Metric Glossary

MAE (Maximum Adverse Excursion)

How far a trade moved against you at its worst point before you closed it.

MFE (Maximum Favorable Excursion)

How far a trade moved in your favour at its peak before you closed it.

Captured %

What percentage of the trade’s maximum favourable move you actually kept.

Left on Table

The dollar amount of favourable movement you did not capture.

Management Effect

The difference between what you actually made and what you could have made based on your entries.

Actual vs Potential Performance

Compares what you actually made to what you would have made exiting at the optimal point.

Entry Efficiency

How close your entry was to the best possible entry price during the trade.

Exit Efficiency

How close your exit was to the best possible exit price during the trade.

R-Value / R-Distribution

A standardised way of measuring trade outcomes relative to your initial risk.

Standard Deviation (R-Distribution)

How spread out your R-multiples are from the average.

Sharpe Ratio

Measures return relative to total volatility (risk).

Sortino Ratio

Like Sharpe, but only penalises downside volatility (losses).

Profit Factor

Total gross winning dollars divided by total gross losing dollars.

Expectancy

The average amount you expect to make per trade over time.

Drawdown

The decline from a peak in your cumulative P&L to the subsequent lowest point.

Rolling Win Rate

Your win rate calculated over a moving window of recent trades rather than all-time.

Effective Multiplier

The true dollar-per-price-unit for a trade, reverse-engineered from actual P&L.

Tilt / Behavioural Analysis

A self-assessed rating you assign to trades based on your execution or mental state.