Metrics and review
The Überblick and Prüfung tabs, meaning the metrics with their bands, the Pardo criteria and the Stability Check based on CSCV.
Überblick (overview)
The overview tab first shows what matters: net profit, max drawdown and win rate.
Below that sit three gauges:
- Sharpe, annualised from the daily returns on days with trading. The ± next to it is its standard error.
- Profit factor, gross profit divided by gross loss.
- Expectancy, the average result per trade.
Each gauge carries a band as its outer arc. The band contains the true value in as many out of 100 repetitions of the measurement as stated next to it. If its lower edge sits close to a threshold, the gauge shows knapp (tight): whether the value really is above the threshold is then uncertain, and more trades would settle it.
A row below shows:
- PSR, the probability that the true Sharpe is above zero,
- DSR, the same probability, adjusted for how many versions of the strategy were tested,
- Sortino, like Sharpe but using only downside volatility.
With the correction switched on, PSR and DSR account for good and bad days coming in clusters (Newey-West). Without it, every day counts as independent.
Further down follow the curve and the drawdown, optionally with a line after costs, the result per trade with the shape of the daily returns, and the list of trades. Gains are shown in gold and losses in blue, always with their sign.
Prüfung (review)
The review tab asks whether the edge is real or merely fitted to this one history.
The review report
At the top are two frequencies per 1,000:
- how many splits of the trades produced a positive Sharpe outside the sample,
- how many draws from the period before the split earned no more than the period after it.
Below them are the six Pardo criteria. Each compares a value before the split with the same value after it: Sharpe, profit factor, result per trade, win rate, max drawdown and trades per year. Each gauge has three levels and is oriented so that right is always better.
Stability Check based on CSCV
CSCV stands for Combinatorially Symmetric Cross-Validation. The trades are divided into equally sized sections. For every way of taking half of them as in-sample, QuantDesk measures the Sharpe on the other half. With 16 sections that makes 12,870 splits.
- The Stability Score is 1 minus the spread of the Sharpe relative to its mean. QuantDesk calls a strategy stable from 0.60.
- The curve with zones shows equity across all trades, divided into the sections. Gold marks a section whose Sharpe is not negative, blue one with a negative Sharpe.
- The distribution of the Sharpe outside the sample shows median, range, the value that 950 of 1,000 splits exceed, and how much of the typical Sharpe survives in the worst 50 of 1,000 splits.
A high value in the review means the strategy performed similarly across many splits. It does not mean it will perform that way in future.
Using the page
Hovering over or tapping a tile explains it in one sentence; a click keeps the explanation open. Behind every question mark you find how a value is calculated.