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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