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Robustness Metrics

This page explains common metrics used to review backtest and optimization results.

These metrics do not prove that a setup will work live. They provide extra context beyond net profit.

Why Metrics Matter​

Two test results can have similar net profit but different risk profiles.

Reviewing drawdown, volatility, and recovery can help you decide which setup deserves further testing.

Sharpe Ratio​

Sharpe ratio compares return with volatility.

Use it as a rough risk-adjusted metric. It can be misleading when returns are not normally distributed, when trade count is small, or when a few trades dominate the result.

Calmar Ratio​

Calmar ratio compares return with maximum drawdown.

It can help show whether a result required a large drawdown. It is still based on the selected historical period.

Recovery Factor​

Recovery factor compares net result with maximum drawdown.

It can help show how much historical gain was produced relative to the largest drawdown in the test.

Composite Fitness​

Some BananaEA versions may expose a composite fitness value for optimization review.

Treat it as a sorting aid, not a final decision rule.

After using any composite score:

  1. Review the underlying metrics.
  2. Check trade count.
  3. Check drawdown.
  4. Test out-of-sample.
  5. Forward test on demo.

How To Use These Metrics​

Use metrics to ask better questions:

  • Was the result driven by one trade?
  • Was drawdown acceptable?
  • Did nearby settings behave similarly?
  • Did the setup survive out-of-sample testing?
  • Were broker assumptions realistic?

What Not To Do​

Do not:

  • Choose a setup from one metric alone.
  • Treat a high score as live readiness.
  • Ignore spread, commission, and slippage.
  • Ignore low trade count.
  • Re-optimize until the score looks attractive.