Core performance metrics
- PnL (Profit and Loss)
- The money a trade, day or account made or lost. Realized PnL comes from closed positions and can't change; unrealized PnL is what open positions would make if closed at the current price. Gross PnL is the price move alone; net PnL is what's left after commissions and fees. Read the full breakdown →
- Expectancy
- The average amount you can expect to win or lose per trade, calculated as (win % × average win) − (loss % × average loss). A positive expectancy means a strategy pays you over a large enough sample, even though any single trade can still lose. Read the full breakdown → Try the expectancy calculator →
- R-Multiple
- A trade's profit or loss expressed as a multiple of the dollar amount initially risked (1R). A trade that risked $200 and made $600 is a “+3R” trade — R-multiples let you compare trades of very different sizes on the same scale.
- Risk-Reward Ratio
- The distance from entry to stop compared with the distance from entry to target, written as 1:2 when a trade risks one unit to make two. It sets the win rate a strategy needs to break even (1 ÷ (1 + reward ÷ risk)), so it says nothing about profitability until it's paired with a win rate. Try the risk-reward ratio calculator →
- Win Rate
- The percentage of trades that closed profitably. On its own, win rate doesn't determine profitability — a low win rate with large winners and small losers can be very profitable, and a high win rate with tiny winners and rare large losses can be a losing system. Read the full breakdown → Try the win rate calculator →
- Profit Factor
- Gross profit divided by gross loss across a set of trades. A profit factor above 1 means total wins outweigh total losses; like win rate, it needs a reasonable sample size before it's trustworthy.
- Maximum Adverse Excursion (MAE)
- The worst unrealized loss a trade reached before it was closed, regardless of how it eventually finished. Comparing MAE across winning trades shows whether stops are placed too tight relative to the normal “heat” a winner takes on the way to profit.
- Maximum Favorable Excursion (MFE)
- The best unrealized profit a trade reached before it was closed. Comparing MFE to a trade's actual exit shows how much profit was routinely left on the table — or appropriately protected — by an exit rule.
- System Quality Number (SQN)
- A single score combining a strategy's average expectancy with the consistency of its trade results and the number of trades taken, intended to say more about a system's reliability than expectancy alone.
Risk & position sizing
- Max Drawdown
- The largest peak-to-trough decline in account equity over a period. Central to prop-firm-style risk management, since funded accounts are typically evaluated against a maximum drawdown limit, not just overall profitability.
- Recovery Factor
- Net P&L divided by max drawdown in dollars — how many times over a strategy has "paid back" its worst losing stretch. Unlike expectancy or profit factor, which are per-trade ratios, recovery factor is money-derived, so it reflects the actual account-equity toll a drawdown took.
- Distance to Bust
- How much further an account's balance can fall, in dollars, before it breaches a prop-firm's drawdown floor. Shrinks as an account draws down and grows back as it recovers — the number that actually matters when a max-drawdown rule is what can end an evaluation or funded account outright.
- RR Efficiency
- The average risk-reward multiple actually realized on a trade divided by the risk-reward that was planned before entry, across trades where a plan R was logged. Below 100% means winners are being cut short of the planned target more often than losers are being held past the planned stop.
- Cash Flow Ledger
- A record of deposits and withdrawals on a trading account, kept separate from trading P&L. Without one, an account's balance and equity curve silently drift from reality the moment it's topped up incrementally or a prop firm pays out — a ledger reconciles the two without changing win rate, expectancy, or drawdown %, which stay pure trading-skill measures. Read the full breakdown →
- Kelly Criterion
- A formula for the position size that maximizes long-run compounded growth, given a strategy's win rate and win/loss ratio. Full Kelly sizing is usually too aggressive for real trading, which is why most traders who use it size at a fraction (e.g. half-Kelly).
- Risk of Ruin
- The probability that a given strategy, at a given position size, eventually strings together enough losses to wipe out — or unacceptably damage — an account, based on its win rate, win/loss ratio, and risk per trade.
- Consistency Rule
- A rule used by many funded/prop trading firms requiring that no single day (or week) account for more than a set percentage of a trader's total profit during an evaluation or payout period — meant to filter out one lucky outlier day from otherwise unproven performance.
Statistical rigor
- Sortino Ratio
- A variant of the Sharpe ratio that only penalizes downside volatility — losing trades or periods — rather than all volatility. Often considered more intuitive for traders, since an upside swing usually isn't experienced as “risk.”
- Calmar Ratio
- Annualized return divided by maximum drawdown. Where Sharpe and Sortino measure return against volatility, Calmar measures it against the single worst peak-to-trough decline — a stricter, more prop-firm-relevant read on how much pain a strategy's return actually costs.
- Wilson Score Interval
- A statistically robust way to estimate a confidence interval around a proportion — like a win rate — computed from a limited number of trades. More reliable at small sample sizes and extreme percentages than the naive margin-of-error calculation most traders reach for. Read the full breakdown →
- Multiple Comparisons Problem
- The statistical risk of testing many hypotheses at once — such as reviewing performance across dozens of trade tags. The more categories you slice your results by, the more likely one of them shows an extreme result purely by chance, not because it's a real pattern. Read the full breakdown →
Mechanics & process
- Trading-Day Rollover
- The boundary used to group trades into a single “trading day.” For futures, that's the exchange's session boundary (17:00 CT for CME products) rather than calendar midnight, since futures trade nearly around the clock — bucketing by midnight instead produces wrong daily P&L, streaks, and calendar views. Read the full breakdown →
- FIFO Trade Matching
- Reconstructing closed trades from a list of individual fills by matching each exit against the earliest still-open entry, first-in-first-out. The standard, most defensible way to turn a raw fill-by-fill execution history into discrete trades when a position was built or closed across multiple fills. Read the full breakdown →
- Plan vs. Actual
- A structured journaling practice of recording a trade's plan (entry, stop, target, thesis) before or at entry, then comparing it against what actually happened at exit — used to separate “the plan didn't work” from “I didn't follow the plan,” which call for very different fixes.
- CME Trading Session
- One of six windows (Asia/Globex, London, Pre-market, NY AM, NY PM, Post-close) that a futures trade falls into, derived automatically from its entry time on the CME clock — no manual tagging needed. Splitting performance by session surfaces edges (or leaks) tied to time of day that a daily or weekly view can't show. Read the full breakdown →
- Suggested Daily Trade Cap
- The trade number, within a trading day, after which a trader's average P&L across all logged days turns negative — a data-derived overtrading signal, not a rule the software enforces. A cap of 4 means the 5th-and-later trades of a day have historically lost money on average, even if earlier trades that day were profitable.
- Tagging Coverage
- How many trades in the current filter view have a strategy tag attached, out of the total. Strategy-level analytics (net P&L, win rate, profit factor by strategy) only unlock once enough trades are tagged — untagged trades can't be attributed to a strategy, so they'd silently skew the numbers if included.
- Confluence (Tag)
- A label for one factor that lined up to justify a trade's entry — a technical signal, a level, a piece of context — tagged per trade in the trade drawer. Comparing average P&L across confluence tags shows which confirming factors a trader relies on actually correlate with better trades, versus ones that just feel important.
Put the terms to work
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