Glossary

Profit Factor

Total profit from your winning trades divided by total loss from your losing trades, based on gross (before-fees) PnL.

Below 1.0 losing · 1.0–1.5 marginal · 1.5–2.0 good · 2.0–3.0 excellent · above 3.0 outstanding (or a small sample)

Gain-to-Pain Ratio

Jack Schwager's original definition: your gross returns netted by MONTH, summed, then divided by the sum of your losing months only — a month with several small wins and one big loss can still count as a net-winning month here, so it rewards consistency, not just size.

Kelly Criterion

The theoretically optimal % of capital to risk per trade to maximize long-term account growth, given your win rate and payoff ratio.

W = winners ÷ closed trades only (a trade still open has no result yet), R = gross payoff ratio (avg win ÷ avg loss). Most traders risk a fraction of full Kelly to reduce volatility.

System Quality Number (SQN)

Van Tharp's original definition: rates your trading system by balancing your average R-multiple (risk-adjusted return) against how consistent your R-multiples are, scaled by sample size.

Win/Loss Ratio (Payoff Ratio)

Average winning trade size divided by average losing trade size.

Adjusted Win/Loss Ratio

An extra metric of ours: the Win/Loss Ratio scaled by how many more (or fewer) winning trades you have than losing ones.

Sharpe Ratio

Return per unit of total volatility, based on your daily gross P&L, annualized.

Sortino Ratio

Like the Sharpe Ratio, but only penalizes downside volatility — swings to the upside don't count against you.

Calmar Ratio

Your annualized return per unit of your worst drawdown.

Omega Ratio

The sum of your winning days' dollar PnL divided by the sum of your losing days'.

Recovery Factor

How many times over you've earned back your worst drawdown.

Tail Ratio

Compares your best days to your worst.

Needs at least 5 active trading days.

Ulcer Performance Index

Return per unit of "drawdown pain," where pain accounts for both how deep and how long your drawdowns lasted.

Exact drawdown-weighting details vary between platforms, so treat this as a standard approximation rather than an exact match to any other tool.

CAGR (Compound Annual Growth Rate)

How fast your account compounds per year, measured against the capital that was actually at work.

Average Capital time-weights your deposits and withdrawals: money paid in halfway through only counts for half the period, so funding the account isn’t mistaken for performance. Only closed trades count, and periods shorter than a month show a dash — annualizing a fortnight says more about the calendar than the trading.

Max Drawdown

The worst losing streak your account went through: the biggest drop from a high point before recovering to a new high.

Ulcer Index

The depth-and-duration of your drawdowns, combined into one number — deeper AND longer drawdowns push it up more.

Standard Deviation (PnL / Daily PnL / Winners / Losers)

How much your results vary around their average — higher means less consistent, more volatile outcomes.

Trading Expectancy

Total gross profit from your closed trades, divided by how many trades you've actually closed. Your average $ outcome per completed trade.

Max Consecutive Wins / Losses

Your longest streak of back-to-back winning (or losing) trades.

R-Multiple (Average / Total R-value)

Trade outcomes measured relative to your initial risk. 1R means you made or lost exactly what you were risking on that trade.

Only counts trades with a stop price set.

Breakeven Trades %

The share of your closed trades whose net PnL rounds to exactly $0.00 — you neither won nor lost.