Stats Reference

Since engine 3.0.61; verified against engine 3.0.61. Every example on this page is an executed probe against that build.

Every number below is computed by the engine with a locked formula (pinned by tests, byte-identical across reruns) and delivered on the run result under output.strategy.stats. Percent-scaled fields end in Pct and are already multiplied by 100.

Returns

Stat	Definition
netProfit	Sum of realized trade PnL minus all fees paid. netProfitPct is relative to initialCapital.
grossProfit / grossLoss	Sum of winning trades' PnL and (absolute) sum of losing trades' PnL, respectively.
profitFactor	grossProfit / grossLoss. Reported as null when there are no losses (division by zero is not a number worth printing).
buyHoldReturnPct	(lastClose / firstTradableClose - 1) * 100: what doing nothing would have returned over the same window. If your strategy does not beat this after costs, the market did the work, not the rules.

Trades

Stat	Definition
totalTrades, winTrades, lossTrades	Closed trades, and the win/loss split. winRatePct is winTrades / totalTrades * 100.
avgTrade, avgWin, avgLoss	Mean PnL per closed trade, per winner, per loser.
payoffRatio	avgWin / abs(avgLoss). null when there are no losers. Read it WITH the win rate: 40% winners at a 3.0 payoff is profitable, 70% winners at 0.3 is not.
largestWin, largestLoss	The single best and worst closed trades. If largestWin dominates netProfit, one trade made the backtest.
avgBarsInTrade	Mean holding time in bars.
rejectedOrders	Orders the broker refused (pyramiding cap, invalid sizing, non-positive equity, NaN bars). Rejections are counted, never silently dropped.

Risk

Stat	Definition
maxDrawdown	Largest peak-to-trough equity decline over the run, in money. maxDrawdownPct is relative to the equity peak it fell from.
maxRunup	Mirror of drawdown: the largest trough-to-peak climb.
sharpe	mean(r) / sampleStd(r) * sqrt(barsPerYear), where r are per-bar equity returns over confirmed bars and barsPerYear = 31,536,000,000 / intervalMs. Zero when the return series has no variance. Annualized from YOUR chart interval, so compare Sharpe across runs at the same interval.
sortino	Same as Sharpe with downside deviation (only returns below zero) in the denominator. Punishes losing volatility, forgives winning volatility.
exposurePct	Bars with a nonzero position divided by all confirmed bars, times 100. A strategy in the market 4% of the time with the same net profit as one exposed 90% of the time is taking far less risk per unit of return.

Costs

Stat	Definition
feesPaid	Total commission across all fills (commissionPercent of each fill's notional). Already subtracted from equity and netProfit.

Slippage is not a separate stat line because it is baked into every fill price; the slippage disclosure in the run details reports how it was priced.

Long / short splits

stats.long and stats.short carry netProfit, totalTrades, and winRatePct per direction. A "market-neutral" idea whose entire profit sits in stats.long during a bull-market window is a long-only idea with extra steps.

Simulation-quality stats

These describe how the result was produced, not how the strategy performed. They power the disclosures in the run-details popover:

Stat	Definition
ambiguousFillCount	Intrabar ordering decisions settled by the declared fillModel assumption rather than data. Details in fill simulation.
fineResolvedCount	Ordering questions settled by walking finer-interval bars (no assumption involved).
fineFillCoveragePct	Walked ordering questions over all ordering questions, times 100. null when the run posed none (zero of zero is not zero percent).
fillResolutionByLane	Walked questions per finer-data lane, e.g. { "1m": 12, "5m": 3 }.
bookSlippageFillCount	Fills priced from recorded order-book depth (slippageModel="bookEstimate" only).
bookSlippageUnavailableCount	bookEstimate fills that fell back to the declared rate (no usable book for that bar or size).
bookSlippageAvgBps	Mean applied book impact in basis points; null when nothing was book-priced.

Equity accounting, precisely

Equity on every bar i is cash plus the open position marked at close[i], minus all fees paid so far, 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 the live edge, strategy scripts fully recompute on every tick; the forming bar can shift pending-order and stat values once between the initial render and the first tick, and settles when the bar confirms.