This dashboard now shows only strategies above 15% annualized return, keeps the benchmark comparison on a common overlap window, and leaves lower-return research models in a separate 15% and below dashboard.
| Metric | What it means | Usually good | Usually weak |
|---|---|---|---|
| Sharpe | Return per unit of total volatility. | Above 1.0 is solid, above 1.5 is strong. | Below 0.5 is weak, below 0 is losing. |
| Sortino | Return per unit of downside volatility only. | Above 1.5 is strong, above 2.0 is very strong. | Below 1.0 is weak, below 0 is losing. |
| Calmar | Annualized return divided by max drawdown. | Above 1.0 is good, above 2.0 is excellent. | Below 0.5 is weak. |
| Profit Factor | Total gains divided by total losses. | Above 1.2 is healthy, above 1.5 is strong. | Below 1.0 means losses outweigh gains. |
| Max Drawdown | Worst peak-to-trough decline. | Smaller absolute drawdown is better. | Large negative drawdowns are harder to trade live. |
| Avg Win / Avg Loss | Average positive day and average negative day. | Bigger avg win and smaller avg loss is better. | If avg loss dominates, the edge is fragile. |
| Best Day / Worst Day | Largest one-day gain and one-day loss. | Shows upside and tail-risk behavior. | Very large worst days can be hard to tolerate. |
| Avg Hold | Average number of trading days a position stays in the basket. | Depends on style; longer often means less churn. | Very short holds can mean noisy overtrading. |
| vs SPY | Total return minus SPY total return over the same window. | Positive means you beat SPY. | Negative means you lagged SPY. |