Backtest Performance Metrics
Calculate comprehensive trading system performance metrics from backtest results.
What is this tool?
Backtest metrics evaluate trading strategy performance using historical data. Key metrics include Sharpe Ratio (risk-adjusted return), Sortino Ratio (downside risk-adjusted return), maximum drawdown, win rate, profit factor (gross profit / gross loss), average win-to-loss ratio, Calmar Ratio, and annualized return. These metrics help traders distinguish between genuinely profitable strategies and those that merely got lucky.
How to use
- 1
Input trade data
Enter a list of individual trade returns or PnL values.
- 2
Set parameters
Configure the risk-free rate and trading days per year.
- 3
View comprehensive metrics
See Sharpe, Sortino, max drawdown, win rate, profit factor, and more.
Frequently Asked Questions
What Sharpe Ratio is considered good?
A Sharpe Ratio above 1.0 is considered acceptable. Above 2.0 is good, and above 3.0 is excellent. However, extremely high Sharpe ratios (>5) in backtests are usually a sign of overfitting or unrealistic assumptions. In live trading, sustained Sharpe above 1.5 is exceptional.
What is the profit factor?
Profit factor = Gross Profit / Gross Loss. A profit factor of 1.5 means you earn $1.50 for every $1 lost. Professional traders typically look for a minimum of 1.3. Combined with win rate, it provides a complete picture: a strategy with 40% win rate and 2.0 profit factor can be more profitable than 70% win rate with 1.1 profit factor.
Why is maximum drawdown important?
Maximum drawdown shows the worst-case scenario โ the largest peak-to-trough decline your strategy experienced. It tells you the psychological toll and capital at risk. A strategy with 50% returns and 40% drawdown may not be tradeable if you cannot emotionally withstand a 40% portfolio decline.