Every term, explained

Compound Annual Growth Rate. Smoothed annual return assuming compounding.

Annualized return divided by absolute max drawdown.

Sharpe ratio corrected for the inflation caused by testing many strategy variants.

Expected profit per trade, on average.

Largest peak-to-trough loss in your equity curve.

SaaS metric: revenue retained from existing customers (incl. expansion - churn).

Probability that the observed Sharpe is above a benchmark threshold.

Gross profit divided by gross loss.

Trade outcome expressed as multiples of risk taken.

Annualized excess return divided by annualized volatility. Risk-adjusted return.

Like Sharpe but only counts downside volatility.

Percentage of trades that close profitable.

Using 50% of the Kelly-optimal position size.

Mathematical formula for optimal position size to maximize long-term growth.

How many units to trade given account size, stop distance, and risk per trade.