Private performance review: return and R-multiple rows stay in this browser. BestProps does not upload them. Saving is optional, and Clear all removes saved inputs.
Import and assumptions
Analyze periodic returns or closed-trade R results
Results
Risk-adjusted performance comparison
Formula contract and limitations
- Sharpe uses the arithmetic mean of periodic differential returns divided by their sample standard deviation. The period ratio is primary. The optional annualized figure multiplies it by the square root of periods per year and assumes independent returns.
- Sortino uses arithmetic mean return minus the periodic minimum acceptable return, divided by downside deviation across all observations. It is not automatically annualized.
- Gain-to-pain compounds dated observations into calendar months, then divides the sum of monthly returns by the absolute sum of negative monthly returns.
- Only supplied observations are analyzed. Missing calendar periods are not filled with zero returns.
- Recovery factor is compounded return divided by maximum close-to-close drawdown. It does not measure intratrade or open-equity drawdown.
- Win-rate uncertainty uses a 95% Wilson interval. A net result above zero is a win; exact zero and negative results are non-wins for the interval.
- Break-even win rate uses average net win and average net loss magnitude. Denominator-zero cases display N/A, never infinity.
- SQN is omitted from v1 because a complete authoritative public calculation and naming contract was not available.
