Your Momentum IQ backtest results page shows dozens of metrics. This guide explains every important metric in depth — what it measures, how to calculate it, what a good value looks like for NSE strategies, and how to use it alongside other metrics for a complete picture.
Return Metrics
CAGR — Compounded Annual Growth Rate
The most important single number. Annualises your total return for fair comparison across different test periods. Target: above 15% for NSE equity (Nifty 50 buy-and-hold delivers ~12%).
Absolute Return
Total percentage gain over the entire test period. Less useful than CAGR because it doesn't account for time. A 100% return over 10 years (CAGR ~7%) is worse than 60% over 3 years (CAGR ~17%).
Net P&L (₹)
Total rupee profit after ALL costs — brokerage, STT, exchange charges, and slippage. Always check this alongside CAGR. A strategy can show 20% CAGR but only ₹50,000 profit on a small test capital — which may not justify the operational effort.
Risk Metrics
Maximum Drawdown
The largest peak-to-trough loss. This is the number that determines whether you can psychologically stick with a strategy. Target: below 20–25% for most traders.
Sharpe Ratio
Measures risk-adjusted return. Above 1.0 is good. Above 2.0 is excellent. Two strategies with the same CAGR — pick the one with a higher Sharpe.
Sortino Ratio
Like Sharpe but only penalises downside volatility (losing months). More relevant for traders who can tolerate upside volatility but not losses. Target: above 1.5.
Calmar Ratio
How much return you earn per unit of drawdown risk. Above 1.0 is good. Above 2.0 is excellent. A strategy with 30% CAGR but 60% max drawdown (Calmar 0.5) is worse than 20% CAGR with 15% drawdown (Calmar 1.33).
Trade Statistics
Win Rate
Percentage of profitable trades. By itself, meaningless. A 30% win rate can be very profitable. A 70% win rate can be losing money. Always read alongside Profit Factor and Average Win/Loss ratio.
Profit Factor
Above 1.5 is good. Above 2.0 is excellent. Below 1.0 means the strategy is losing money overall.
Expectancy
The average amount you expect to make or lose per trade. Must be positive for the strategy to be profitable long-term. This is the single most important trade-level metric.
Average Holding Period
Average number of days per trade. Confirms whether the strategy matches your trading style. An "intraday" strategy with an average 5-day holding period is actually a swing strategy — verify this matches your intent.
Benchmark Metrics
Alpha
Excess return above the benchmark (Nifty 50). Positive alpha means your strategy is adding value beyond just being in the market. Negative alpha means you would have been better off buying the Nifty index.
Beta
Correlation with the benchmark. Beta of 1.0 means the strategy moves in line with Nifty. Beta of 0.3 means low correlation — your strategy performs somewhat independently of market direction.
Quick Reference Card
| Metric | Good | Excellent | Red Flag |
|---|---|---|---|
| CAGR | >15% | >25% | >50% (likely overfitted) |
| Max Drawdown | <25% | <15% | >40% |
| Sharpe Ratio | >1.0 | >2.0 | <0.5 |
| Sortino Ratio | >1.5 | >2.5 | <1.0 |
| Calmar Ratio | >1.0 | >2.0 | <0.5 |
| Profit Factor | >1.5 | >2.0 | <1.2 |
| Total Trades | >50 | >100 | <20 |