Performance Analysis

Analyze and improve your trading performance with QuantsEdge analytics tools.

Access: Dashboard → Performance

Key Performance Metrics

Metric	What It Measures	Good Range
Total Return	Overall % gain/loss	Positive, consistent
Win Rate	% of profitable trades	45-70%
Profit Factor	Wins / Losses ratio	>1.5
Sharpe Ratio	Risk-adjusted returns	>1.0
Max Drawdown	Largest peak-to-trough decline	<20%
Avg Win/Loss	Reward-to-risk ratio	>1.5:1

Understanding Metrics

Win Rate Context

High win rate (>70%): Mean reversion strategy Medium (50-60%): Balanced approach Low (<50%): Trend following, needs large winners Note: Win rate alone ≠ profitability!

Profit Factor

Formula: Total Wins / Total Losses >2.0: Excellent, 1.5-2.0: Good, 1.0-1.5: Acceptable, <1.0: Losing strategy

Sharpe Ratio

Formula: (Return - Risk-Free Rate) / Volatility >3.0: Exceptional, 2.0-3.0: Very good, 1.0-2.0: Good, <0.5: Poor

Higher Sharpe = Better risk-adjusted performance

### Maximum Drawdown

Peak: $15,000 Trough: $12,000 Drawdown: 20%

Acceptable levels: Conservative: <15% Moderate: 15-25% Aggressive: 25-40% Dangerous: >40%

## Profitable Combinations

**Strategy patterns that work:**

| Win Rate | Avg Win:Loss | Example |
|----------|--------------|---------|
| 60% | 1:1 | Mean reversion (many small wins) |
| 40% | 3:1 | Trend following (few large wins) |
| 70% | 0.7:1 | High-frequency (volume-based) |

**Key:** Balance win rate with reward-to-risk ratio

## Performance Charts

### Equity Curve

**Healthy curve:**
- Consistent upward trend
- Smooth progression
- Controlled drawdowns
- Quick recovery

**Warning signs:**
- Steep declines
- Extended sideways periods
- Erratic volatility
- Deepening drawdowns

### Drawdown Chart

**What to analyze:**
- Maximum depth (should be <20%)
- Recovery time (faster = better)
- Frequency (less frequent = better)
- Current status (in drawdown or recovered?)

### Monthly Returns Heatmap

    Jan   Feb   Mar   Apr

2024 +5% -2% +8% +3% 2023 +3% +7% -4% +9%

Analysis:

• Consistency across months

• Seasonal patterns

• Losing streaks

• Best/worst months

### Win/Loss Distribution

**Healthy distribution:**
- Large winners exist
- Small/medium losses
- No catastrophic losses
- Balanced spread

**Problem distribution:**
- All small wins
- Large outlier losses
- Winners cut short
- Losers run too long

## Trade-Level Analysis

**Per trade review (Performance → Trade History):**
- Entry/exit prices
- Position size
- Holding time
- P&L ($ and %)
- Fees paid
- Strategy used

### Entry/Exit Quality

**Analyze timing:**

| Aspect | Good | Bad |
|--------|------|-----|
| **Entry** | Minimal adverse move | Large drawdown immediately |
| **Exit** | Near optimal points | Premature or gave back profits |
| **Slippage** | <0.2% average | >0.5% average |

## Strategy Comparison

**Multi-strategy analysis:**

| Strategy | Return | Win Rate | Sharpe | Max DD |
|----------|--------|----------|--------|--------|
| Trend Following | +35% | 45% | 1.8 | 18% |
| Mean Reversion | +22% | 65% | 2.1 | 12% |
| Breakout | +18% | 38% | 1.4 | 25% |

**Insights:** Which strategies work best, diversification benefits, capital allocation decisions

## Improving Performance

### Common Issues & Fixes

| Issue | Cause | Solution |
|-------|-------|----------|
| **Low win rate** | Bad entries | Refine entry criteria, wait for confirmation |
| **Small winners** | Premature exits | Wider take profits, trailing stops |
| **Large losses** | No stop losses | Always use stops, cut losses quickly |
| **High drawdowns** | Over-leveraged | Reduce position sizes, lower leverage |
| **Inconsistent results** | No strategy | Stick to tested strategies, avoid revenge trading |

### Optimization Process

1. **Identify weakness** from metrics
2. **Review recent trades** for patterns
3. **Test adjustment** in paper trading
4. **Monitor results** for 2-3 weeks
5. **Implement if improved** or revert

## Performance Tracking

**Weekly review checklist:**
- [ ] Review equity curve trend
- [ ] Check win rate vs target
- [ ] Analyze largest losses
- [ ] Compare to backtest expectations
- [ ] Review slippage and fees
- [ ] Update strategy notes

**Monthly analysis:**
- Total return vs goal
- Best/worst trades
- Strategy performance comparison
- Portfolio allocation review
- Adjust underperforming strategies

## Advanced Analytics

### Risk-Adjusted Returns
**Sharpe Ratio Optimization:** Sharpe ratio (>1.0 target, >2.0 excellent), Sortino ratio (>1.5), Calmar ratio (>1.0), Information ratio (>0.5)

**Advanced Risk Metrics:** Value at Risk (VaR), Conditional VaR (CVaR), Maximum drawdown, Drawdown duration

### Portfolio Analytics
**Portfolio Metrics:** Total portfolio return, volatility analysis, correlation analysis, beta analysis, asset allocation, performance attribution, risk contribution, concentration risk

### Market Regime Analysis
**Regime Performance:** Bull/bear/sideways/high volatility market performance analysis, AI-powered regime detection, strategy switching, parameter optimization, risk adjustment

## AI-Enhanced Analytics

**Machine Learning Insights:** Performance prediction, risk forecasting, drawdown prediction, volatility forecasting, parameter optimization, strategy selection, portfolio optimization

**Advanced Visualization:** Equity curves, rolling returns, risk-return scatter, drawdown analysis, real-time metrics, interactive charts, custom dashboards, export capabilities

## Benchmarking

**Compare against:** BTC/ETH buy-and-hold, backtest expectations, previous months, risk-free rate, market indices

**Performance goals:** Beat buy-and-hold after fees, meet backtest expectations (80%+), positive Sharpe ratio (>1.0), controlled drawdowns (<15%), consistent monthly returns

**Professional-grade analytics:** Advanced performance analysis provides the insights needed for institutional-quality trading decisions and continuous improvement.

**Related:** [AI-Powered Features](ai-powered-features.md) | [Strategy Optimization](strategy-optimization.md) | [Risk Management](../risk-management.md) | [Portfolio Management](../portfolio-management.md)