Backtest Report Analyzer

From a report to an edge

Everything derives from four inputs — trades, win rate, average win and average loss — so the metrics can never contradict each other. Gross profit, gross loss and profit factor are computed from those, not entered separately. Profit factor divides gross profit by gross loss: above 1 is profitable, above 1.5 is solid. Expectancy is the average amount you win per trade — the real engine of compounding — and expectancy in R restates it in units of your average loss. Payoff ratio compares your average win to your average loss. Return ÷ drawdown is a recovery-factor proxy — a rough sense of return per unit of drawdown, not an annualised or Calmar ratio.