Metrics explained

FireForge includes a range of metrics to provide detailed insights into strategy performance. Below is a complete list of metrics:

Strategy Name

• Name of the strategy configuration.

VIX Low / VIX High

• The optimal VIX range for the strategy where it achieves the highest CEM.

Custom VIX Low / Custom VIX High:

• The optimal custom VIX range for the strategy.

R²

• Coefficient of determination, indicating the proportion of variance in the dependent variable predictable from the independent variable.

SPX Correlation

• Correlation between the strategy’s returns and SPX, showing market sensitivity.

VIX Correlation

• Correlation between the strategy’s returns and VIX, showing volatility sensitivity.

MC Avg ann. Ret. (% of MC Cap.)

• Monte Carlo-based average annualized return as a percentage of Monte Carlo capital.

• This assumes that the entry criteria are present on every potential entry day during a trading year (252 trading days). This can lead to very high values for niche strategies in particular.

• If your selector is VIX, you can multiply by Share of VIX Values covered to arrive at the expected annual relative return, considering presence of entry conditions.

Trades

• Total number of trades made by the strategy over the testing period.

Average BPR in $

• Average Buying Power Requirement in dollars.

Avg. Return EOD (% of BPR)

• Average end-of-day return as a percentage of Buying Power Requirement.

Compoundability

• Indicates if returns compound effectively based on the strategy’s design.

Coefficient of Variance

• Risk relative to return, useful for volatility-adjusted performance analysis.

Kurtosis

• Measure of return distribution shape; high kurtosis indicates fat tails, implying extreme values.

Skewness

• Measure of asymmetry in the return distribution.

Peak in % of BPR

• Maximum peak reached as a percentage of Buying Power Requirement.

Rags to Riches Index

• Custom metric indicating the ratio of profitable to unprofitable outcomes.

Required Capital in $

• Minimum capital needed to maintain the strategy without risk of ruin.

Risk-of-Ruin Weight

• Calculated from Monte Carlo simulations, with higher values indicating lower ruin risk.

Through

• Reference date or period end in the backtesting period.

Time invested %

• Percentage of time capital was actively invested in the strategy.

Winrate

• Percentage of trades that were profitable.

Share of VIX Values covered

• Percentage of VIX range covered by the strategy.

Standard Deviation EOD

• Standard deviation of end-of-day returns.

Sortino Ratio

• Risk-adjusted performance metric that penalizes downside volatility.

Sessions invested %

• Percentage of trading sessions where the strategy was active.

Return on BPR in %

• Cumulative return as a percentage of Buying Power Requirement.

Absolute Return in $

• Total absolute return in dollars.

MC Risk-of-Ruin %

• Monte Carlo-based probability of capital loss.

Max Gain (% of BPR)

• Maximum gain as a percentage of BPR.

Max Drawdown %

• Maximum drawdown as a percentage.

Max Drawdown $

• Maximum drawdown in dollars.

Max BPR in $

• Maximum Buying Power Requirement in dollars.

Max Loss (% of BPR)

• Maximum loss as a percentage of BPR.

Max Loss $

• Maximum loss in dollars.

Median Return EOD (% of BPR)

• Median end-of-day return as a percentage of BPR.

Median BPR in $

• Median Buying Power Requirement in dollars.