FxRobotEasy Editorial · 34 terms in this cluster
Performance Metrics Glossary — Sharpe, Calmar, Profit Factor, and More
Statistics and ratios for evaluating algorithmic trading systems — risk-adjusted returns, drawdown analysis, expectancy.
Performance metrics are the quantitative language of trading-system evaluation. A strategy without measurable performance characteristics is just a hunch; metrics let you compare strategies, identify edge, and recognise when 'good performance' is actually evidence of hidden risk. This cluster collects the metrics most relevant to algorithmic forex trading.
The foundational metrics are risk-adjusted return ratios (Sharpe, Sortino, Calmar) that normalise return by volatility or drawdown. These let you compare a high-return high-volatility scalper against a steady-return low-volatility trend-follower on the same axis — risk-adjusted productivity per unit of risk taken.
Distribution metrics (profit factor, recovery factor, win/loss ratio, expectancy) characterise the shape of a strategy's returns. A 60% win rate strategy with 0.8 win/loss ratio is fundamentally different from a 30% win rate strategy with 3.0 win/loss ratio, even if both have identical expectancy. Understanding the distribution matters for psychological tolerance and tail-risk awareness.
Diagnostic metrics (MAE, MFE, R-multiple) provide trade-level analysis that aggregate metrics hide. MAE distributions reveal whether stops are too tight or too wide; MFE distributions reveal whether take-profit logic captures available profit. R-multiples normalise across position sizes for consistent comparison.
Position-sizing metrics (Kelly criterion) provide the mathematical framework for optimal bet sizing. Full Kelly is rarely used in practice because of its psychological aggressiveness, but understanding Kelly clarifies why position sizing matters — being right about edge isn't enough if you bet too much per trade.
For evaluating any commercial EA: insist on multi-year metrics computed on verified live trading data. A backtest Sharpe of 3.0 means little; a live Sharpe of 1.5 over three years is genuine evidence of edge. The trader's challenge is not finding 'high Sharpe' EAs but finding ones whose live metrics support the marketing claims.
All 34 terms in this cluster
Expectancy
intermediateExpectancy is the average profit (or loss) per trade, computed as (win rate × average win) − (loss rate × average loss). Positive expectancy is mandatory for any viable trading sys…
Sharpe Ratio
intermediateThe Sharpe ratio measures risk-adjusted return by dividing excess return over the risk-free rate by the standard deviation of returns. Higher values mean more return per unit of vo…
Sortino Ratio
intermediateThe Sortino ratio is a variant of the Sharpe ratio that uses only downside deviation in the denominator instead of total standard deviation. It rewards strategies that have upside …
Calmar Ratio
intermediateThe Calmar ratio is the annualised return divided by the maximum drawdown over the same period. It directly answers the trader's most practical question: how much return per unit o…
R-Multiple
intermediateAn R-multiple expresses a trade's outcome in units of the initial risk taken. If you risk $100 (the 'R') and win $200, that's a +2R trade; lose the full risk and it's −1R. R-multip…
Win/Loss Ratio
beginnerThe win/loss ratio is the average winning trade size divided by the average losing trade size. A ratio of 2.0 means winners are on average twice the size of losers. Combined with w…
Recovery Factor
intermediateRecovery factor is the total net profit divided by the maximum drawdown over the same period. It measures how many times the strategy has 'paid back' its worst drawdown. A recovery…
Maximum Adverse Excursion (MAE)
advancedMaximum Adverse Excursion (MAE) is the worst unrealised loss a trade experienced before closing — how far against you the trade went at its worst point. MAE analysis helps optimise…
Maximum Favourable Excursion (MFE)
advancedMaximum Favourable Excursion (MFE) is the largest unrealised profit a trade reached before closing. MFE analysis reveals how much potential profit your exit logic captured vs left …
Kelly Criterion
advancedThe Kelly Criterion is a position-sizing formula that maximises long-term geometric growth: f* = (bp − q) / b, where b is the win/loss ratio, p is win probability, and q is loss pr…
Backtest
beginnerA backtest runs a trading strategy against historical price data to estimate how it would have performed. It is an essential development tool but a notoriously weak predictor of fu…
Forward Test
intermediateA forward test runs a finalised strategy on incoming live or demo data, in real time, after backtesting is complete. It exposes the strategy to genuinely unseen data and to real ex…
Look-Ahead Bias
intermediateLook-ahead bias is a backtest error where the strategy uses information that would not have been available in real time — e.g. closing price of the current bar, revised economic da…
Tick Data Quality
intermediateTick data quality measures how completely and accurately a backtest data set represents every price change that occurred in the live market. High-quality tick data is essential for…
Modelling Quality
intermediateModelling quality is MetaTrader's reported figure (0-100%, or 99% for real-tick mode) describing how faithfully the backtest simulation replicated the live tick stream. Below 90% i…
Sample Size
intermediateSample size is the number of trades in a backtest or live record. Statistical conclusions about edge require at least 100 independent trades and ideally 200-500; smaller samples ar…
Journal Error Count
intermediateThe number of error-level entries an EA writes to the MetaTrader Expert Journal over a measurement window. A useful operational health metric: rising error counts indicate broker r…
Rolling Profit Factor
intermediateRolling profit factor is the profit factor computed over a moving window (typically 30-90 days) rather than over the strategy's full history. It tracks current strategy health and …
Peak Drawdown
beginnerPeak drawdown is the largest peak-to-trough decline in equity observed during a measurement window — backtest, forward-test, or live operation. It is the single most important risk…
Portfolio Drawdown
intermediatePortfolio drawdown is the aggregated drawdown of multiple strategies running concurrently on the same account — typically smaller than the sum of individual drawdowns when strategi…
PnL Volatility
intermediatePnL volatility is the standard deviation of periodic returns (daily, weekly, monthly) on the strategy's equity curve. It quantifies smoothness of performance and is the denominator…
Realised Expectancy
intermediateRealised expectancy is the expectancy metric computed on the actual live trades produced by a strategy, distinct from theoretical or backtest expectancy. The gap between backtest a…
Maximum Drawdown
beginnerAlso called peak drawdown or max DD. Maximum drawdown is the largest peak-to-trough decline in equity observed during a measurement window. It represents the worst experience a tra…
Live Track Record
beginnerA live track record is a public, verifiable trading-account history (typically via MyFXBook, MQL5 Signals, or FX Blue) showing the EA's actual trade-by-trade execution under real b…
Verified Live Track
intermediateA verified live track is a live trading-account history that has been continuously third-party verified (MyFXBook, MQL5 Signals, FX Blue) for the entirety of the published period —…
Trade-by-Trade Verification
intermediateTrade-by-trade verification is the publication standard where the live track record exposes every individual closed trade — entry time, exit time, instrument, lots, entry/exit pric…
Underwater Curve
intermediateThe underwater curve plots account equity as a percentage below its all-time peak — showing how long the account spends in drawdown vs at new highs. The shape (how deep, how long, …
Survivorship Bias
intermediateSurvivorship bias is the systematic error of evaluating trading systems by looking only at the surviving examples — the EAs still being marketed, the vendors still in business, the…
Strategy Attribution
intermediateStrategy attribution is the verification feature where multi-strategy EAs publish each module's contribution to overall return separately on the verified live account. It distingui…
Verification Length
beginnerVerification length is the continuous duration of an EA's public live or broker-attested account history. The 2026 editorial floor is 6 months for inclusion consideration, 12+ mont…
Realised Return
beginnerRealised return is the actual percentage return generated on a public live or broker-attested account over a defined period (typically monthly or annualised). It is the editorial m…
Maximum Adverse Excursion (MAE)
intermediateMaximum adverse excursion (MAE) is the worst unrealised loss a trade experienced before closing. Trades that closed profitable but had large MAE were 'lucky' — they would have hit …
Individual Leg Drawdown
intermediateIndividual leg drawdown is the drawdown experienced by a single strategy module within a multi-strategy EA, measured independently of the aggregate portfolio. Aggregate portfolio d…
Z-Score
intermediateZ-score is the number of standard deviations a value is from the mean. In trading, z-scores measure how unusual a current value is relative to historical distribution — high z-scor…
Explore other clusters
- → Execution & Broker Models Glossary — Slippage, Last-Look, A-Book vs B-Book
- → Order Types Glossary — Market, Limit, Stop, OCO, Trailing, and More
- → Risk Management Glossary — Drawdown, Position Sizing, Kelly Criterion
- → AI & Machine Learning Glossary — Pattern Recognition, Overfitting, Walk-Forward
- → MetaTrader Files & Configuration Glossary — .set, .tpl, Magic Number
- → Forex Scam Prevention Glossary — KYC, Chargeback, Ponzi, Regulator Routes
- → Automated Trading Fundamentals Glossary — From EA Design to Live Operation
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34 terms in this cluster, 134 terms in the full forex glossary.
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