What every number in Performance Metrics means

Q: What do the Performance rows show?

The Performance group reports how much the strategy made and how fast. Total return (%) is the whole-period return of the strategy over the backtest — the total gain or loss from the first simulated day to the last. See total return. Years is the number of calendar years between the first and last simulated date, carried to decimal months so partial years count. CAGR is the compound (geometric) annual growth rate: (1 + total return) ^ (1 / years) − 1. It is the row shown when the Reinvest profits toggle is on. See CAGR. AAGR is the average (arithmetic) annual growth rate: total return ÷ years. CAGR and AAGR share one table slot — AAGR appears instead of CAGR when Reinvest profits is off. See AAGR.

Q: What do the Drawdown rows show?

The Drawdown group measures how far the strategy fell and how long it took to come back. Max drawdown is the largest peak-to-trough decline of the capital curve over the period. See drawdown. Return-to-drawdown ratio is the period return divided by the size of the max drawdown (return ÷ |max drawdown|). It is a plain, public ratio — the same figure the heatmap labels NP/DD. See return-to-drawdown ratio. Longest drawdown (months) is the longest stretch, in months, the strategy stayed below a prior peak. See longest drawdown. Longest recovery (months) is the longest time, in months, it took to climb back to a prior peak after the trough. See longest recovery.

Q: What do the Volatility and risk rows show?

The Volatility and risk group describes how bumpy the ride was and how the return compares to a risk-free baseline. Volatility is the annualized standard deviation of returns, using the standard 252-trading-day convention (the daily figure is scaled by √252). The group heading and the KPI strip call this same quantity Volatility. See volatility. Semideviation (downside only) is the same measure computed on the losing days alone, annualized the same way: how much the strategy's losing days differed from one another. Between two strategies, the higher semideviation belongs to the one whose bad days were more uneven — some mild, some much worse. It is not the share of the movement that went down: because it measures the losing days around their own average, even a strategy whose ups and downs were perfectly symmetric shows a semideviation of about 0.6 times its volatility, so a figure near that is ordinary rather than a sign of mostly upward movement. It follows the same losing-days convention as the Sortino ratio on the Components tab. See semideviation. Risk-free rate is a short-term reference interest rate drawn from real market data, matched to the period of your backtest; for any months of the window outside that data, a flat 2% a year stands in. The row shows the period average. See risk-free rate. Sharpe is the Sharpe ratio: (annualized return − risk-free rate) ÷ annualized volatility. The annualized-return term is CAGR when Reinvest profits is on and AAGR when it is off. Other views label the same figure Sharpe ratio. See Sharpe ratio.

Q: What do the worst-days rows show?

The Worst days · 95% group reports how much the strategy lost on its bad days — the 5% of trading days with the worst returns. All three rows are daily losses written as positive numbers: "2.1%" means a loss of 2.1% in one day, and a larger number is a larger loss. Daily VaR · historical is the value at risk at 95%, read straight off the backtest: on 95% of days the strategy lost less than this, and on the worst 5% it lost at least this much. Daily VaR · Gaussian is the same threshold computed as if daily returns followed a normal distribution with the backtest's own average and volatility: $\text{VaR}_{95\%} = 1.645\,\sigma - \mu$, where $\sigma$ is the daily volatility, $\mu$ the average daily return, and 1.645 the number of standard deviations that leaves 5% of a normal distribution below it. See value at risk. Daily CVaR · historical is the conditional value at risk, also called expected shortfall: the average loss across that worst 5% of days. It is never smaller than the historical VaR, because the VaR is where the worst days begin and the CVaR is how bad they are on average. See conditional value at risk. Read the two VaRs side by side: when the historical one is clearly larger than the Gaussian one, the strategy's bad days were worse than a normal distribution expects — its losses have fat tails, and the Gaussian figure understates them. A backtest with only a few hundred days rests its worst 5% on a handful of days, so these rows are rougher on a short history.

Q: What do the Monthly performance rows show?

The Monthly performance group summarises the strategy month by month. Positive months (%) is the share of months in the period that ended with a positive return. See positive months. Best month and Worst month are the highest and lowest single-month returns over the period. See best month and worst month.

Q: What do the Averages rows show?

The Averages group reports simple averages of the return series. Monthly average is the plain average of the monthly return series, and Yearly average is the plain average of the annual return series. See monthly and yearly average.

Before you start

Run a backtest first — the metrics fill in only after a strategy has been simulated.

Steps

Open your strategy, go to Analysis, and select Performance Metrics.
Read the table one group at a time — each group has its own section below.

What you should see

The figures sit in a grouped table under the headings Performance, Drawdown, Volatility and risk, Worst days · 95%, Monthly performance, and Averages. Every group is shown on every plan. Every value is stored internally as a fraction (for example 0.153) and formatted for display as a percentage ("15.3%"), while ratio rows such as Sharpe and Return-to-drawdown ratio are shown as plain numbers. Beside the table, a growth chart draws the strategy against its benchmark; on a strategy with an active risk condition, a band under that chart shows when it ran Risk-On and when Risk-Off — see regime timeline.

What do the Performance rows show?

The Performance group reports how much the strategy made and how fast.

Total return (%) is the whole-period return of the strategy over the backtest — the total gain or loss from the first simulated day to the last. See total return.
Years is the number of calendar years between the first and last simulated date, carried to decimal months so partial years count.
CAGR is the compound (geometric) annual growth rate: (1 + total return) ^ (1 / years) − 1. It is the row shown when the Reinvest profits toggle is on. See CAGR.
AAGR is the average (arithmetic) annual growth rate: total return ÷ years. CAGR and AAGR share one table slot — AAGR appears instead of CAGR when Reinvest profits is off. See AAGR.

What do the Drawdown rows show?

The Drawdown group measures how far the strategy fell and how long it took to come back.

Max drawdown is the largest peak-to-trough decline of the capital curve over the period. See drawdown.
Return-to-drawdown ratio is the period return divided by the size of the max drawdown (return ÷ |max drawdown|). It is a plain, public ratio — the same figure the heatmap labels NP/DD. See return-to-drawdown ratio.
Longest drawdown (months) is the longest stretch, in months, the strategy stayed below a prior peak. See longest drawdown.
Longest recovery (months) is the longest time, in months, it took to climb back to a prior peak after the trough. See longest recovery.

What do the Volatility and risk rows show?

The Volatility and risk group describes how bumpy the ride was and how the return compares to a risk-free baseline.

Volatility is the annualized standard deviation of returns, using the standard 252-trading-day convention (the daily figure is scaled by √252). The group heading and the KPI strip call this same quantity Volatility. See volatility.
Semideviation (downside only) is the same measure computed on the losing days alone, annualized the same way: how much the strategy's losing days differed from one another. Between two strategies, the higher semideviation belongs to the one whose bad days were more uneven — some mild, some much worse. It is not the share of the movement that went down: because it measures the losing days around their own average, even a strategy whose ups and downs were perfectly symmetric shows a semideviation of about 0.6 times its volatility, so a figure near that is ordinary rather than a sign of mostly upward movement. It follows the same losing-days convention as the Sortino ratio on the Components tab. See semideviation.
Risk-free rate is a short-term reference interest rate drawn from real market data, matched to the period of your backtest; for any months of the window outside that data, a flat 2% a year stands in. The row shows the period average. See risk-free rate.
Sharpe is the Sharpe ratio: (annualized return − risk-free rate) ÷ annualized volatility. The annualized-return term is CAGR when Reinvest profits is on and AAGR when it is off. Other views label the same figure Sharpe ratio. See Sharpe ratio.

What do the worst-days rows show?

The Worst days · 95% group reports how much the strategy lost on its bad days — the 5% of trading days with the worst returns. All three rows are daily losses written as positive numbers: "2.1%" means a loss of 2.1% in one day, and a larger number is a larger loss.

Daily VaR · historical is the value at risk at 95%, read straight off the backtest: on 95% of days the strategy lost less than this, and on the worst 5% it lost at least this much.
Daily VaR · Gaussian is the same threshold computed as if daily returns followed a normal distribution with the backtest's own average and volatility: $\text{VaR}_{95\%} = 1.645\,\sigma - \mu$ , where $\sigma$ is the daily volatility, $\mu$ the average daily return, and 1.645 the number of standard deviations that leaves 5% of a normal distribution below it. See value at risk.
Daily CVaR · historical is the conditional value at risk, also called expected shortfall: the average loss across that worst 5% of days. It is never smaller than the historical VaR, because the VaR is where the worst days begin and the CVaR is how bad they are on average. See conditional value at risk.

Read the two VaRs side by side: when the historical one is clearly larger than the Gaussian one, the strategy's bad days were worse than a normal distribution expects — its losses have fat tails, and the Gaussian figure understates them. A backtest with only a few hundred days rests its worst 5% on a handful of days, so these rows are rougher on a short history.

What do the Monthly performance rows show?

The Monthly performance group summarises the strategy month by month.

Positive months (%) is the share of months in the period that ended with a positive return. See positive months.
Best month and Worst month are the highest and lowest single-month returns over the period. See best month and worst month.

What do the Averages rows show?

The Averages group reports simple averages of the return series. Monthly average is the plain average of the monthly return series, and Yearly average is the plain average of the annual return series. See monthly and yearly average.

How are these numbers annualized?

Every annualized figure on this page shares one basis: Fincanva scales volatility with the √252 trading-day convention and measures years as geometric calendar years carried to decimal months. Values are stored as fractions and formatted for display, and the risk-free baseline is a real, period-matched market series rather than a fixed value — except for months outside that series, where a flat 2% a year stands in.

Metrics shown in other views

Some figures live on other analysis surfaces rather than the main metrics table. On a Combined, the Components tab's Each strategy, against the Combined block adds a Sortino ratio, tracking error, and information ratio for each of its strategies. The start-date sensitivity view reports average pain. On a Combined, the same Components tab opens with contribution analytics, which splits the Combined's return, volatility, Sharpe and daily VaR among its strategies. The stress test on the Robustness tab recomputes the daily VaR and CVaR under a scenario, and backtest reliability shows how much the return, the Sharpe and the maximum drawdown could have varied. Two textbook risk measures are worth knowing even though Performance Metrics does not display them today: beta, which appears in the Beta neutral allocation method rather than as a metric, and alpha. The Fincanva score summarises overall quality — see Fincanva score.

Common problems

The tab reads "No results yet"

The strategy has no completed backtest, and the tab says so: "Backtest this strategy to generate its metrics." Select Backtest and the table fills in once the backtest finishes.

The table shows AAGR where I expected CAGR

Reinvest profits is off in the tab's Simulation assumptions. CAGR and AAGR share one row, and AAGR takes it while reinvesting is off — switch Reinvest profits on to read CAGR. The same switch decides which of the two the Sharpe row uses.

The worst-days rows and Semideviation read "n/a"

The simulation was computed before those rows existed, and it does not carry them. A value that could not be computed reads "n/a", never 0% — a 0% loss would claim a safety the figure does not show. When all four read "n/a" on a strategy you can run, a notice above the table says "Some metrics can't be computed for this simulation. If it ran before this update, rerun it to get them." with a Rerun button; press it, and the rows fill in when the new backtest finishes.

GlossaryBacktest · Strategy · Equity curve · Benchmark · Regime timeline · Total return · CAGR · AAGR · Max drawdown · Return-to-drawdown ratio · Longest drawdown · Longest recovery · Volatility · Sortino ratio · Semideviation · Risk-free rate · Sharpe ratio · Value at Risk · Conditional Value at Risk · Positive months · Best month and worst month · Monthly and yearly average · Metrics table · Combined · Tracking error · Information ratio · Start-date sensitivity · Average pain · Contribution analytics · Stress test · Backtest reliability · Beta · Beta neutral · Alpha · Fincanva score · Risk condition

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