Trading metrics glossary

All terms A–Z

Average exit price · Average win and average loss · Backtest and bar replay · Breakeven win rate · Confidence interval · Daily loss limit · Equity curve · Expectancy · Funding rate · Gross vs net P&L · High-water mark · Leverage and margin · Liquidity sweep · Maker and taker fees · Maximum drawdown · Partial exit (scaling out) · Point value (contract multiplier) · Position size · Position value (notional) · Profit factor · R-multiple · Realised P&L · Risk per trade (1R) · Risk/reward ratio (planned R:R) · Sample size · Slippage · Static drawdown · Stop and target in the same candle · Trailing drawdown · Win rate · Winning and losing streak

Results and costs

Realised P&L

The profit or loss of the part of a position that has been closed. Edgetrail books each exit on its own day, so a partly closed trade already has realised P&L.

Formula: Net P&L = gross P&L × conversion rate − exit fee − entry fee × (exit size ÷ total size), summed over all exits.
Example: A long of 1 BTC from 60,000 to 61,000 with $12 fees in total realises $988.
Go deeper: how Edgetrail calculates P&L

Gross vs net P&L

Gross P&L is the price difference times size and point value; net P&L is what is left after fees (and, if your exchange books it in, funding).

Formula: Gross = (exit − entry) × size × point value for a long; (entry − exit) × size × point value for a short.
Example: Gross $600 minus $22.83 fees = $577.17 net.
Go deeper: crypto futures P&L, worked through

Maker and taker fees

Exchanges charge a lower fee for orders that add liquidity (maker, usually limit orders that rest in the book) and a higher one for orders that take it (taker, usually market orders).

Formula: Fee = position value × fee rate, charged on entry and again on exit.
Example: 0.02% maker on a $30,000 entry = $6; 0.055% taker on a $30,600 exit = $16.83.
Go deeper: fees and funding in P&L

Funding rate

A periodic payment between longs and shorts on perpetual futures that keeps the contract close to the spot price. With a positive rate longs pay shorts; with a negative rate shorts pay longs.

Formula: Funding payment = position value at the mark price × funding rate, at every funding time the position is open.
Example: 0.5 BTC at a mark price of 60,400 and a rate of 0.01% = $3.02 paid by the long.
Go deeper: how funding enters the P&L

Point value (contract multiplier)

How much one full price point is worth per contract. Crypto and spot usually have 1; index futures have fixed multipliers set by the exchange.

Formula: Gross = price difference × size × point value.
Example: A futures contract with point value 50 that moves 12.5 points earns $625 per contract.
Go deeper: point value in Edgetrail

Slippage

The difference between the price you planned and the price you got. It is a real cost that never appears as a fee line.

Formula: Slippage = (fill price − planned price) × size × point value, against you.
Example: A stop at 98.00 filled at 97.90 on 50 units costs $5 more than planned.
Go deeper: costs in a backtest

Risk and position size

Position value (notional)

What the whole position is worth at a given price. Fees in percent and funding are charged on it.

Formula: Position value = price × size × point value.
Example: 0.5 BTC at 60,000 = $30,000.
Go deeper: position size calculator

Leverage and margin

Leverage decides how much collateral (margin) the exchange holds for a position. It does not change how much you lose at the stop.

Formula: Margin = position value ÷ leverage.
Example: $30,000 at 10× leverage needs $3,000 margin; the loss at a $600 stop distance is the same as without leverage.
Go deeper: position size calculator

Position size

The number of units or contracts that makes a stop-out cost exactly the money you decided to risk.

Formula: Size = money at risk ÷ (|entry − stop| × point value + fees per unit).
Example: $100 risk with entry 100 and stop 98 → 50 units before fees.
Go deeper: position size calculator

Risk per trade (1R)

The amount you lose if the initial stop is hit. It is the unit all R-multiples are measured in. Edgetrail uses the risk at stop you enter, or calculates it from entry, stop and size.

Formula: 1R = |entry − stop| × size × point value × conversion rate at entry.
Example: Entry 3,000, stop 2,940, size 2 → 1R = $120.
Go deeper: R-multiple calculator

R-multiple

The result of a trade in units of its initial risk. It makes trades of different sizes and markets comparable. In the Edgetrail journal R is calculated from the net result, so fees are included.

Formula: R = net P&L ÷ risk at the initial stop.
Example: +$240 on a $120 risk = +2.00 R; a full stop-out plus fees is slightly worse than −1 R.
Go deeper: R-multiple calculator

Risk/reward ratio (planned R:R)

The distance to the target divided by the distance to the stop, decided before the trade. It is a plan, not a result.

Formula: Planned R:R = |target − entry| ÷ |entry − stop|.
Example: Entry 3,000, stop 2,940, target 3,150 → 150 ÷ 60 = 2.5.
Go deeper: win rate needed per R:R

Performance metrics

Win rate

The share of closed trades that made money. Breakeven trades count in the total but are neither winners nor losers.

Formula: Win rate = winning trades ÷ all closed trades.
Example: 4 winners, 5 losers and 1 breakeven trade → 4 ÷ 10 = 40%.
Go deeper: what a good win rate is

Breakeven win rate

The win rate at which a strategy neither makes nor loses money for a given average win and loss.

Formula: Breakeven win rate = 1 ÷ (1 + average win in R), with losers at −1 R and no costs.
Example: Winners of 2 R → 1 ÷ 3 = 33.3%.
Go deeper: breakeven table by R:R

Average win and average loss

Gross profit divided by the number of winners, and gross loss divided by the number of losers.

Formula: Average win = gross profit ÷ winners; average loss = gross loss ÷ losers.
Example: $560 from 4 winners = $140; $285 from 5 losers = $57.
Go deeper: profit factor calculator

Expectancy

What an average trade earns. Edgetrail shows it in money (net result per closed trade) and, for trades with a stop, as average R.

Formula: Expectancy = win rate × average win − loss rate × average loss = net result ÷ number of trades.
Example: 45% × 2 R − 55% × 1 R = +0.35 R per trade.
Go deeper: expectancy calculator

Profit factor

How much a strategy earned for every unit it lost. Above 1 it made money, below 1 it lost.

Formula: Profit factor = gross profit ÷ gross loss.
Example: $560 gross profit ÷ $285 gross loss = 1.96.
Go deeper: what a good profit factor is

Winning and losing streak

The number of winners or losers in a row, in order of closing. In Edgetrail a breakeven trade neither extends nor breaks a streak.

Formula: Count consecutive results with the same sign; skip results of exactly 0.
Example: Loss, loss, breakeven, loss = a losing streak of 3.
Go deeper: the streak rule

Equity curve

The running total of realised results over time. Edgetrail draws each exit on its own day, so partial exits show up when they happen.

Formula: Equity after exit k = sum of the net results of exits 1 to k.
Example: +120, −60, −60 → 120, 60, 0.
Go deeper: the trading journal

Drawdown and prop firm rules

Maximum drawdown

The deepest fall of the equity curve from a previous high, before a new high is reached.

Formula: Max drawdown = min over time of (equity − highest equity so far).
Example: Equity 120 → 60 → 0 → −60 → 140: max drawdown = −180.
Go deeper: how Edgetrail measures drawdown

High-water mark

The highest balance (or equity) an account has reached so far. Trailing drawdown rules are measured from it.

Formula: High-water mark = max(all balances so far).
Example: Balances 50,600, 51,500, 49,800 → high-water mark 51,500.
Go deeper: trailing drawdown explained

Static drawdown

A loss limit measured from the starting balance that never moves.

Formula: Floor = starting balance − maximum drawdown.
Example: 50,000 start and 2,500 limit → the floor stays at 47,500.
Go deeper: static vs trailing drawdown

Trailing drawdown

A loss limit that moves up with the high-water mark. Firms differ in whether it trails intraday equity or end-of-day balance and whether it stops at the starting balance.

Formula: Floor = min(high-water mark − maximum drawdown, starting balance) when it stops at the start.
Example: High-water mark 51,500 and a 2,500 limit → floor 49,000.
Go deeper: trailing drawdown calculator

Daily loss limit

The most an account may lose within one trading day. In Edgetrail’s prop firm mode a day ends at your device’s local midnight and is measured on realised results.

Formula: Daily limit = starting balance × daily loss %; room left today = limit + today’s result if negative.
Example: 100,000 × 5% = 5,000; after −1,200 today 3,800 remain.
Go deeper: prop firm mode

Testing and statistics

Backtest and bar replay

A backtest applies fixed rules to past prices. Bar replay is the manual form: the chart hides the future and you trade candle by candle.

Formula: Backtest result = the same metrics as live trading (expectancy, profit factor, drawdown), computed on hypothetical trades.
Example: 40 replay trades with 17 winners at +2.1 R and 23 losers at −1 R → about +0.32 R per trade before costs.
Go deeper: how to backtest with bar replay

Sample size

The number of trades a metric is based on. Small samples swing a lot, so Edgetrail prints the count next to every metric and marks groups under 20 trades as a thin sample.

Formula: Spread of the measured expectancy ≈ spread of a single trade ÷ √(number of trades).
Example: Four times as many trades halve the spread.
Go deeper: how many trades a backtest needs

Confidence interval

A range that, under stated assumptions, contains the true value with a given probability. For expectancy it shows how far luck alone can move the measured number.

Formula: 95% interval ≈ measured expectancy ± 1.96 × spread per trade ÷ √n.
Example: Win rate 50% at +1.5 R / −1 R: about 97 trades before the interval stays above 0.
Go deeper: the simulation

Partial exit (scaling out)

Closing a position in several parts. Each part is its own exit with its own price, size, date and fee; the trade is complete when the exits add up to the entry size.

Formula: Net of an exit = gross × conversion − exit fee − entry fee × (exit size ÷ total size).
Example: 1 of 2 ETH closed at 3,090: the trade is partly open, the exit is realised that day.
Go deeper: how to record partial exits

Average exit price

The size-weighted average of all exit prices of one trade.

Formula: Average exit = Σ (exit price × exit size) ÷ Σ exit size.
Example: 1 at 3,090, 0.5 at 3,150 and 0.5 at 2,980 → 3,077.50.
Go deeper: partial exits

Stop and target in the same candle

When one candle touches both the stop and the target, its open, high, low and close cannot show which came first, so a backtest needs a fixed rule. Edgetrail’s replay checks the 1-minute candles of that period and counts the stop if they cannot tell either.

Formula: Outcome = the level touched first on finer data; if that is unknown, the stop.
Example: Stop at −1 R and target at +2 R inside one 15-minute candle: the rule alone decides a 3 R difference.
Go deeper: stop and target in the same candle

Liquidity sweep

A move that trades beyond an obvious level such as the previous day’s high or low, where stop orders tend to sit, and then closes back inside it. To be testable it needs a fixed level, a trigger distance and a close-back-inside rule.

Formula: Sweep = price beyond the level by at least the trigger distance, then a close back inside within N candles.
Example: Previous day high 61,240, a high of 61,410 (0.28% beyond) and a close at 61,180 = a sweep of the high.
Go deeper: how to backtest liquidity sweeps

Where to calculate these numbers

The free trading calculators cover position size, R-multiple, expectancy, profit factor, drawdown, risk/reward and breakeven win rate, risk of ruin and funding fees. In the Edgetrail journal the same numbers are calculated for every trade and every system automatically. To measure them on past data instead, see what to check in crypto backtesting software and how a candle with both stop and target is decided.

Updated: 4 November 2026