Advanced Statistics
The Statistics sub-tab of Performance → Metrics: the highest level of detail. Complements the standard analysis with advanced ratios, distributions, and a full per-symbol table.
The essentials
- Metrics like Calmar ratio, Omega ratio, Sortino ratio, and Expected Shortfall.
- Equity curve with moving average and customizable benchmarks.
- P&L distribution by session with win rate broken down by Asia, Frankfurt, London, and New York.
Available advanced ratios
- Calmar ratio
- Annualized return divided by max drawdown. >1 means the account earns more than its worst drawdown.
- Sortino ratio
- Like Sharpe, but only penalizes downside volatility (losses). More relevant for traders focused on controlling drawdowns.
- Omega ratio
- Ratio between probability of gaining and losing. >1 is positive, >2 is very good.
- Expected Shortfall (CVaR)
- Expected loss in the worst 5% of trades. More conservative than classic Value at Risk.
Tips
- Statistics are calculated on the period and account selected in the top filter.
- If ratios look extreme, check you have enough trades — with fewer than 30 trades, statistical ratios are not representative.
Related
Drawdown and Recovery factor
Drawdown is what can kill you (literally, in propfirms). Recovery factor tells you whether the reward compensates.
Sharpe and average R:R
Sharpe tells you whether your returns compensate the volatility. R:R tells you whether your system needs to hit a lot or a little to be profitable.
Day × session heatmap
Visual matrix crossing day of week with market session. Each cell shows net P&L traded at that intersection.
Advanced Analytics Pro
Advanced Analytics Pro — the "Avanzado Pro" tab of the Performance hub — models your system with Monte Carlo simulations (500 runs), computes the real Kelly Criterion and estimates Risk of Ruin from your actual trades.