Five KPIs¶
One-liner: Verbal and closing tables only use CAGR, Calmar, win rate, max drawdown, and Sharpe. Don’t headline “total R”.
The five words (in plain language)¶
| KPI | Plain language |
|---|---|
| CAGR | If you follow this sentence, how fast does the account grow (or shrink) per year |
| Calmar | How fast it grows relative to how deep it hurts (CAGR ÷ drawdown depth) |
| Win rate | How often you are right — making money does not require a high win rate |
| Max drawdown | From the peak, how far did it worst-case fall |
| Sharpe | How smooth the returns are (how volatile) |
The denominator of “total R / Total R” changes with equity, and long-held fat tails get diluted — using it to compare strategies is easy to misread.
Wrong vs right¶
| Wrong | Right |
|---|---|
| “Total R = 120, very strong.” | Three windows each report CAGR / Calmar / win rate / MaxDD / Sharpe. |
How this repo uses it¶
Golden cross (BTC · 2h · local feature store; source README_CN):
| Window | CAGR | Calmar | Win rate | MaxDD | Sharpe |
|---|---|---|---|---|---|
| Bear 2022 | +3.7% | 1.51 | 38.3% | −2.4% | 0.15 |
| Bull 2023–2024 | +3.0% | 0.97 | 33.3% | −3.1% | 0.15 |
| Recent | −3.1% | −0.68 | 24.3% | −4.5% | −0.36 |