Max % Profitable

This metric represents the percentage of profitable trades compared to the total number of trades placed in an iteration.

Number of winning trades / Total number of trades

Max Average Favorable Excursion

This metric represents the average maximum run-up in profit during an iteration.

See the "Percent" formula for Average MFE on the Performance Statistics page.

Max Avg. Profit

This metric represents the average profit of all trades in an iteration.

See the "Percent" formula for Average Trade on the Performance Statistics page.

Max Net Profit

This metric represents the net profit achieved for all trades of an iteration.

Total gross profit / Total gross loss

Max Profit Factor

This metric provides a ratio of total earnings to total loss in an iteration.

See the Profit Factor formula on the Statistics Definitions page.

R Squared (R^2)

Sometimes called the Coefficient of Determination, this metric measures how closely an iteration's results come to a fitted regression line.

((Total Trades * (Summation of Trades * Summation of Profit)) - (Summation of Trades * Summation of Profit) / SQRT((Total Trades * Total Summation of Trades ^ 2 - Summation of Trades ^ 2) * (Total Trades * Total Summation of Profit ^ 2 - Total Profit ^ 2))) ^ 2

Max Sharpe Ratio

This metric calculates risk-adjusted return.

(% Profit per month - risk free return) / monthly std. deviation
 
* if the monthly standard deviation is approximately 0, then set to 1

Max Sortino Ratio

This metric modifies the Sharpe ratio by taking the standard deviation of negative returns into account to differentiate harmful volatility from general volatility.

(% Profit per month - risk free return) / monthly Ulcer Index
 
* if the monthly Ulcer index is approximately 0, then set to 1

Max Ulcer Ratio

This metric measures downside risk, with values increasing as the market price moves farther from a recent high.

See the Ulcer Index formula on the Statistics Definitions page.

Max Win/Loss Ratio

This metric presents a ratio of the profit of winning trades to the loss of losing trades.

% average profit of winning trades / absolute value of % percentage average loss

Minimum Avg. Adverse Excursion

This metric represents the average run-down of trades in an iteration.

See the "Percent" formula for Maximum Adverse Excursion on the Statistics Definitions page

Min Avg. Adverse Excursion finds the lowest value from the Maximum Adverse Excursion statistic

Minimum Drawdown

This fitness metric represents the smallest decrease (draw-down) in account size experienced from the highest high seen in each trade, and is used to find the iteration with the lowest draw-down.

See the Maximum Drawdown formula on the Statistics Definitions page

Min Drawdown = the smallest single drawdown

Max Strength (Work in progress, implementation could possibly change in the future)

This fitness metric finds the 'steadiest' strategy represented by the highest linear regression slope of the equity curve. It favors strategies with as many profitable trades as possible while keeping draw-downs as small as possible.