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Key metrics explained

All metrics follow institutional-grade metric conventions for precise, consistent results.

Net P/L

Total closed profit or loss in account currency, net of all commissions and swaps. The starting point for every other metric.

Profit Factor

Gross profit divided by gross loss (absolute value). A value above 1.0 means the strategy made more than it lost. 1.5+ is generally considered solid; below 1.0 is a net loser.

Sharpe Ratio

A per-trade risk-adjusted return measure. Computed as the mean of individual trade returns divided by their standard deviation, then scaled to an annual figure. Higher is better; values above 1.0 are generally considered acceptable.

Max Drawdown %

The largest peak-to-trough decline in the equity curve, expressed as a percentage of the peak equity at the time of the drawdown. Lower is better. Measures the worst historical loss streak you would have endured.

SQN (System Quality Number)

System Quality Number — a measure of the consistency of trade returns, computed on R-multiples (each trade's return relative to the average initial risk). Scores above 2.0 indicate a tradeable system; above 3.0 is considered excellent.

Win Rate

Percentage of closed trades that finished with a profit. A high win rate alone is not enough — it must be combined with a favorable risk/reward ratio to be meaningful.

CAGR

Compound Annual Growth Rate — the annualized return percentage that would produce the same total return over the backtest period. Useful for comparing strategies of different lengths.

Expectancy

Average profit or loss per trade in account currency, taking both winners and losers into account. Positive expectancy is required for a strategy to be profitable over time.

FAQ

Is my data uploaded anywhere?

No. MT5 HTML report parsing and all statistical computations run entirely client-side in a Web Worker inside your browser. Your backtest data never leaves your machine unless you explicitly publish via Sharing. Optional CSV parsing is also done locally and is neither logged nor retained.

Which report formats are supported?

MetaTrader 5 Strategy Tester HTML reports (the .htm / .html file you export from the MT5 tester). MT4 reports and generic broker statements are not currently supported.

Why doesn't a metric match my broker or another analysis tool exactly?

StrategyLens uses precise institutional metric conventions, which may differ slightly from your broker's native report or other tools. Common sources of divergence include rounding conventions (intermediate values are rounded to 2 decimal places in several formulas), different definitions of peak for drawdown, and how commissions and swaps are applied to percentage P/L. If a specific metric consistently diverges, please contact support with a sample report.

Does StrategyLens give financial advice?

No. StrategyLens is a research and analytics tool. All outputs — equity curves, statistics, drawdown metrics — are intended for your own evaluation of historical backtest data only. Past performance is not indicative of future results. All trading decisions are your own responsibility. See the Terms & disclaimer.

Do prop firm or broker links earn StrategyLens a commission?

Some links to prop trading firms, brokers, or related services surfaced in StrategyLens — including those shown in the prop-firm checker — may be affiliate or referral links through which INFINITYDEV, S.L. receives compensation (referral fees, rebates, or similar). This is disclosed in full in Section 7 of the Terms of Use. StrategyLens does not promote or recommend any specific prop firm or broker. Any sorting or filtering of prop firms is derived exclusively from your own backtest and report data — not from affiliate priority or commercial agreements. The information is presented impartially and as-is for your own evaluation.

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