Plain-English glossary

Wembro's single 0–100 verdict on whether your trading edge looks real or is probably luck or overfitting. It blends the tests below into one number — higher means harder to explain away as a fluke.

How much return you earned for the amount of bumpiness (volatility) you took on. A higher Sharpe means smoother gains; by itself it can flatter a short or lucky track record, which is why the next two adjustments exist.

The probability that your true Sharpe ratio is above zero, given how many trades you have and how lumpy your returns are. It turns one flattering number into an honest confidence level — a high Sharpe over 20 trades is far less certain than the same Sharpe over 500.

A Sharpe ratio that's been knocked down to account for how many strategy variations were tried before this one was kept. If you test enough ideas, one will look great by chance — DSR strips out that 'best of many' illusion.

An estimate of how likely it is that the strategy you picked as 'best' will actually underperform out-of-sample — in other words, the chance you fit the past instead of finding an edge. Lower is better; high PBO is a red flag.

The number of trades (or amount of time) you'd need before your track record is statistically convincing rather than possibly lucky. If you have fewer trades than your MinTRL, the verdict is 'too soon to tell.'

We reshuffle your trades thousands of times in random orders to see how often a realistic run of bad luck would wipe out your account or bust a prop-firm drawdown limit. It answers 'could a bad streak kill me?' instead of just looking at the average.

How far your account fell from its highest point before recovering. Max drawdown is the worst such drop — the pain you'd have to sit through, and often the line a prop firm uses to fail you.

Total money made on winning trades divided by total money lost on losing trades. Above 1.0 means you're net profitable; 1.5+ is generally healthy, but it can be inflated by one lucky outlier.

Your average winning trade divided by your average losing trade. A high payoff ratio lets you win less than half your trades and still come out ahead; a low one means you need a high win rate to survive.

What you can expect to make (or lose) on a typical trade, factoring in both how often you win and how big those wins and losses are. Positive expectancy is the whole game — it's the mathematical heart of a real edge.

Tuning a strategy so tightly to past data that it captures random noise instead of a repeatable pattern. It looks brilliant on history and falls apart on new trades — the single most common reason 'great' backtests fail live.

We randomly shuffle the order and signs of your trades many times to build a picture of what pure luck looks like, then check where your real results land. If a lucky monkey could easily match you, your edge isn't proven.