Mathematical Glossary and Trading Formulas

At Kaptur, mathematical precision is fundamental. To ensure transparency and confidence in your stats, below is a detailed breakdown of the calculation methodology and exact formulas our analysis engine uses to process your trading.

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1. Net PNL (Net Profit and Loss)

Net PNL is the actual net profit or loss after closing a trade. It represents the exact amount entering or leaving your balance after deducting broker commissions and transaction fees.

$$\text{Net PNL}=\text{Gross PNL}-(\text{Commissions}+\text{Fees})$$

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2. Gross PNL (Gross Profit and Loss)

Gross PNL represents the raw difference between the sale value and the purchase value of a position before deducting commissions or swap fees.

$$\text{Gross PNL}=\text{Sale Value}-\text{Purchase Value}$$

(Note: For Short positions, it is calculated as $\text{Purchase Value}-\text{Sale Value}$).

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3. Win Rate

Win Rate is the percentage of closed trades that resulted in a positive net profit greater than zero.

$$\text{Win Rate}=\left(\frac{\text{Winning Trades}}{\text{Total Closed Trades}}\right)\times 100$$

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4. Profit Factor

Profit Factor measures the profitability ratio of your trading system. It shows how many dollars you make for every dollar you lose. A value above 1.0 indicates a profitable system.

$$\text{Profit Factor}=\frac{\sum \text{Gross Profits of winning trades}}{\sum |\text{Gross Losses of losing trades}|}$$

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5. Realized ROI (Realized Return on Investment)

Realized ROI measures capital efficiency based exclusively on already closed trades and your configured starting capital.

$$\text{Realized ROI}=\left(\frac{\text{Accumulated Net PNL}}{\text{Starting Capital}}\right)\times 100$$

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6. Expectancy (Mathematical Expectancy per Trade)

Expectancy tells you the average amount of money you expect to win or lose on each trade you place based on your historical records.

$$\text{Expectancy}=(\text{Win Rate}\times \text{Average Win})-(\text{Loss Rate}\times |\text{Average Loss}|)$$

Where $\text{Loss Rate}=1-\text{Win Rate}$.

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7. Payoff Ratio (Reward-to-Risk Ratio)

The Payoff Ratio evaluates the asymmetry of your trading by comparing the size of your average wins against your average losses.

$$\text{Payoff Ratio}=\frac{\text{Average Win of winning trades}}{\text{Average Loss of losing trades}}$$

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8. Realized Drawdown (Maximum Closed Drawdown)

Realized Drawdown measures the largest peak-to-trough drop in the accumulated balance of closed trades before a new peak is achieved.

$$\text{Drawdown}=\frac{\text{Peak Balance}-\text{Trough Balance}}{\text{Peak Balance}}\times 100$$

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9. MAE (Maximum Adverse Excursion)

Maximum Adverse Excursion (MAE) measures the largest adverse price movement (against your position) experienced during the lifetime of an open trade. It evaluates whether you are taking too much intraday risk.

$$\text{MAE}=\text{Entry Price}-\text{Minimum Position Price (for Longs)}$$

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10. MFE (Maximum Favorable Excursion)

Maximum Favorable Excursion (MFE) measures the largest favorable price movement (in favor of your position) experienced during the lifetime of an open trade. It evaluates the quality of your exits.

$$\text{MFE}=\text{Maximum Position Price}-\text{Entry Price (for Longs)}$$