Returns
- Total return % - final equity / starting equity − 1.
- CAGR % - compounded annual growth rate, annualized from the backtest window. Lets you compare strategies of different durations.
Risk
- Max drawdown % - largest peak-to-trough equity drop. The number that matters more than total return for most readers.
- Sharpe ratio - annualized return divided by annualized volatility. Above 1 is decent; above 2 is rare in retail backtests.
- Sortino ratio - Sharpe but counting only downside volatility. Always >= Sharpe.
Trade quality
- Win rate % - winning trades / total trades.
- Profit factor - gross profit / gross loss. > 1 = profitable;
1.5 = solid; > 2 = exceptional.
- Expectancy -
(win_rate × avg_win) − (loss_rate × avg_loss). Average dollar P&L per trade. - Average R-multiple - average win/loss expressed in stop- distance units. Useful when comparing across symbols.
Activity
- Trade count - total trades. Below 30, treat results as noise.
- Exposure % - fraction of time the strategy held a position. Low exposure with high return = lots of idle equity.
- Average trade duration - useful for matching strategy expectations to your operational style.
Cost
- Total fees paid - backtested fees (per fees percent).
- Total slippage paid - backtested slippage.
Reading the card together
A high return with a small trade count and a high max drawdown is usually noise. A modest return with a high trade count, low drawdown, and a Sharpe > 1.5 is something worth paper trading.