QGrid_EMA_ATR — 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	-0.01%	-0.01%	1.36%	1.12%	2.22%
CAGR	-0.10%	-0.09%	17.88%	14.57%	30.58%
Buy and hold	21.88%	21.88%	21.88%	21.88%	21.88%
Edge vs B&H	-21.89%	-21.89%	-20.52%	-20.76%	-19.66%
Volatility (ann.)	0.97%	2.02%	7.85%	16.70%	27.76%
Sharpe	-0.10	-0.03	2.13	0.90	1.10
Sortino	-0.09	-0.03	2.04	0.85	1.06
Calmar	-0.55	-0.23	12.97	5.21	6.25
Omega	1.00	1.00	1.01	1.00	1.01
Max drawdown	0.18%	0.39%	1.38%	2.80%	4.89%
Ulcer index	0.0007	0.0016	0.0045	0.0102	0.0183
Drawdown episodes	146	179	198	154	170
Longest underwater (days)	8.2	8.2	7.1	7.7	7.6
Recovery factor	-0.04	-0.02	0.99	0.40	0.45
VaR 95%	-0.063%	-0.132%	-0.631%	-1.318%	-2.098%
VaR 99%	-0.106%	-0.222%	-0.840%	-1.659%	-3.091%
CVaR 95%	-0.084%	-0.177%	-0.736%	-1.488%	-2.594%
Skew	0.23	0.25	0.29	0.41	0.27
Excess kurtosis	0.93	0.95	1.53	1.87	1.83
Best day	0.12%	0.25%	1.18%	2.38%	3.96%
Worst day	-0.11%	-0.22%	-0.84%	-1.66%	-3.09%
Positive days	15	15	18	17	18
Negative days	15	15	12	13	12
Round trips	118	195	427	519	684
Winning / losing trades	118 / 0	195 / 0	427 / 0	519 / 0	684 / 0
Trades per day	3.93	6.50	14.23	17.30	22.80
Win rate	100.00%	100.00%	100.00%	100.00%	100.00%
Profit factor	∞	∞	∞	∞	∞
Payoff ratio	∞	∞	∞	∞	∞
Expectancy	0.0121	0.0160	0.0388	0.0610	0.0833
Average win	0.0121	0.0160	0.0388	0.0610	0.0833
Average loss	0.0000	0.0000	0.0000	0.0000	0.0000
Average trade	0.0121	0.0160	0.0388	0.0610	0.0833
Max win streak	118	195	427	519	684
Max loss streak	0	0	0	0	0
Time in market	90.91%	91.50%	91.97%	92.82%	93.57%
Turnover	0.00	0.00	0.02	0.03	0.06
Realised P&L	1.43	3.12	16.57	31.64	56.97
Unrealised P&L	-1.52	-3.20	-2.96	-20.40	-34.80
Fees paid	1.07	2.50	8.20	14.52	26.07
Fee drag	0.11%	0.25%	0.82%	1.45%	2.61%
Final equity	999.92	999.92	1013.61	1011.24	1022.17

3m

Metric	calm	cautious	medium	bold	aggressive
Return	0.07%	0.17%	1.57%	2.97%	4.29%
CAGR	0.88%	2.15%	20.94%	42.70%	66.75%
Buy and hold	21.86%	21.86%	21.86%	21.86%	21.86%
Edge vs B&H	-21.79%	-21.69%	-20.29%	-18.89%	-17.57%
Volatility (ann.)	0.87%	1.81%	5.39%	10.36%	19.52%
Sharpe	1.01	1.18	3.55	3.48	2.72
Sortino	0.96	1.11	3.48	3.47	2.71
Calmar	5.75	6.93	32.03	25.48	21.83
Omega	1.01	1.01	1.03	1.03	1.02
Max drawdown	0.15%	0.31%	0.65%	1.68%	3.06%
Ulcer index	0.0006	0.0012	0.0021	0.0045	0.0091
Drawdown episodes	96	116	169	154	126
Longest underwater (days)	7.6	6.6	4.6	3.8	4.6
Recovery factor	0.47	0.56	2.41	1.77	1.40
VaR 95%	-0.062%	-0.131%	-0.272%	-0.869%	-1.601%
VaR 99%	-0.091%	-0.196%	-0.454%	-0.891%	-1.604%
CVaR 95%	-0.077%	-0.164%	-0.363%	-0.880%	-1.603%
Skew	0.28	0.35	0.42	0.56	0.62
Excess kurtosis	0.90	1.32	1.51	2.66	2.39
Best day	0.11%	0.25%	0.66%	1.55%	2.80%
Worst day	-0.09%	-0.20%	-0.45%	-0.89%	-1.60%
Positive days	17	18	18	19	19
Negative days	12	11	11	10	10
Round trips	54	102	235	326	382
Winning / losing trades	54 / 0	102 / 0	235 / 0	326 / 0	382 / 0
Trades per day	1.80	3.40	7.83	10.87	12.73
Win rate	100.00%	100.00%	100.00%	100.00%	100.00%
Profit factor	∞	∞	∞	∞	∞
Payoff ratio	∞	∞	∞	∞	∞
Expectancy	0.0354	0.0397	0.0724	0.0974	0.1330
Average win	0.0354	0.0397	0.0724	0.0974	0.1330
Average loss	0.0000	0.0000	0.0000	0.0000	0.0000
Average trade	0.0354	0.0397	0.0724	0.0974	0.1330
Max win streak	54	102	235	326	382
Max loss streak	0	0	0	0	0
Time in market	86.25%	86.74%	87.48%	87.87%	88.49%
Turnover	0.00	0.00	0.02	0.03	0.05
Realised P&L	1.91	4.05	17.01	31.75	50.81
Unrealised P&L	-1.19	-2.31	-1.27	-2.10	-7.90
Fees paid	0.50	1.33	4.31	8.67	15.92
Fee drag	0.05%	0.13%	0.43%	0.87%	1.59%
Final equity	1000.72	1001.74	1015.73	1029.63	1042.89

5m

Metric	calm	cautious	medium	bold	aggressive
Return	0.17%	0.28%	1.19%	2.31%	4.09%
CAGR	2.14%	3.49%	15.45%	32.09%	62.85%
Buy and hold	21.83%	21.83%	21.83%	21.83%	21.83%
Edge vs B&H	-21.65%	-21.55%	-20.64%	-19.52%	-17.74%
Volatility (ann.)	0.76%	1.59%	4.54%	8.91%	16.43%
Sharpe	2.78	2.16	3.19	3.17	3.05
Sortino	2.57	1.99	3.10	3.12	3.06
Calmar	15.47	12.03	18.30	19.70	21.93
Omega	1.03	1.02	1.04	1.04	1.04
Max drawdown	0.14%	0.29%	0.84%	1.63%	2.87%
Ulcer index	0.0004	0.0009	0.0022	0.0044	0.0078
Drawdown episodes	134	98	141	132	140
Longest underwater (days)	6.5	6.5	6.8	6.5	4.0
Recovery factor	1.26	0.97	1.41	1.42	1.43
VaR 95%	-0.061%	-0.128%	-0.425%	-0.822%	-1.477%
VaR 99%	-0.086%	-0.181%	-0.490%	-0.939%	-1.688%
CVaR 95%	-0.074%	-0.155%	-0.458%	-0.880%	-1.582%
Skew	0.14	0.16	0.60	0.63	0.77
Excess kurtosis	1.19	2.10	3.07	2.98	3.38
Best day	0.11%	0.23%	0.79%	1.54%	2.93%
Worst day	-0.09%	-0.18%	-0.49%	-0.94%	-1.69%
Positive days	18	19	21	21	21
Negative days	11	11	9	9	9
Round trips	69	114	217	269	337
Winning / losing trades	69 / 0	114 / 0	217 / 0	269 / 0	337 / 0
Trades per day	2.30	3.80	7.23	8.97	11.23
Win rate	100.00%	100.00%	100.00%	100.00%	100.00%
Profit factor	∞	∞	∞	∞	∞
Payoff ratio	∞	∞	∞	∞	∞
Expectancy	0.0298	0.0347	0.0596	0.0946	0.1387
Average win	0.0298	0.0347	0.0596	0.0946	0.1387
Average loss	0.0000	0.0000	0.0000	0.0000	0.0000
Average trade	0.0298	0.0347	0.0596	0.0946	0.1387
Max win streak	69	114	217	269	337
Max loss streak	0	0	0	0	0
Time in market	68.92%	76.03%	76.69%	78.83%	79.98%
Turnover	0.00	0.00	0.01	0.03	0.05
Realised P&L	2.05	3.95	12.92	25.46	46.73
Unrealised P&L	-0.31	-1.13	-1.04	-2.32	-5.83
Fees paid	0.64	1.48	4.04	6.99	13.18
Fee drag	0.06%	0.15%	0.40%	0.70%	1.32%
Final equity	1001.74	1002.83	1011.88	1023.14	1040.90

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