# 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.


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