Daily Results
Read-only official daily rollups — separate master tab with its own date dropdown (trades.db + dailypl.db).
Portfolio Metrics Lab
Institutional-grade analytics for quantitative portfolios
The full Portfolio Metrics v191 dashboard — combine strategies, filter trades, inspect equity and drawdown, run the optimizer, and export PDF reports. Everything below mirrors the live in-browser app.
- Four master tabs: Performance Metrics, Portfolio Calculator, Portfolio Optimizer, Optimizer Results.
- Six Performance sections via sidebar dropdown — equity, periodical returns, trade list, trade graphs, correlation, allocation.
- Settings accordion — date range, CVIX / ZigZag filters, holidays, portfolio multiplier, slippage & commission.
Results are hypothetical and have limitations. Use the metrics as a decision tool, not a guarantee.
Master tab
Performance Metrics
Default view when you open the lab. Gradient KPI tiles (Net Profit in blue, Max Drawdown in red), stacked equity and drawdown charts, and a full performance summary table. Select additional views from the Portfolio Metrics Sections dropdown in the left sidebar.
Performance Metrics
Portfolio Calculator
Portfolio Optimizer
Optimizer Results
Net Profit
$842,150
Max Drawdown
-$42,800
Sharpe (Time)
1.85
Win Rate
61.4%
Combined equity
Drawdown
| Metric | Value |
|---|---|
| Net Profit | $842,150.00 |
| Max Drawdown | ($42,800.00) |
| Profit Factor | 1.92 |
| Sharpe Ratio (Time) | 1.85 |
| Mean |correlation| | 0.142 |
| Diversification score (0–1) | 0.78 |
Cumulative P&L
Drawdown curve
Closed-trade stats
Portfolio multiplier
Performance section
Periodical Returns
Switch the sidebar dropdown to Periodical Returns. Choose Annual, Monthly, Weekly, or Daily periods. Optional CME trading day toggle (5pm CT – 4pm CT) aligns session boundaries with futures roll dates.
Performance Metrics
Portfolio Calculator
Portfolio Optimizer
Optimizer Results
| Period | Profit | # Trades | Profit Factor | % Profitable |
|---|---|---|---|---|
| 2024 | $128,420 | 842 | 1.88 | 58.2% |
| 2023 | $96,180 | 798 | 1.72 | 56.1% |
| 2022 | $74,650 | 812 | 1.65 | 55.4% |
| 2021 | $112,900 | 856 | 2.01 | 61.0% |
| 2020 | $89,340 | 790 | 1.79 | 57.8% |
Performance section
Trade List
Select Trade List from the Portfolio Metrics Sections dropdown. Every closed trade after your Settings filters — exit date, strategy, side, P&L, and duration — sortable in a dark-themed table matching the live app.
Performance Metrics
Portfolio Calculator
Portfolio Optimizer
Optimizer Results
| Exit Date | Strategy | Side | P&L | Duration |
|---|---|---|---|---|
| 2026-06-14 | V Reversal 2024 NQ | Long | $420 | 1h 12m |
| 2026-06-13 | V Reversal 2024 NQ | Short | ($185) | 45m |
| 2026-06-12 | V Reversal 2024 NQ | Long | $680 | 2h 04m |
| 2026-06-11 | V Reversal 2024 NQ | Long | $310 | 38m |
| 2026-06-10 | V Reversal 2024 NQ | Short | ($92) | 22m |
| 2026-06-09 | V Reversal 2024 NQ | Long | $540 | 1h 48m |
Performance section
Trade Graphs
The Select Graph dropdown switches between seven chart types. Two of the most useful for recent form are Percentage of Winners (Last X Trades) and Average Trade Profit (Last X Trades) — both expose a Last X Trades input so you can zoom into the most recent 50, 100, or 500 closed trades.
Select Graph — all options
Trade Return Distribution
Long vs. Short Trade Performance
Winning vs. Losing Trades
Monthly Net Profit
Average Profit by Month
Percentage of Winners (Last X Trades)
Average Trade Profit (Last X Trades)
Select Graph:
Win rate over rolling window
Rolling win % for the most recent X closed trades — useful for spotting recent deterioration or improvement.
Select Graph:
Avg trade P&L over rolling window
Average closed-trade profit for the last X trades — complements win rate when average winner/loser size shifts.
Select Graph:
Performance section
Daily PnL Correlation
Added in v184 — correlation statistics (mean |correlation|, max pairwise |corr|, diversification score) plus a strategy correlation heatmap. Essential for judging whether combined portfolios truly diversify or simply stack correlated risk.
Mean |corr|0.142
Max pairwise0.387
Diversification0.78
Strategies7
Correlation heatmap
Performance section · v185
Allocation
Single dropdown entry with three pie charts in one row: Market Allocation, Entry Methodology Allocation, and Trade Duration Allocation — moved from Portfolio Calculator to Performance Metrics for a unified analytics view.
Market Allocation
Entry Methodology
Trade Duration
Master tab
Portfolio Calculator
Fast MTM snapshots from daily P&L data. Set contract counts per strategy, portfolio multiplier, margins, and weights. Max and current drawdown are EOD-based from combined equity — for day-trade portfolios they align with Performance Metrics at end of day.
Performance Metrics
Portfolio Calculator
Portfolio Optimizer
Optimizer Results
Net Profit
$842,150
Max Drawdown
-$42,800
Current DD
-$8,240
Margin Req.
$48,500
Combined equity
Drawdown
| Strategy | Contracts | Net P&L | Weight |
|---|---|---|---|
| NQ Gap Continuation | 2 | $312,400 | 62% |
| 7 Systems Portfolio | 1 | $529,750 | 38% |
Master tab
Portfolio Optimizer
Automated search for best strategy combinations. Market × session matrix, trial count, objective (Net Profit, Sharpe, etc.), plus v189 filters: equity-peak recency and minimum average trade PnL after slippage/commission.
Performance Metrics
Portfolio Calculator
Portfolio Optimizer
Optimizer Results
Market × Session matrix (click cells to include/exclude)
Equity peak recency (12 mo)
Min avg trade PnL ≥ $75
Correlation chart
Master tab · v191
Optimizer Results
After a run, review combined and per-strategy KPIs. v191 adds a strategy checklist — uncheck any system to rebuild combined equity, drawdown, and the per-strategy table for the remaining set only.
Performance Metrics
Portfolio Calculator
Portfolio Optimizer
Optimizer Results
Net Profit
$842,150
Max Drawdown
-$42,800
Win Rate
61.4%
Profit Factor
1.92
Combined equity
Drawdown
Performance summary
Complete metrics table
Every row from the Performance Metrics summary — the same statistics exported in PDF reports. Correlation rows appear when two or more strategies are selected.
| Metric | Value |
|---|---|
| Net Profit | $842,150.00 |
| Max Drawdown | ($42,800.00) |
| Current Drawdown | ($8,240.00) |
| Profit / Max DD | 19.68 |
| Number of Trades | 12,842 |
| Winning Trades | 7,384 |
| Losing Trades | 5,458 |
| Win Rate (%) | 61.42% |
| Gross Profit | $1,742,800.00 |
| Gross Loss | ($900,650.00) |
| Profit Factor | 1.92 |
| Average Winning Trade | $235.80 |
| Average Losing Trade | ($165.00) |
| Average Trade PnL | $65.58 |
| Largest Win | $4,820.00 |
| Largest Loss | ($2,140.00) |
| Max Consecutive Wins | 14 |
| Max Consecutive Losses | 8 |
| Sharpe Ratio (Trade) | 1.72 |
| Sharpe Ratio (Time) | 1.85 |
| Sortino Ratio | 2.41 |
| Calmar Ratio | 3.12 |
| Avg. Trade Duration | 2h 18m |
| Avg. Time Between Trades | 4h 52m |
| Mean |correlation| | 0.142 |
| Max pairwise |corr| (robustness) | 0.387 |
| Diversification score (0–1) | 0.78 |
Left pane · Settings tab
Filters, dates & costs
The Settings accordion controls what trades enter every tab. Date range, CVIX and ZigZag filters, holiday/FOMC exclusions, slippage & commission, and portfolio multiplier all apply globally unless noted (Daily Results is read-only rollups).
Date Range
Start / end dates · data cutoff through latest verified daily P&L
CVIX Filter
Exclude trades when CVIX above threshold
ZigZag Filter
Directional filter using ZigZag swing points
Calendar Exclusions
Holidays · FOMC days · RF filters for NQ/ES
Slippage & Commission
Per-side costs applied before optimizer min-PnL filter
Portfolio Multiplier
0.1 – 10.0 in 0.1 steps · scales contracts and P&L
PDF Reports
Title page, portfolio name in header, equity/drawdown charts, summary table, and custom filename.
Margin fields
Margin requirement, account size required, market value traded, and total contracts in Portfolio Calculator.
Who uses Portfolio Metrics
Active futures traders
Decide which portfolio to trade this quarter using combined equity, drawdown, and correlation — not one or two recent trades.
Prop & evaluation traders
Find strategy mixes that respect drawdown rules while still scaling — optimizer targets max DD and Sharpe constraints.
Professional & institutional
Transparent metrics, PDF exports, and diversification scores before committing capital to multi-system allocations.
Recommended workflow
- Load strategies or a saved portfolio from the Strategies tab.
- Scan Performance Metrics — equity wiggle, cyclical drawdown, summary table.
- Check Daily PnL correlation and Allocation pies for diversification.
- Tune contracts in Portfolio Calculator or run the Optimizer.
- Export PDF or subscribe to the portfolio that fits your objectives.
Launch the full dashboard
Every preview on this page matches the live Portfolio Metrics v191 app. Open it in your browser — no install required.