Risk Analysis Suite

Statistics Reference

Global

Stat	What It Means	What to Look For
Median Return	Return at the exact midpoint of all simulations. More meaningful than the average because it isn't skewed by outliers.	Positive and comfortably above zero. A median near zero means insufficient edge.
5th %ile Return	Worst 5% of outcomes — the realistic bad case. You'd expect to experience this roughly once every 20 runs.	Should be survivable. If it breaches your ruin threshold, sizing is too aggressive.
95th %ile Return	Best 5% of outcomes — the realistic ceiling.	Useful for calibrating upside expectations.
Avg Return	Arithmetic mean across all simulations. Can be pulled above the median by a few large outliers.	Compare to Median. Avg >> Median means right-skewed distribution (occasional large wins). Avg ≈ Median means symmetric.
% Profitable	Simulations that ended above 100.	Above 50% minimum. A well-configured strategy should be 60–80%+.
Median Max DD	Typical worst drawdown experienced during a path, at the midpoint of all simulations.	Stay within a range you can psychologically sustain. If median max DD is 35% but you'd quit at 20%, the sizing is wrong for you.
95th %ile Max DD	Drawdown in the worst 5% of simulations.	Use this for risk planning and margin requirements. Reduce size until this is within your tolerance.
Worst Max DD	Single worst drawdown across all simulations. May be an outlier at low sim counts.	If both this and the 95th percentile are large, the strategy is genuinely high-risk. If only this is extreme, treat it as a tail outlier.
Ruin Rate (path)	% of paths that touched the ruin threshold at any point, including paths that later recovered. Path-dependent — stricter than just checking final equity.	Below 5% for any live strategy. Above 10% is a serious warning.
Median Time U/W	Median consecutive trades spent below a previous equity peak. Measures how long drawdowns last, not just how deep.	Translate to calendar time using your trade frequency. Long underwater periods cause traders to abandon otherwise viable strategies.
Worst Time U/W	Longest consecutive sequence below a peak, across all simulations.	If this is 80 trades and you trade twice a week, that's nearly a year underwater. Ensure you have the runway and discipline to survive it.
Profit Factor (theo.)	Gross expected winnings divided by gross expected losses, calculated analytically from your inputs. Above 1.0 = positive edge.	Above 1.5 is reasonable. Above 2.0 is strong. Below 1.0 means no amount of position sizing fixes the strategy.
Kelly Fraction	Theoretically optimal risk % per trade from your win rate and R:R. Shows both the raw Kelly and the % actually being used.	Kelly is a ceiling, not a target. Negative Kelly means no edge at current parameters.
Stress: N losses in a row	Exact equity and loss % after the configured consecutive loss streak. Deterministic.	If the result is below your ruin threshold, reduce size. This streak will eventually occur.

Thresholds

Stat	What It Means
T1 / T2 / T3	% of simulations meeting each configured condition. Green if >50% of sims passed, red if under.

Side Chart Stats

Stat	What It Means	What to Look For
Ret↔DD Correlation	Correlation between each simulation's final return and its max drawdown. Negative = higher returns came with lower drawdowns.	Negative (teal) is ideal. Strong positive correlation means drawdown risk is high relative to returns earned.
R²	How well final return explains max drawdown variation across simulations.	Usually low — drawdown is path-dependent while return is endpoint-only. Not a concern unless very high.
Slope (DD/Ret)	How much extra drawdown accompanies each extra unit of return across simulations.	Negative is rare and excellent. Positive is normal; a steep positive slope means returns are being earned at high drawdown cost.
Return Std Dev	Spread of final returns across simulations.	Interpret relative to the mean — the Sharpe below captures this ratio.
Skewness	Asymmetry of the return distribution. Positive = occasional large wins pulling the right tail out.	Positive (teal) is better. Negative skew (common in options selling) means the tail losses are worse than the median suggests.
Excess Kurtosis	How fat the tails are relative to a normal distribution.	Low (teal) means more predictable outcomes. High (red) means extreme outcomes are more common than expected — watch the ruin rate closely.
Sharpe (approx)	Average return divided by return standard deviation. Not annualised or risk-free adjusted, but useful for comparing the same strategy at different sizing levels.	Above 0.5 is reasonable. Above 1.0 is strong.

Regime Stats

Stat	What It Means	What to Look For
Time in Adverse	Realised % of trades in adverse conditions across all simulations.	Should approximate your configured target. In Bootstrap mode, derived from your history. Much higher than expected means regime parameters need adjustment.
Avg Ret (Favorable)	Average per-trade return during favourable regime periods.	Should be positive and above your cost per trade.
Avg Ret (Adverse)	Average per-trade return during adverse regime periods.	The gap between this and Avg Ret (Favorable) is the most important regime output. A large gap means the strategy is highly regime-sensitive — identifying and reducing size in adverse conditions could dramatically improve performance.