A return means little without knowing what it took to get there. Drawdown, losing streaks, risk-adjusted return and position sizing are how we measure that.
Totals hide the hard parts. Every report marks the deepest drawdown and the longest losing run, so you know what living with the strategy feels like.
Illustrative demo strategy: 513 trades over 5 years at 0.5% risk per trade. Every report marks where its risk actually showed up, not just the totals.
The largest peak-to-trough decline observed, a core measure of downside risk.
How often trades succeed, and gross profit relative to gross loss.
Risk-adjusted return measures accounting for volatility and downside deviation.
How capital is allocated per trade and what limits exposure during drawdowns.
The probability of losing enough capital that recovery becomes impractical, given position sizing and win rate.
Limiting concentrated exposure across correlated instruments so one move doesn't hit every position at once.
The same demo strategy's 60 monthly results. Expect losing months: they're part of a strategy that works.
Illustrative demo strategy: 60 months. 17 were losing months; the worst was -3.4%, the best +5.8%, the average +0.99%. Losing months are normal even for a profitable strategy.
Maximum drawdown: the deepest fall from a peak. It's the pain you must sit through without abandoning the strategy, and it decides how much you can safely risk per trade.
Above 1 is decent for a trading strategy, above 2 is rare. It only tells part of the story, so we always show it next to drawdown and losing streaks.
The chance of losing so much that recovery becomes impractical. It rises fast with bigger risk per trade and longer losing streaks.
Send us your backtest or strategy rules and we'll help you quantify the risk properly.
