Live KPIs sourced directly from our trading engine
Updates Weekly
A comprehensive guide to the key performance indicators that measure algorithmic trading success. Every metric below is calculated from real, live trading data.
A system that maintains a Profit Factor above 1.2 over a 5-year period is exceptionally strong. Long-term consistency like this indicates that profits compound reliably over time, even through changing market conditions. Maintaining a stable PF across thousands of trades shows that the model’s edge is real, durable, and not the result of short-term luck.
The average profit or loss per trade expressed in R-multiples (risk units). An expectancy of +0.2303 R means each trade is expected to return 23.03% of the risk amount. Positive expectancy is essential for long-term profitability and indicates a mathematical edge in the system's approach.
The mean size of all winning trades relative to initial risk. An average win of +1.50 R means successful trades capture 1.5× the amount risked. This metric shows the system's ability to let winners run and capture meaningful profit relative to the stop-loss distance.
The mean size of all losing trades in R-multiples. An average loss of –1.00 R demonstrates disciplined risk management—losses are kept to exactly 1× the predefined risk. This indicates the system honors stop-losses consistently without slippage or emotional override.
The ratio of average win to average loss (Avg Win ÷ Avg Loss). A payoff of 1.50 means wins are 1.5× larger than losses on average. Combined with winrate, this ratio determines overall profitability. A payoff above 1.0 allows for sub-50% winrates while remaining profitable.
The largest peak-to-trough decline in account equity. A max drawdown of –40.68% represents the worst historical decline from a high-water mark. This metric measures psychological endurance and capital risk—it's essential for sizing positions and understanding worst-case scenarios during live trading.
The highest monthly return in R-multiples. A best month of +74.5 R shows the system's upside potential during optimal market conditions. While not typical, this metric illustrates the maximum favorable outcome and helps establish realistic expectations for performance variance.
The lowest monthly return in R-multiples. A worst month of –22.0 R represents the most challenging period in the system's history. This metric sets expectations for downside risk and helps traders prepare psychologically and financially for adverse market environments.
The total count of months that closed with negative returns. With 6 negative months in the system's history, this metric shows the frequency of losing periods. Combined with worst month data, it provides context for drawdown clustering and helps assess the system's consistency over time.