Metrics Glossary
AlgoChef calculates 95+ metrics for every imported strategy. This glossary organizes them into categories with formulas, interpretation, and where applicable, tier thresholds.
Categories
| Category | Metrics | Focus |
|---|---|---|
| Profitability | 15 | Net profit, gross profit/loss, returns, CAGR |
| Drawdowns | 11 | Max/avg drawdown, duration, variability |
| Risk Ratios | 13 | Sharpe, Sortino, Calmar, Omega, K-Ratio, and more |
| Trade Statistics | 20+ | Win rate, profit factor, expectancy, averages |
| Streaks & Sequences | 7 | Win/loss streaks, consecutive profit/loss |
| Time Analysis | 9 | Duration, bars, time between trades |
| Distribution | 8 | Skewness, kurtosis, Z-score, exposure |
| Volatility | 6 | R-multiples, SQN, ATR-normalized metrics |
| Advanced | 10+ | Period stats, stagnation, efficiency |
Color Thresholds
Many metrics have color-coded tiers to help you quickly assess performance. Each metric is classified into one of four tiers — Excellent, Good, Caution, or Failed — based on its value relative to industry benchmarks and AlgoChef's proprietary thresholds.
Key metrics with tier classifications include: Sharpe Ratio, Profit Factor, Win Rate, Max Drawdown, CAGR, R-Expectancy, Recovery Factor, SQN, and K-Ratio. Import a strategy to see how each metric is rated.
Reading a Metric Page
Each category page includes:
- Quick reference table — All metrics at a glance with formulas
- Detailed explanations — What each metric means and how to interpret it
- Tier thresholds — Where applicable, what constitutes good vs. bad values
Tip
See these metrics in action — import a strategy and AlgoChef calculates all 95+ metrics instantly.