Active futures traders
You want a systematic way to decide which portfolio to trade this quarter, without guessing based on one or two recent trades.
Portfolio Metrics Lab
Institutional - Grade Analytics for Quantitative Portfolios
Evaluate portfolio durability across regimes—equity growth, drawdown depth and duration, recovery profile, and risk-adjusted return—so you can allocate with clarity and control.
- Equity, drawdown, and recovery profiles for each portfolio.
- Compare Sharpe ratios and risk-adjusted returns side by side.
- Filter by market, methodology, or session to match objectives.
Results are hypothetical and have limitations. Use the metrics as a decision tool, not a guarantee.
Live in-browser analytics
Sharpe, drawdown, time-under-water
Portfolio-level and strategy-level views
What You Can Evaluate in Portfolio Metrics
Interactive dashboards reveal how portfolios perform across different market conditions, helping you make informed decisions about risk and capital allocation.
Equity Curves
Visualize portfolio growth over time with interactive equity curve charts that show cumulative performance and key milestones.
Drawdown Analysis
Understand worst-case scenarios with detailed drawdown depth, duration, and recovery time metrics for each portfolio.
Sharpe Ratios
Compare risk-adjusted returns across portfolios to identify which combinations offer the best return per unit of risk.
Time Under Water
See how long portfolios spend below previous equity peaks, helping you understand recovery expectations and patience requirements.
Monthly Returns
Analyze monthly performance distribution to identify consistency, seasonal patterns, and return stability across different market regimes.
Win Rate & Profit Factor
Evaluate trade success metrics including win rate percentage and profit factor to assess strategy reliability and risk-reward efficiency.
How to Use Portfolio Metrics for Allocation and Risk Sizing
Most traders only see single-strategy backtests. Capstone Portfolio Metrics lets you see how combinations of strategies behave through bull markets, crashes, and flat regimes so you can size risk with confidence.
- Pick a portfolio or group of portfolios to review.
- Scan equity, drawdown, Sharpe, and time-under-water curves.
- Adjust capital, risk overlays, or filters to match your tolerance.
- Select an existing or custom portfolio to trade that fits your objective.
Example workflow
- Compare Diversified Portfolio 57 vs Stock Index Portfolio 18.
- Check worst historical drawdown and recovery time.
- Confirm Sharpe and annualized return meet your targets.
- Save the configuration you plan to trade.
Compare portfolios side by side.
Portfolio Metrics Lab enables direct comparison of multiple portfolios, making it easy to see which combination best matches your risk tolerance and return objectives.
Diversified Portfolio 57
Multi-Market
Sharpe Ratio
1.42
Max Drawdown
-18.5%
Recovery Time
45 days
VS
Stock Index Portfolio 18
Index Focus
Sharpe Ratio
1.28
Max Drawdown
-22.3%
Recovery Time
62 days
For Traders and Allocators Seeking Transparency
Prop & evaluation traders
You need to balance drawdown rules with profit objectives. Use Portfolio Metrics to find mixes that respect prop firm limits and still scale.
Professional & Institutional
You're evaluating managed accounts or multi-system allocations and want transparent metrics before committing capital.
Allocate with Confidence
Use Portfolio Metrics to narrow down the portfolios that fit your risk profile. When you're ready, you can subscribe to a portfolio or speak directly with Capstone Trading Systems.