% | -0.00% | -0.08% | -0.12% | -0.33% |
| Positive days | 0 | 11 | 15 | 15 | 18 |
| Negative days | 0 | 11 | 7 | 9 | 10 |
| Round trips | 0 | 2 | 8 | 15 | 27 |
| Winning / losing trades | 0 / 0 | 2 / 0 | 8 / 0 | 15 / 0 | 27 / 0 |
| Trades per day | 0.00 | 0.07 | 0.27 | 0.50 | 0.90 |
| Win rate | 0.00% | 100.00% | 100.00% | 100.00% | 100.00% |
| Profit factor | 0.00 | ∞ | ∞ | ∞ | ∞ |
| Payoff ratio | 0.00 | ∞ | ∞ | ∞ | ∞ |
| Expectancy | 0.0000 | 0.2699 | 0.2564 | 0.2627 | 0.3425 |
| Average win | 0.0000 | 0.2699 | 0.2564 | 0.2627 | 0.3425 |
| Average loss | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |
| Average trade | 0.0000 | 0.2699 | 0.2564 | 0.2627 | 0.3425 |
| Max win streak | 0 | 2 | 8 | 15 | 27 |
| Max loss streak | 0 | 0 | 0 | 0 | 0 |
| Time in market | 0.00% | 4.17% | 39.66% | 62.96% | 78.39% |
| Turnover | 0.00 | 0.00 | 0.00 | 0.00 | 0.01 |
| Realised P&L | 0.00 | 0.54 | 2.05 | 3.94 | 9.25 |
| Unrealised P&L | 0.00 | -0.00 | -0.21 | -1.38 | -1.60 |
| Fees paid | 0.00 | 0.03 | 0.15 | 0.43 | 1.21 |
| Fee drag | 0.00% | 0.00% | 0.02% | 0.04% | 0.12% |
| Final equity | 1000.00 | 1000.54 | 1001.84 | 1002.56 | 1007.64 |
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.