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Stats Glossary
A
Annual Profit and Loss Bars
A bar chart that shows the yearly performance of the strategy and a simple buy-and-hold approach for the same stock. Each bar is the return for that calendar year, calculated from that year’s opening price. This helps you compare the strategy to buy-and-hold year by year.
Annual Return
The net profit from the strategy expressed as a compound annual growth rate over the selected lookback period. It answers the question, “If this backtest result were smoothed into a steady yearly rate, what percent per year would that be?”
Avg Drawdown
The average size of all drawdowns during the test period. A drawdown is a drop from a local peak to a later trough before price makes a new high. The platform sums all drawdowns as percentages, then divides by the number of drawdowns to give an average.
Avg Gain
The average percentage gain across all winning trades in the strategy. It is calculated by adding the percent gain of every winning trade, then dividing by the total number of winning trades.
Avg Loss
The average percentage loss across all losing trades in the strategy. It is calculated by adding the percent loss of every losing trade, then dividing by the total number of losing trades.
Avg Return
The average percentage return per trade, across all trades in the strategy, wins and losses together. It tells you the typical percent outcome of a single trade fired by this strategy.
B
Batting Avg
The percentage of trades that were winners. It is calculated as Wins divided by total Trades. For example, if 60 out of 100 trades were profitable, the batting average is 60 percent.
Biggest Loss
The largest single losing trade in the backtest, shown as a percentage loss from entry to exit.
Biggest Win
The largest single winning trade in the backtest, shown as a percentage gain from entry to exit.
Buy and Hold Alpha
A multiple that compares the strategy’s gains to a simple buy-and-hold approach for the same stock over the same period.
A value of 1 means the strategy and buy-and-hold produced the same total gain.
A value above 1 means the strategy outperformed buy-and-hold.
A value below 1 means the strategy underperformed buy-and-hold.
For example, if buy-and-hold made 100 dollars and Buy and Hold Alpha is 1.8, the strategy would have made about 180 dollars.
C
Candles
The total number of price candles used in the backtest for the selected lookback period. On a daily strategy this is the number of trading days included in the test. More candles generally mean more data behind the stats.
Conditions
A short label that represents the set of rules that define the strategy. These are built with indicators in the Strategy Builder. In the Stats panel you see a shorthand (for example “ADX”), which is the first study from the first condition group that makes up the strategy.
D
Daily Percent Gain
The average percentage progress the strategy makes for each day it is in a trade. It is calculated by taking the net profit of the entire backtest, then dividing by the total number of “in-trade” days, and expressing the result as a percentage.
You should not treat this as a literal target for every day. For example, if Daily Percent Gain is 0.5 percent, that does not mean the price should rise exactly 0.5 percent every day. Instead, you can think of it as the typical slope of price movement during trades and a rough guide to what kind of total move you might see over a full trade.
E
Efficiency
A measure of how “trendy” or “choppy” the price action is while the strategy is in trades. It is calculated as the net change in price from the start to the end of the trade, divided by the sum of all absolute price changes within that trade.
Values range from 0 to 1:
Values closer to 1 mean price moved more directly in one direction with less noise.
Values closer to 0 mean price moved in a more volatile and back-and-forth way.
L
Line Chart (Stats Equity Curve)
A chart that plots two lines over time. The strategy line shows the growth of 1 share traded using the strategy. The comparison line shows the growth of buying and holding 1 share of the stock. This lets you compare the strategy to buy-and-hold at a glance.
Lookback
The historical testing window used for the backtest, shown in years (for example “20Y”). All stats in the panel are based on this period only. A longer lookback typically provides more trades and more cycles for the strategy.
Loss Length
The average number of days that losing trades remain open from entry to exit.
Losses
The total number of losing trades produced by the strategy over the selected lookback period.
M
Max Drawdown
The largest drop in equity from a peak to a later low during the backtest, before a new peak is reached. It shows the worst historical peak-to-trough decline you would have experienced while running this strategy.
Median Delta Ratio
A measure of how much of the typical total price swing is made up of favorable movement versus adverse movement. It uses the Median Positive Delta and Median Negative Delta together and returns a value between 0 and 1.
Values near 0.5 mean price action inside trades is generally balanced.
Values near 1 mean trades tend to move more in your favor than against you.
Values near 0 mean trades tend to move more against you than in your favor.
Median Negative Delta
For each trade, this measures the move from the entry price down to the lowest price reached during that trade. The median is then taken across all trades. It shows the typical worst intratrade drawdown you had to sit through.
Median Positive Delta
For each trade, this measures the move from the entry price up to the highest price reached during that trade. The median is then taken across all trades. It shows the typical best intratrade upside move before exit.
R
Rating
A letter grade based on Wallstreet.io’s proprietary multi-factor scoring model. It looks at a mix of profitability, risk, and consistency. In general, an “A” rated strategy is stronger than a “B”, which is stronger than a “C”, and so on.
Return
The total profit or loss in dollars from trading exactly 1 share of the stock using the strategy over the selected lookback period. This is the large number at the top of the Stats panel.
Risk Reward
The ratio of the average winning trade size to the average losing trade size, measured in percentages. A value of 2, for example, means that on average your wins are twice as large as your losses.
S
Sharpe Ratio
A standard measure of risk-adjusted return. It compares how much excess return the strategy produced (above a cash-like benchmark) to how volatile those returns were. Higher values mean the strategy delivered more return per unit of volatility.
Sharpe Samples
The number of time periods used to calculate the Sharpe Ratio. For example, a yearly Sharpe over 5 years has 5 samples. A larger sample count usually means a more reliable Sharpe Ratio because it is based on more history.
Status
Shows the current state of the strategy for the selected stock at today’s close. Typical values are:
Starting – the entry conditions became true today.
Day X – the trade is active and has been running for X trading days.
Ending – the exit conditions became true today.
Inactive – the strategy is not in a trade today.
Stock
The ticker symbol that the strategy is tested on and currently applied to.
T
Trade Length
The average number of days each trade stays open from entry to exit, across all trades in the backtest.
Trades
The total number of completed trades generated by the strategy during the selected lookback period.
Trades Per Year
The average number of trades the strategy generates per calendar year. It helps you understand the strategy’s frequency. For example, a value near 12 suggests you might see roughly one trade per month on average.
Type
Describes whether the strategy trades long or short.
Long: the strategy buys to open and sells to close. A win happens when the sell price is higher than the buy price.
Short: the strategy sells to open and buys to close. A win happens when the buy-to-cover price is lower than the sell price.
W
Win Length
The average number of days that winning trades remain open from entry to exit.
Wins
The total number of winning trades produced by the strategy over the selected lookback period.