Win rate, drawdown, Sortino: the trading metrics that actually matter

Win rate: necessary, wildly insufficient

Win rate is the share of trades that made money. The trap: it says nothing about size. Win small nine times and lose huge once, and a 90% win rate is a losing strategy. Always read win rate alongside how big the wins and losses are.

The metrics that actually separate traders

• Time-weighted return (TWR): growth that strips out deposits and withdrawals, so adding money can’t masquerade as skill. The honest headline number.
• Max drawdown: the deepest peak-to-trough fall. This is the pain — and the survival question. A 30% return with 15% drawdown is a very different trader than a 30% return with 70% drawdown.
• Profit factor: gross profit ÷ gross loss. Above 1 makes money; the higher and the more stable, the better.
• Sortino ratio: return per unit of downside volatility. Unlike Sharpe, it doesn’t punish upside swings — it asks how much bad risk bought the return.
• Calmar ratio: annualized return ÷ max drawdown. A blunt, honest measure of reward for worst-case pain.
• Consistency: steady green months beat one lottery month that dominates the whole record.

How to read a record in thirty seconds

Look at drawdown first — can you stomach it? Then check that the return is time-weighted, not inflated by deposits. Then scan Sortino/Calmar to see if the return came with controlled or reckless risk. A trader who is up less but with a third of the drawdown is usually the better trader to learn from — steadiness compounds; blow-ups don’t.

Where to see these on real records

SMCAlpha computes every one of these from a trader’s verified, read-only exchange data — TWR, drawdown, profit factor, Sortino, Calmar, consistency — and shows them side by side on a public leaderboard you can sort by risk-adjusted return, not just headline gains. The goal is simple: make the boring, honest numbers as visible as the flashy ones.