Understanding Your Backtest Report: 15 Metrics Explained
Win rate is not enough. A complete guide to reading every number on your AlgoPulse backtest report and what it really says about a strategy.
Every AlgoPulse strategy comes with a 3-year backtest report. The numbers can look intimidating, here's what each one actually means and which ones you should weight most heavily.
Core performance metrics
Net PnL
Total profit after fees and slippage. This is the real number, what you'd actually have in your account. Gross PnL before fees is misleading because crypto fees compound quickly on high-frequency strategies.
ROI %
(Final equity − Initial capital) / Initial capital × 100. Tells you the total return over the entire backtest period, but doesn't account for how risky the journey was.
Win Rate
Percentage of trades that closed profitable. A 40% win rate with 2:1 reward:risk is better than a 70% win rate with 1:3, don't look at this in isolation.
Profit Factor
Gross profit ÷ Gross loss. 1.0 = break-even. 1.5+ is decent. 2.0+ is strong. Below 1.2 and you're one bad streak from negative.
Risk metrics (read these carefully)
Max Drawdown
The largest peak-to-trough equity drop during the backtest. Shown as both $ and %. If max DD is 40%, your account fell to 60% of its previous high at some point. Can you sit through that without pulling the plug? If not, the strategy is too aggressive for you.
MDD Recovery Days
How many days it took to recover the max drawdown back to the prior peak. Fast recovery (<30 days) = resilient strategy. Slow recovery (>90 days) = you'll spend a lot of time underwater.
Sharpe Ratio
Return per unit of risk. Above 1 = decent. Above 2 = excellent. Above 3 = suspiciously good (probably overfit to backtest data).
Trade-level metrics
- Avg Win / Avg Loss, ratio tells you about reward:risk symmetry
- Best Trade / Worst Trade, outlier detection, are results driven by one lucky trade?
- Avg Days Winning / Losing, how long your money is tied up per trade
- Account Blowouts, times equity hit ≤1% of initial (would you have quit?)
- Account Doubles, times equity crossed 2× initial (winners you'd have taken off?)
What to weight most
- Max Drawdown, can you emotionally survive this?
- Profit Factor, is the math even positive?
- MDD Recovery Days, how long underwater?
- Sharpe Ratio, risk-adjusted return
- Win Rate × Avg W:L, actual expectancy
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