Mosaic
Trade Performance Analysis
Summary
The closed-trade stream produced $74,440 across 117 usable closed-trade observations.
Total P&L
$74,440
Total Return
7.44%
Max Drawdown
-$15,060
Sharpe / Sortino
4.52 / 4.06
Cumulative P&L Chart / 1mm capital base
Drawdown Chart
Performance Statistics
| Metric | Value |
|---|---|
| Capital base | $1,000,000 |
| Total net P&L | $74,440 |
| Total return on capital | 7.44% |
| Closed trade observations | 117 |
| Average P&L / trade | $636 |
| Win rate | 69.23% |
| Best trade | $12,530 |
| Worst trade | -$13,300 |
| Profit factor | 2.35 |
| Max drawdown | -$15,060 |
| Max drawdown % | -1.40% |
| Annualized Sharpe ratio | 4.52 |
| Annualized Sortino ratio | 4.06 |
| Annualized return | 23.12% |
| Annualized volatility | 4.77% |
Trade Distribution / Return Stream Characteristics
| Metric | Value |
|---|---|
| Median trade P&L | $700 |
| Winning trades | 81 |
| Losing trades | 35 |
| Gross profit | $129,710 |
| Gross loss | -$55,270 |
| 20-trade rolling P&L high | $33,740 |
| 20-trade rolling P&L low | -$10,860 |
Distribution of scaled individual closed-trade P&L.
Rolling 20-trade net P&L, using the scaled P&L stream.
Path Dependency Risk Test
The test reshuffles the same scaled trade returns 20,000 times.
| Reshuffled path | Max DD $ | Max DD % |
|---|---|---|
| 1st pctile | -$28,790 | -2.75% |
| 5th pctile | -$25,320 | -2.43% |
| 10th pctile | -$23,200 | -2.21% |
| 25th pctile | -$18,000 | -1.73% |
| Median | -$15,310 | -1.47% |
| 75th pctile | -$13,760 | -1.32% |
| 90th pctile | -$13,300 | -1.27% |
| 95th pctile | -$13,300 | -1.25% |
| 99th pctile | -$13,300 | -1.22% |
Actual sequence max drawdown
-$15,060
Actual drawdown percentile
53.59%
Share of reshuffled paths with drawdowns at least as severe as the observed sequence. Lower means the realized order was unusually favorable.
Median reshuffled max drawdown
-$15,310