QGrid_EMA_ATR_ADX_Anti — 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%	0.04%	4.27%	0.75%
CAGR	-0.10%	0.06%	0.46%	66.30%	9.46%
Buy and hold	21.88%	21.88%	21.88%	21.88%	21.88%
Edge vs B&H	-21.89%	-21.88%	-21.84%	-17.61%	-21.14%
Volatility (ann.)	0.37%	1.12%	3.42%	23.74%	27.14%
Sharpe	-0.28	0.06	0.15	2.26	0.47
Sortino	-0.19	0.06	0.14	2.17	0.44
Calmar	-1.21	0.27	0.65	15.26	1.85
Omega	1.00	1.00	1.00	1.01	1.00
Max drawdown	0.09%	0.24%	0.71%	4.34%	5.10%
Ulcer index	0.0002	0.0008	0.0025	0.0142	0.0211
Drawdown episodes	171	213	204	200	189
Longest underwater (days)	5.3	8.2	8.2	6.6	8.2
Recovery factor	-0.10	0.02	0.05	0.98	0.15
VaR 95%	-0.021%	-0.083%	-0.256%	-1.970%	-1.748%
VaR 99%	-0.031%	-0.103%	-0.282%	-2.645%	-2.920%
CVaR 95%	-0.026%	-0.093%	-0.269%	-2.308%	-2.334%
Skew	-1.82	-0.33	-0.02	0.19	0.26
Excess kurtosis	3.25	0.08	-0.03	1.58	1.01
Best day	0.01%	0.09%	0.33%	3.51%	3.49%
Worst day	-0.03%	-0.10%	-0.28%	-2.65%	-2.92%
Positive days	23	17	17	19	16
Negative days	7	13	13	11	14
Round trips	97	192	400	583	372
Winning / losing trades	97 / 0	192 / 0	400 / 0	583 / 0	372 / 0
Trades per day	3.23	6.40	13.33	19.43	12.40
Win rate	100.00%	100.00%	100.00%	100.00%	100.00%
Profit factor	∞	∞	∞	∞	∞
Payoff ratio	∞	∞	∞	∞	∞
Expectancy	0.0056	0.0103	0.0154	0.0893	0.1380
Average win	0.0056	0.0103	0.0154	0.0893	0.1380
Average loss	0.0000	0.0000	0.0000	0.0000	0.0000
Average trade	0.0056	0.0103	0.0154	0.0893	0.1380
Max win streak	97	192	400	583	372
Max loss streak	0	0	0	0	0
Time in market	33.18%	83.90%	89.49%	92.32%	93.87%
Turnover	0.00	0.00	0.01	0.05	0.05
Realised P&L	0.55	1.98	6.17	52.05	51.35
Unrealised P&L	-0.63	-1.93	-5.79	-9.36	-43.90
Fees paid	0.76	1.80	5.20	22.98	34.80
Fee drag	0.08%	0.18%	0.52%	2.30%	3.48%
Final equity	999.91	1000.05	1000.36	1042.67	1007.42

3m

Metric	calm	cautious	medium	bold	aggressive
Return	0.03%	-0.00%	0.36%	4.51%	1.37%
CAGR	0.42%	-0.05%	4.48%	71.04%	18.08%
Buy and hold	21.86%	21.86%	21.86%	21.86%	21.86%
Edge vs B&H	-21.83%	-21.86%	-21.50%	-17.35%	-20.49%
Volatility (ann.)	0.16%	1.04%	2.73%	15.97%	24.55%
Sharpe	2.55	-0.05	1.62	3.44	0.80
Sortino	1.87	-0.04	1.54	3.37	0.76
Calmar	18.25	-0.29	10.77	25.83	3.77
Omega	1.05	1.00	1.01	1.03	1.01
Max drawdown	0.02%	0.18%	0.42%	2.75%	4.80%
Ulcer index	0.0000	0.0006	0.0012	0.0076	0.0185
Drawdown episodes	84	87	134	159	96
Longest underwater (days)	2.7	7.6	5.1	6.7	8.0
Recovery factor	1.50	-0.02	0.87	1.64	0.29
VaR 95%	-0.003%	-0.078%	-0.155%	-1.495%	-1.711%
VaR 99%	-0.005%	-0.081%	-0.180%	-1.504%	-2.584%
CVaR 95%	-0.004%	-0.080%	-0.168%	-1.499%	-2.148%
Skew	-0.77	0.03	0.17	0.37	0.02
Excess kurtosis	1.90	-0.09	0.33	2.84	0.45
Best day	0.00%	0.10%	0.26%	2.37%	2.84%
Worst day	-0.01%	-0.08%	-0.18%	-1.50%	-2.58%
Positive days	22	15	18	20	17
Negative days	5	14	11	9	12
Round trips	32	60	213	428	220
Winning / losing trades	32 / 0	60 / 0	213 / 0	428 / 0	220 / 0
Trades per day	1.07	2.00	7.10	14.27	7.33
Win rate	100.00%	100.00%	100.00%	100.00%	100.00%
Profit factor	∞	∞	∞	∞	∞
Payoff ratio	∞	∞	∞	∞	∞
Expectancy	0.0109	0.0223	0.0313	0.1083	0.2512
Average win	0.0109	0.0223	0.0313	0.1083	0.2512
Average loss	0.0000	0.0000	0.0000	0.0000	0.0000
Average trade	0.0109	0.0223	0.0313	0.1083	0.2512
Max win streak	32	60	213	428	220
Max loss streak	0	0	0	0	0
Time in market	13.11%	82.37%	84.18%	85.55%	90.35%
Turnover	0.00	0.00	0.01	0.05	0.06
Realised P&L	0.35	1.34	6.67	46.36	55.27
Unrealised P&L	-0.01	-1.38	-3.06	-1.26	-41.52
Fees paid	0.28	0.55	2.82	15.79	20.90
Fee drag	0.03%	0.06%	0.28%	1.58%	2.09%
Final equity	1000.34	999.96	1003.60	1045.08	1013.72

5m

Metric	calm	cautious	medium	bold	aggressive
Return	0.04%	0.10%	0.64%	4.46%	2.92%
CAGR	0.45%	1.27%	8.07%	70.03%	41.93%
Buy and hold	21.83%	21.83%	21.83%	21.83%	21.83%
Edge vs B&H	-21.79%	-21.73%	-21.19%	-17.37%	-18.91%
Volatility (ann.)	0.19%	0.88%	2.31%	12.80%	22.93%
Sharpe	2.35	1.44	3.38	4.21	1.64
Sortino	1.51	1.36	3.31	4.26	1.62
Calmar	14.31	8.67	23.83	45.51	11.15
Omega	1.06	1.02	1.04	1.05	1.02
Max drawdown	0.03%	0.15%	0.34%	1.54%	3.76%
Ulcer index	0.0000	0.0004	0.0009	0.0042	0.0141
Drawdown episodes	47	107	159	151	125
Longest underwater (days)	6.0	5.1	3.3	2.7	6.7
Recovery factor	1.17	0.71	1.89	2.90	0.78
VaR 95%	-0.003%	-0.061%	-0.093%	-0.770%	-1.685%
VaR 99%	-0.021%	-0.062%	-0.124%	-0.962%	-2.326%
CVaR 95%	-0.012%	-0.062%	-0.109%	-0.866%	-2.005%
Skew	0.99	0.12	-0.04	0.72	0.42
Excess kurtosis	8.21	0.44	-0.87	1.77	2.10
Best day	0.03%	0.09%	0.15%	1.58%	3.28%
Worst day	-0.02%	-0.06%	-0.12%	-0.96%	-2.33%
Positive days	13	19	20	24	21
Negative days	6	11	10	6	9
Round trips	19	60	199	340	209
Winning / losing trades	19 / 0	60 / 0	199 / 0	340 / 0	209 / 0
Trades per day	0.63	2.00	6.63	11.33	6.97
Win rate	100.00%	100.00%	100.00%	100.00%	100.00%
Profit factor	∞	∞	∞	∞	∞
Payoff ratio	∞	∞	∞	∞	∞
Expectancy	0.0196	0.0354	0.0390	0.1317	0.2667
Average win	0.0196	0.0354	0.0390	0.1317	0.2667
Average loss	0.0000	0.0000	0.0000	0.0000	0.0000
Average trade	0.0196	0.0354	0.0390	0.1317	0.2667
Max win streak	19	60	199	340	209
Max loss streak	0	0	0	0	0
Time in market	12.35%	69.23%	76.47%	79.66%	86.58%
Turnover	0.00	0.00	0.01	0.04	0.06
Realised P&L	0.37	2.12	7.75	44.77	55.74
Unrealised P&L	-0.00	-1.08	-1.35	-0.18	-26.54
Fees paid	0.17	0.55	2.82	12.68	20.75
Fee drag	0.02%	0.06%	0.28%	1.27%	2.08%
Final equity	1000.37	1001.03	1006.39	1044.57	1029.17

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