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    Performance metrics

    Available on: Web · iOS · Android

    On this page

    Scan performance shows how the stocks your saved scans found went on to trade. scanr treats every match as a trade: bought when the scan found the stock, sold after a holding period you pick, the time horizon. A metric says what is measured, such as win rate. The horizon says over how long.

    Use it to compare your scans with each other. It describes what already happened to past matches. It doesn't predict the next ones.

    Tour

    Open My Scans, then Performance. The page is My Scan Performance, marked Beta.

    • Time horizon (top right, 1 Day to start): the holding period every card on the page uses. What is a time horizon? at the foot of the list opens Time horizons.
    • Venue (All venues to start): which stocks count. See Venues.
    • Reset Layout: puts the cards back where they started.
    • Performance map: every scan as a tile, grouped by scan group and colored by the metric you pick. Brighter is a higher value. Click a tile to open the scan's details.
    • Performance Metrics: averages across all your scans. Based on N scans links to your scans.
    • Top Scans by and Top Groups by: your scans, or your scan groups, ranked by the metric you pick.
    • Performance Scatter: each scan as a bubble, placed by two metrics (Avg Max Drawdown across, Sharpe Ratio up, to start) and sized by its number of trades.
    • Most common tickers: the stocks your scans found most often.

    A scan's own details page, from My Scans, shows the same measures for one scan, trade by trade.

    Create and configure

    1. Save a scan. Performance builds from the scans you save, as they find stocks.
    2. Open performance and pick a Time horizon: how long each trade is held.
    3. Pick a Venue to count exchange-listed stocks, OTC stocks or both.
    4. Pick a metric on any card that ranks or colors scans. Each card keeps its own.

    The horizon and venue apply to the whole page. The app remembers both on this device. They never change your saved scans.

    Reference

    What counts as a trade

    • Entry: the open of the daily bar on the day your scan matched the stock, adjusted for splits.
    • Exit: the close of the daily bar the horizon's number of trading days later. Until that day comes, the trade is open and valued at the latest price.
    • One trade per stock at a time: when a scan matches the same stock again before the trade exits, the repeat doesn't count. For 1M and longer, a repeat counts again only after the end of the next fiscal quarter.
    • Win and loss: a trade with a return above zero is a win. A flat trade counts as a loss.

    scanr recalculates performance within a few hours of your scans finding new stocks, not once a night.

    Metrics

    Percent metrics show as percentages: a return of 0.0784 shows as 7.84%. In the metric picker, an arrow says whether higher or lower is better.

    MetricWhat it measuresBetter
    Sharpe RatioReturn per unit of volatility, annualized, from a portfolio that puts $1 into each match. The standard risk-adjusted score.Higher
    Sortino RatioLike Sharpe, but it counts only downside volatility, so big gains don't drag it down.Higher
    Calmar RatioAnnualized return against the deepest drawdown.Higher
    Avg Percent ReturnThe average return per trade over the horizon.Higher
    Avg Daily ReturnEach trade's return scaled by the square root of the days it was held, averaged, so short and long trades compare.Higher
    Std Dev Avg Daily ReturnHow spread out those daily returns are. Lower is steadier.Lower
    ExpectancyWhat you'd expect per trade: (win rate × average win) − (loss rate × average loss).Higher
    Win RateThe share of trades that ended with a gain.Higher
    Loss RateThe share of trades that ended flat or with a loss.Lower
    Total WinsHow many trades ended with a gain.
    Total LossesHow many trades ended flat or with a loss.
    Total TradesHow many trades the scan's matches made.
    Avg Win PercentageThe average gain of the winning trades.Higher
    Avg Loss PercentageThe average loss of the losing trades, as a negative number.Lower
    Max Win PercentageThe best single trade.Higher
    Max Loss PercentageThe worst single trade.Lower
    Avg Max DrawdownThe average worst fall from a peak during a trade, shown as a positive number.Lower
    Avg Max Profit Since EntryHow far trades ran in your favor at their best, on average, as a share of the entry price.Higher
    Avg Max Loss Since EntryHow far trades ran against you at their worst, on average, as a share of the entry price.Lower
    Avg Bars HeldThe average number of daily bars a trade was held.
    Profit Drawdown RatioEach trade's return divided by its worst drawdown, averaged.
    Profit Drawdown Ratio (Close Only)The same, measuring the drawdown on closing prices only.
    Profit Drawdown Ratio (Weighted)Profit Drawdown Ratio multiplied by the number of trades, so a scan with more trades ranks higher.Higher
    Profit Drawdown Ratio (Close, Weighted)The close-only ratio multiplied by the number of trades.Higher

    The Performance Metrics card averages its rows across your scans, so its Sharpe Ratio is the average of each scan's Sharpe ratio.

    Venues

    VenueWhat counts
    All venues (default)Every match your scans made, listed and OTC together.
    Listed onlyStocks listed on an exchange, such as NYSE or Nasdaq.
    OTC onlyOver-the-counter stocks. Their low prices make percentage returns much larger, in both directions.

    scanr works out each venue from its own trades. All venues isn't an average of the other two.

    When a metric is blank

    • Not enough history for the horizon. A 3-month horizon can't mean much until scanr has recorded 3 months of your scan's matches. Until then the card says "Not enough history yet", with how many days it has out of how many it needs. Returns and risk metrics stay blank. Trade counts, holding periods and top tickers are real.
    • Too short to annualize. Sharpe Ratio, Sortino Ratio and Calmar Ratio need at least 60 trading days of history. Until then they show N/A, and the picker grays them out.
    • YTD is never short of history. It values every trade at the latest trading day.

    Plans

    Top Groups needs Super or Super Pro. On Free, Most common tickers shows the top 5.

    Tips

    • Compare scans on the same horizon and venue. A 1D win rate and a 3M win rate answer different questions.
    • Look at Total Trades before you trust a metric. A 100% win rate over 3 trades says little.
    • Set the venue to Listed only if you don't trade OTC stocks. A few OTC moves can swamp every average.
    • Pair a return metric with a risk one, such as Avg Percent Return with Avg Max Drawdown. Performance Scatter shows both for every scan at once.

    Troubleshooting

    IssueCauseSolution
    The page says "No scan performance yet".None of your saved scans has results yet.Save a scan and let it run. Performance builds as it finds stocks.
    A card says "Not enough history yet".Your scans haven't been running long enough for this horizon.Pick a shorter horizon, or wait. Trade counts below the notice are real.
    Sharpe, Sortino and Calmar show N/A.They need 60 trading days of history to annualize.Wait, or rank by Avg Percent Return for now.
    The mobile app says "No listed performance" or "No OTC performance".None of your scans has matched a stock on that venue.Tap Show all venues.
    Percent returns look huge.OTC stocks with tiny prices can move hundreds of percent.Switch the venue to Listed only.

    Related

    Time horizonsThe holding periods every metric is measured over.Saved scans and scan historySave a scan so scanr can track how its picks perform.Your dashboardThe cards that show your recent scans and scan activity.GlossaryPlain definitions of drawdown, Sharpe ratio and other terms.

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