[{"data":1,"prerenderedAt":4941},["ShallowReactive",2],{"wrun-open-editor-url":3,"indicators:strategies/stats-reference":4},"https://openmarket.xyz/chart/#wrun-open=v1",{"slug":5,"filePath":6,"frontmatter":7,"rawMarkdown":12,"tree":13},"strategies/stats-reference","strategies/stats-reference.md",{"title":8,"description":9,"order":10,"section":11},"Stats reference","Every performance stat a strategy run computes, its exact formula, its edge cases, and where the Strategy Tester shows it. The stats come from the engine's own…",127,"strategies","---\ntitle: \"Stats reference\"\ndescription: \"Every performance stat a strategy run computes, its exact formula, its edge cases, and where the Strategy Tester shows it. The stats come from the engine's own…\"\norder: 127\nsection: \"strategies\"\n---\n\n\u003C!-- source: docs/indicators/strategies/stats-reference.md; generated by packages/cli/scripts/gen-indicator-docs.ts, do not edit -->\n\n# Stats reference\n\nEvery performance stat a strategy run computes, its exact formula, its edge cases, and where the Strategy Tester shows it. The stats come from the engine's own statistics module, and the Tester reads them from the run's result. Percent-scaled fields end in `Pct` and are already multiplied by 100. One run's stats record:\n\n```json\n{\n  \"netProfit\": 123.4,\n  \"netProfitPct\": 1.234,\n  \"grossProfit\": 310.2,\n  \"grossLoss\": 186.8,\n  \"profitFactor\": 1.66,\n  \"totalTrades\": 12,\n  \"winTrades\": 7,\n  \"lossTrades\": 5,\n  \"winRatePct\": 58.33,\n  \"avgTrade\": 10.28,\n  \"avgWin\": 44.31,\n  \"avgLoss\": 37.36,\n  \"payoffRatio\": 1.19,\n  \"largestWin\": 96.1,\n  \"largestLoss\": 61.5,\n  \"avgBarsInTrade\": 9.4,\n  \"maxDrawdown\": 402.6,\n  \"maxDrawdownPct\": 3.98,\n  \"maxRunup\": 640.2,\n  \"sharpe\": 0.91,\n  \"sortino\": 1.4,\n  \"exposurePct\": 22.1,\n  \"buyHoldReturnPct\": 4.1,\n  \"feesPaid\": 32.1,\n  \"makerFeesPaid\": 0,\n  \"takerFeesPaid\": 0,\n  \"fundingPaid\": 0,\n  \"fundingEventsApplied\": 0,\n  \"fundingUnavailableCount\": 0,\n  \"liquidationCount\": 0,\n  \"liquidationHalted\": false,\n  \"bankruptcyDeficit\": 0,\n  \"rejectedOrders\": 1,\n  \"ambiguousFillCount\": 0,\n  \"fineResolvedCount\": 0,\n  \"fineFillCoveragePct\": null,\n  \"fillResolutionByLane\": {},\n  \"bookSlippageFillCount\": 0,\n  \"bookSlippageUnavailableCount\": 0,\n  \"bookSlippageAvgBps\": null,\n  \"long\": { \"netProfit\": 123.4, \"totalTrades\": 12, \"winRatePct\": 58.33 },\n  \"short\": { \"netProfit\": 0, \"totalTrades\": 0, \"winRatePct\": 0 }\n}\n```\n\n## Returns\n\n\u003C!-- wrun:cards group=\"stats\" -->\n| Stat | Definition |\n| --- | --- |\n| `netProfit` | Sum over closed trades of `pnl - fees` (a trade record's `pnl` is the price move, its `fees` the trade's total). `netProfitPct` is relative to `initialCapital`. |\n| `grossProfit` / `grossLoss` | Sum of winning trades' net results and the absolute sum of losing trades'. |\n| `profitFactor` | `grossProfit / grossLoss`; `null` when there are no losses. |\n| `buyHoldReturnPct` | `(lastConfirmedClose / firstTradableClose - 1) * 100` over the run's confirmed bars: what doing nothing would have returned. The Performance tab's **Buy & hold return** is this number. |\n\nIn the Tester: **Net profit** (with `netProfitPct`) and **Profit factor** sit in the Overview's stats column, and the Performance tab's **Returns** group shows Net profit, **Gross profit / loss** and Buy & hold return.\n\n## Trades\n\n\u003C!-- wrun:cards group=\"stats\" -->\n| Stat | Definition |\n| --- | --- |\n| `totalTrades`, `winTrades`, `lossTrades` | Closed trades and the split; `winRatePct` is `winTrades / totalTrades * 100`. |\n| `avgTrade`, `avgWin`, `avgLoss` | Mean net result per closed trade, per winner, per loser (`avgLoss` is a magnitude). |\n| `payoffRatio` | `avgWin / avgLoss`; `null` when there are no losers. Read it with the win rate: 40% winners at a 3.0 payoff is profitable, 70% at 0.3 is not. |\n| `largestWin`, `largestLoss` | The single best and worst closed trades. If `largestWin` dominates `netProfit`, one trade made the backtest. |\n| `avgBarsInTrade` | Mean holding time in bars (`exitBar - entryBar`). |\n| `rejectedOrders` | Orders the broker refused and counted: the pyramiding cap, conflicting or missing legs, a size the equity could not fund, a non-finite or unconfirmed bar (a live chart's forming bar included); on perps also insufficient margin and post-halt entries. |\n\nIn the Tester: the Overview's **Win rate** is `winRatePct` and the Performance tab's **Avg trade / payoff** is `avgTrade` and `payoffRatio`. The trade counts in both tabs are counted from the trade list (the Overview's **Trades** includes a trade still open), and the **Long vs short** and **P&L distribution** cards (largest win and loss, best and worst streaks) are worked out from the closed trades.\n\n## Risk\n\n\u003C!-- wrun:cards group=\"stats\" -->\n| Stat | Definition |\n| --- | --- |\n| `maxDrawdown` | Largest peak-to-trough equity decline over the run, in money; `maxDrawdownPct` is relative to the peak it fell from. The per-bar `drawdown` series is the money distance from the running peak. |\n| `maxRunup` | Mirror of drawdown: the largest trough-to-peak climb. |\n| `sharpe` | `mean(r) / sampleStd(r) * sqrt(barsPerYear)` over per-bar equity returns on confirmed bars, `barsPerYear = 31,536,000,000 / intervalMs`; zero with no variance. Annualized from the run's interval, so compare across runs at the same interval. |\n| `sortino` | Sharpe with the downside deviation (returns below zero) in the denominator. |\n| `exposurePct` | Bars with a nonzero position over all confirmed bars, times 100. |\n\nIn the Tester: **Max drawdown** (`maxDrawdownPct` and `maxDrawdown`) and **Sharpe** sit in the Overview, where the equity curve's **DD** lane is the drawdown bar by bar and **Trades** carries the exposure; the Performance tab's **Risk** group shows Max drawdown, **Max runup** and **Exposure**, and **Sharpe / Sortino** sits under Returns.\n\n## Costs\n\n\u003C!-- wrun:cards group=\"stats\" -->\n| Stat | Definition |\n| --- | --- |\n| `feesPaid` | Total fees across all fills, already subtracted from equity and `netProfit` (funding excluded). Spot: `commissionPercent` of each fill's notional. Perps: exactly `makerFeesPaid + takerFeesPaid`. |\n| `makerFeesPaid` / `takerFeesPaid` | Perps fees by fill class; both `0` on spot even with rates declared. |\n| `fundingPaid` | Net funding settled against open perps positions, signed from the strategy's side; `0` under `funding: \"off\"`, on spot, and on the chart, which attaches no funding data to a strategy run. |\n| `fundingEventsApplied` | Settlements applied to an open position. |\n| `fundingUnavailableCount` | Bars an open perps position had no covering funding data under `funding: \"data\"`: on the chart every such bar. The disclosure counter; no rate is ever invented. |\n\nSlippage is not a separate stat line: it is priced into every fill.\n\nIn the Tester: the Performance tab's **Trades** group carries **Fees paid**, and on perps **Maker fees paid**, **Taker fees paid**, and **Funding paid** (or **Funding received** when the strategy was paid); **Run details** show `fundingUnavailableCount` as \"Funding data did not cover N bars\".\n\n## Perps\n\n\u003C!-- wrun:cards group=\"stats\" -->\n| Stat | Definition |\n| --- | --- |\n| `liquidationCount` | Trades force-closed by the broker's liquidation stop; those trades carry `exitReason: \"liquidation\"`. One liquidation can close several open trade records in the same net position. |\n| `liquidationHalted` | `true` when `onLiquidation: \"halt\"` stopped the run at the first liquidation; every subsequent entry counts as rejected. |\n| `bankruptcyDeficit` | The shortfall a liquidation fill left beyond the position's committed margin: how far equity would have gone below zero before the floor. |\n\nPerps runs also add `committedMarginSeries` and `fundingPaidSeries` beside the stats; both are omitted on spot.\n\nIn the Tester: a liquidated trade reads **Liquidated** under **Exit via**, and the Overview says when and at what price the first liquidation happened, how many there were, and whether the strategy continued or halted. Its **Margin** chart draws `committedMarginSeries`, and its **Funding** chart draws `fundingPaidSeries` with the sign flipped, so paying walks down.\n\n## Long and short splits\n\n`long` and `short` carry `netProfit`, `totalTrades` and `winRatePct` per direction. A \"market-neutral\" idea whose entire profit sits in `long` during a bull window is a long-only idea with extra steps.\n\n## Simulation-quality stats\n\nThese describe how the result was produced, not how the strategy performed:\n\n\u003C!-- wrun:cards group=\"stats\" -->\n| Stat | Definition |\n| --- | --- |\n| `ambiguousFillCount` | Intrabar ordering decisions settled by the declared `fillModel` rather than data; see [fill simulation](fill-simulation.md). |\n| `fineResolvedCount`, `fineFillCoveragePct`, `fillResolutionByLane` | Ordering questions settled by walking finer bars. The chart attaches no finer-interval data to a strategy run, so `fineResolvedCount` is `0` and `fillResolutionByLane` is `{}`; `fineFillCoveragePct` is `null` while no fill was contested and `0` once one was. |\n| `bookSlippageFillCount`, `bookSlippageUnavailableCount`, `bookSlippageAvgBps` | The book-estimate slippage model's counters: `0`, `0` and `null`, because the chart refuses that model by name. |\n\nIn the Tester: `ambiguousFillCount` is **Model-settled fills** in the Performance tab, with a **± fill** badge on each such trade, and the fine-fill fields become the **Run details** precision line: \"Fill precision: exact\" while `fineFillCoveragePct` is `null`, \"Fill precision: bar resolution\" once a contested fill was settled by the model.\n\n## Equity accounting, precisely\n\nEquity on every bar `i` is cash plus the open position marked at `close[i]`, fees already paid, recorded on flat bars too. Per-bar returns for Sharpe and Sortino are `r_i = equity_i / equity_{i-1} - 1` over confirmed bars with positive prior equity. On a live chart the forming bar is marked, never filled, so pending-order and stat values can shift once between the first render and the first live update, and settle when the bar confirms; [fill simulation](fill-simulation.md#the-newest-bar) says which bars count as confirmed.\n",{"type":14,"children":15,"data":4935,"position":4937},"root",[16,26,29,30,68,69,1095,1096,1114,1115,1124,1126,1566,1567,1689,1690,1705,1706,1713,1715,2201,2202,2382,2383,2398,2399,2406,2408,2730,2731,2956,2957,2973,2974,2981,2982,3378,3379,3393,3394,3573,3574,3588,3589,3595,3597,3821,3822,3871,3872,4009,4010,4025,4026,4136,4137,4151,4152,4165,4166,4172,4173,4693,4694,4825,4826,4841,4842],{"type":17,"value":18,"position":19},"comment"," source: docs/indicators/strategies/stats-reference.md; generated by packages/cli/scripts/gen-indicator-docs.ts, do not edit ",{"start":20,"end":23},{"line":21,"column":21,"offset":22},1,0,{"line":21,"column":24,"offset":25},133,132,{"type":27,"value":28},"text","\n",{"type":27,"value":28},{"type":31,"tagName":32,"properties":33,"children":34,"position":65},"element","p",{},[35,44,58],{"type":27,"value":36,"position":37},"Every performance stat a strategy run computes, its exact formula, its edge cases, and where the Strategy Tester shows it. The stats come from the engine's own statistics module, and the Tester reads them from the run's result. Percent-scaled fields end in ",{"start":38,"end":41},{"line":39,"column":21,"offset":40},5,153,{"line":39,"column":42,"offset":43},258,410,{"type":31,"tagName":45,"properties":46,"children":47,"position":55},"code",{},[48],{"type":27,"value":49,"position":50},"Pct",{"start":51,"end":52},{"line":39,"column":42,"offset":43},{"line":39,"column":53,"offset":54},263,415,{"start":56,"end":57},{"line":39,"column":42,"offset":43},{"line":39,"column":53,"offset":54},{"type":27,"value":59,"position":60}," and are already multiplied by 100. 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