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Metrics Glossary

Quick definitions for metrics shown across Quantly.

Return metrics

Section titled “Return metrics”
Metric Definition
Total return Percentage gain or loss over the selected period
CAGR Compound annual growth rate
Annualized return Return scaled to a one-year rate
Alpha Excess return vs benchmark
Beta Sensitivity to benchmark movements

Risk metrics

Section titled “Risk metrics”
Metric Definition
Volatility Standard deviation of returns (usually annualized)
Max drawdown (Max DD) Largest peak-to-trough equity decline
Sharpe ratio Risk-adjusted return using total volatility
Sortino ratio Risk-adjusted return using downside volatility only

Trading metrics

Section titled “Trading metrics”
Metric Definition
Win rate Share of trades with positive P&L
Profit factor Gross profits divided by gross losses
Total trades Number of round-trip trades
Average trade Mean profit or loss per trade
Average holding period Typical time positions are held

Portfolio metrics

Section titled “Portfolio metrics”
Metric Definition
Managed capital Capital allocated to strategies through Quantly
Cash remainder Uninvested cash held within a strategy
Today’s change Session P&L for the current or last trading session
Available cash Brokerage cash available for new investments
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