What every number in Performance Metrics means
Performance Metrics turns your backtest into a table of return, drawdown, volatility, worst-day and monthly figures; here is each row, in the order the app shows it, with its convention.
Steps
- Open Performance Metrics. Open the strategy, go to Analysis and select Performance Metrics. With no completed backtest the tab reads "No results yet" — "Backtest this strategy to generate its metrics."; select Backtest and the table fills in when the run finishes.
- Read Performance: how much, and how fast. Total return (%) is the gain or loss from the first simulated day to the last (total return); Years counts calendar years to decimal months. CAGR is the compound annual growth rate,
(1 + total return) ^ (1 / years) − 1(CAGR); AAGR, the arithmetic one,total return ÷ years, takes the same row while Reinvest profits is off (AAGR). - Read Drawdown: how far it fell, and how long it took to come back. Max drawdown is the largest peak-to-trough decline of the capital curve (drawdown). Return-to-drawdown ratio is
return ÷ |max drawdown|, the figure the heatmap labels NP/DD (return-to-drawdown ratio). Longest drawdown (months) is the longest stretch below a prior peak, Longest recovery (months) the longest climb back to one (longest drawdown, longest recovery). - Read Volatility and risk: how bumpy, against a risk-free baseline. Volatility is the annualized standard deviation of returns (volatility); Semideviation (downside only) is the same measure on the losing days alone (semideviation); Risk-free rate is the period average of a real short-term reference rate (risk-free rate). Sharpe is
(annualized return − risk-free rate) ÷ annualized volatility, with CAGR or AAGR as the return (Sharpe ratio). - Read Worst days · 95%: the bad days. The three rows are daily losses written as positive numbers — "2.1%" is a 2.1% loss in one day. Daily VaR · historical is where the worst 5% of days begin, Daily VaR · Gaussian the same threshold if returns were normal, and Daily CVaR · historical the average loss across those days.
- Read Monthly performance and Averages. Positive months (%) is the share of months that ended with a positive return (positive months); Best month and Worst month are the extremes (best month and worst month). Monthly average and Yearly average are plain averages of the monthly and annual return series (monthly and yearly average).
Done. You can read every row of the table, on every plan, beside the growth chart that draws the strategy against its benchmark — and, on a strategy with an active risk condition, the band that shows when it ran Risk-On and when Risk-Off (regime timeline).
What do the worst-days rows show?
They report how much the strategy lost on the 5% of trading days with the worst returns. Daily VaR · historical is the value at risk at 95%, read straight off the backtest: on 95% of days the strategy lost less than this. Daily VaR · Gaussian is the same threshold computed as if daily returns followed a normal distribution with the backtest's own average and volatility: , where is the daily volatility, the average daily return, and 1.645 the number of standard deviations that leaves 5% of a normal distribution below it (value at risk). Daily CVaR · historical — expected shortfall — is the average loss across those days, never smaller than the historical VaR (conditional value at risk).
Read the two VaRs side by side: when the historical one is clearly larger than the Gaussian one, the strategy's bad days were worse than a normal distribution expects — its losses have fat tails, and the Gaussian figure understates them. A backtest with only a few hundred days rests its worst 5% on a handful of days, so these rows are rougher on a short history.
How are these numbers annualized?
Every annualized figure on this page shares one basis: Fincanva scales volatility with the √252 trading-day convention and measures years as geometric calendar years carried to decimal months. Every value is stored as a fraction (for example 0.153) and formatted for display as a percentage ("15.3%"), while ratio rows such as Sharpe and Return-to-drawdown ratio are plain numbers. The risk-free baseline is a real, period-matched market series rather than a fixed value — except for months outside that series, where a flat 2% a year stands in.
Which metrics live in other views?
Some figures sit on other analysis surfaces rather than the main metrics table. On a Combined, the Sub-strategies tab's Each sub-strategy, against the Combined block adds a Sortino ratio, tracking error and information ratio for each of its strategies, and the same tab opens with contribution analytics, which splits the Combined's return, volatility, Sharpe and daily VaR among them. The start-date sensitivity view reports average pain. The stress test on the Robustness tab recomputes the daily VaR and CVaR under a scenario, and backtest reliability shows how much the return, the Sharpe and the maximum drawdown could have varied. Two textbook measures are worth knowing though Performance Metrics does not display them: beta, which appears in the Beta neutral allocation method rather than as a metric, and alpha. The Fincanva score summarises overall quality.
Why does a row read n/a, or AAGR instead of CAGR?
AAGR instead of CAGR: Reinvest profits is off in the tab's Simulation assumptions. The two share one row, and AAGR takes it while reinvesting is off — switch Reinvest profits on to read CAGR. The same switch decides which of the two the Sharpe row uses.
n/a: the simulation was computed before the worst-days rows and Semideviation existed, and it does not carry them. A value that could not be computed reads "n/a", never 0% — a 0% loss would claim a safety the figure does not show. When all four read "n/a" on a strategy you can run, a notice above the table says "Some metrics can't be computed for this simulation. If it ran before this update, rerun it to get them." with a Rerun button; press it, and the rows fill in when the new backtest finishes.
UPDATED 2026-10-11REVIEWED 2026-10-06