QGrid_DONCHIAN_PCT_Mart — metrics

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%	0.05%	0.14%	0.27%	0.19%
CAGR	0.00%	0.57%	1.73%	3.35%	2.38%
Buy and hold	21.88%	21.88%	21.88%	21.88%	21.88%
Edge vs B&H	-21.88%	-21.84%	-21.74%	-21.61%	-21.69%
Volatility (ann.)	0.00%	0.19%	0.41%	1.17%	2.91%
Sharpe	0.00	3.00	4.25	2.83	0.82
Sortino	0.00	0.66	1.98	2.13	0.69
Calmar	0.00	10.81	23.25	15.68	3.30
Omega	0.00	1.06	1.05	1.02	1.00
Max drawdown	0.00%	0.05%	0.07%	0.21%	0.72%
Ulcer index	0.0000	0.0000	0.0001	0.0006	0.0020
Drawdown episodes	0	11	37	78	161
Longest underwater (days)	0.0	6.4	2.3	5.1	8.2
Recovery factor	0.00	0.89	1.90	1.27	0.27
VaR 95%	0.000%	0.000%	-0.006%	-0.087%	-0.201%
VaR 99%	0.000%	0.000%	-0.017%	-0.088%	-0.218%
CVaR 95%	0.000%	0.000%	-0.011%	-0.088%	-0.210%
Skew	0.00	3.19	1.68	0.89	-0.15
Excess kurtosis	0.00	9.70	3.87	2.42	-0.31
Best day	0.00%	0.02%	0.05%	0.18%	0.23%
Worst day	0.00%	0.00%	-0.02%	-0.09%	-0.22%
Positive days	0	3	8	13	15
Negative days	0	0	2	8	10
Round trips	0	2	6	14	26
Winning / losing trades	0 / 0	2 / 0	6 / 0	14 / 0	26 / 0
Trades per day	0.00	0.07	0.20	0.47	0.87
Win rate	0.00%	100.00%	100.00%	100.00%	100.00%
Profit factor	0.00	∞	∞	∞	∞
Payoff ratio	0.00	∞	∞	∞	∞
Expectancy	0.0000	0.2316	0.2358	0.3024	0.2933
Average win	0.0000	0.2316	0.2358	0.3024	0.2933
Average loss	0.0000	0.0000	0.0000	0.0000	0.0000
Average trade	0.0000	0.2316	0.2358	0.3024	0.2933
Max win streak	0	2	6	14	26
Max loss streak	0	0	0	0	0
Time in market	0.00%	4.59%	19.08%	53.50%	69.44%
Turnover	0.00	0.00	0.00	0.00	0.01
Realised P&L	0.00	0.46	1.41	4.23	7.63
Unrealised P&L	0.00	-0.00	-0.00	-1.52	-5.69
Fees paid	0.00	0.03	0.11	0.38	1.10
Fee drag	0.00%	0.00%	0.01%	0.04%	0.11%
Final equity	1000.00	1000.46	1001.41	1002.71	1001.93

3m

Metric	calm	cautious	medium	bold	aggressive
Return	0.00%	0.08%	0.13%	0.20%	0.75%
CAGR	0.00%	0.94%	1.63%	2.46%	9.49%
Buy and hold	21.86%	21.86%	21.86%	21.86%	21.86%
Edge vs B&H	-21.86%	-21.78%	-21.73%	-21.66%	-21.11%
Volatility (ann.)	0.00%	0.28%	0.68%	1.60%	3.64%
Sharpe	0.00	3.35	2.36	1.53	2.51
Sortino	0.00	1.41	1.59	1.44	2.17
Calmar	0.00	24.51	11.54	11.02	17.57
Omega	0.00	1.07	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	29	38	112	111
Longest underwater (days)	0.0	6.4	6.5	5.1	4.4
Recovery factor	0.00	2.01	0.94	0.90	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	1.77	0.78	0.32	0.23
Excess kurtosis	0.00	2.16	5.58	1.19	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	8	12	19	18
Negative days	0	0	5	10	9
Round trips	0	4	7	13	32
Winning / losing trades	0 / 0	4 / 0	7 / 0	13 / 0	32 / 0
Trades per day	0.00	0.13	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	0.2118	0.2141	0.2770	0.2964
Average win	0.0000	0.2118	0.2141	0.2770	0.2964
Average loss	0.0000	0.0000	0.0000	0.0000	0.0000
Average trade	0.0000	0.2118	0.2141	0.2770	0.2964
Max win streak	0	4	7	13	32
Max loss streak	0	0	0	0	0
Time in market	0.00%	17.15%	40.13%	60.02%	69.23%
Turnover	0.00	0.00	0.00	0.00	0.01
Realised P&L	0.00	0.85	1.50	3.60	9.49
Unrealised P&L	0.00	-0.08	-0.17	-1.60	-2.00
Fees paid	0.00	0.06	0.14	0.41	1.46
Fee drag	0.00%	0.01%	0.01%	0.04%	0.15%
Final equity	1000.00	1000.77	1001.33	1002.00	1007.48

5m

Metric	calm	cautious	medium	bold	aggressive
Return	0.00%	0.08%	0.15%	0.26%	0.76%
CAGR	0.00%	1.04%	1.83%	3.16%	9.71%
Buy and hold	21.83%	21.83%	21.83%	21.83%	21.83%
Edge vs B&H	-21.83%	-21.74%	-21.68%	-21.57%	-21.06%
Volatility (ann.)	0.00%	0.29%	0.70%	1.49%	3.80%
Sharpe	0.00	3.56	2.58	2.10	2.46
Sortino	0.00	1.74	1.81	1.72	2.33
Calmar	0.00	21.94	13.33	15.37	17.96
Omega	0.00	1.08	1.04	1.03	1.03
Max drawdown	0.00%	0.05%	0.14%	0.21%	0.54%
Ulcer index	0.0000	0.0001	0.0004	0.0007	0.0016
Drawdown episodes	0	30	34	59	87
Longest underwater (days)	0.0	1.3	6.5	5.1	4.6
Recovery factor	0.00	1.79	1.09	1.25	1.41
VaR 95%	0.000%	0.000%	-0.061%	-0.085%	-0.279%
VaR 99%	0.000%	-0.003%	-0.085%	-0.120%	-0.332%
CVaR 95%	0.000%	-0.000%	-0.073%	-0.102%	-0.305%
Skew	0.00	2.64	0.73	0.37	0.46
Excess kurtosis	0.00	7.57	4.76	0.92	2.14
Best day	0.00%	0.03%	0.13%	0.17%	0.52%
Worst day	0.00%	-0.00%	-0.09%	-0.12%	-0.33%
Positive days	0	9	12	15	18
Negative days	0	1	7	9	10
Round trips	0	4	7	15	27
Winning / losing trades	0 / 0	4 / 0	7 / 0	15 / 0	27 / 0
Trades per day	0.00	0.13	0.23	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	0.2052	0.2431	0.2627	0.3425
Average win	0.0000	0.2052	0.2431	0.2627	0.3425
Average loss	0.0000	0.0000	0.0000	0.0000	0.0000
Average trade	0.0000	0.2052	0.2431	0.2627	0.3425
Max win streak	0	4	7	15	27
Max loss streak	0	0	0	0	0
Time in market	0.00%	20.15%	43.55%	62.96%	78.39%
Turnover	0.00	0.00	0.00	0.00	0.01
Realised P&L	0.00	0.82	1.70	3.94	9.25
Unrealised P&L	0.00	0.03	-0.21	-1.38	-1.60
Fees paid	0.00	0.06	0.14	0.43	1.21
Fee drag	0.00%	0.01%	0.01%	0.04%	0.12%
Final equity	1000.00	1000.85	1001.49	1002.56	1007.64

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