{"version":"v1.1","published_at":"2026-09-12","summary":"Performance is computed from the platform's own order, fill and position rows under this versioned definition. No figure is supplied by a user, an admin, or a strategy author, and no backtest result is ever presented as a realised track.","inputs":["trading.order_fills — every fill the book wrote, strategy or ticket","trading.order_events — the deployment timeline; counted only where no order_fills row carries the same fill, so a fill written to both tables is measured once","trading.equity_curve — end-of-session marks, when the venue has written them","strategy.backtest_metrics — the reference backtest, shown only as a backtest","strategy.backtest_metrics is produced by the engine's RANK admission order (four-engine spec §4.0 step 10). A run whose strategy declared no rank is admitted in array order and carries the CAPACITY_UNRANKED stamp; the stamp is part of the reference leg's provenance, not a warning about it."],"formula":{"net_pnl":"Σ(sell notional) − Σ(buy notional) − Σ(fees), in integer minor units. Fees are the full country fee stack as charged, never a bps estimate.","equity_series":"End-of-session marks from trading.equity_curve when present (basis EOD_MARK); otherwise starting capital plus the cumulative realised cash flow of the fill spine (basis REALISED_CASH_FLOW), which does not mark an open position to market. The basis in force is reported beside every figure derived from it.","total_return":"last(equity) / first(equity) − 1","cagr":"(last/first) ^ (365 / days) − 1","sharpe":"(mean(R) − r_f) / stdev(R) × sqrt(252) over the equity series' period returns, with r_f = 0 (see risk_free_rate).","max_drawdown":"min over the series of (equity / running peak − 1)","win_rate":"closed round trips with net P&L > 0, over all closed round trips","profit_factor":"Σ gross profit / Σ gross loss over closed round trips","raw_return":"annualised, time-weighted return of the track (cagr)","risk_penalty":"1 / (1 + realised_volatility), realised_volatility = stdev(R) × sqrt(252)","drawdown_penalty":"1 − 0.5 × min(1, |max_drawdown| / raw_return)","concentration_penalty":"1 − 0.3 × herfindahl, herfindahl = Σ(wᵢ²) over per-instrument shares of gross contribution; applied only when the top 3 exceed 50% of the book","sample_penalty":"min(1, sample / sample_floor)","skill_score":"raw_return × risk_penalty × drawdown_penalty × concentration_penalty × sample_penalty, expressed as a percentage","implementation_gap":"reference (backtest) return − realised return"},"weights":{"volatility_multiplier":1.0,"drawdown_multiplier":0.5,"concentration_multiplier":0.3,"concentration_top3_threshold":0.5},"minimum_track_length_days":90,"low_sample_trades":30,"sample_floor":{"DEPLOYERS":60,"OWN_TRADES":30},"risk_free_rate":0.0,"risk_free_note":"RISK_FREE_ASSUMED_ZERO","risk_free_rationale":"The metrics catalog requires r_f as a per-period series from the country pack. This deployment ingests no risk-free series, so r_f = 0 and every figure derived from it carries the RISK_FREE_ASSUMED_ZERO note. A Sharpe computed at r_f = 0 is NOT comparable with a published Sharpe that subtracts a T-bill; it is an upper bound on it.","gap_decomposition":{"delay":"return between the reference fill and the deployment's order intent","drift":"return between the order intent and its fill in the simulated venue","partial":"contribution of reference legs the deployment did not take","sizing":"contribution of position sizing differing from the reference weights"},"quality_flags":[{"key":"low_sample","meaning":"fewer than 30 closed round trips — every trade statistic is shown with a caveat rather than bare"},{"key":"short_track","meaning":"fewer than 90 days of track — no skill score is published"},{"key":"no_eod_marks","meaning":"no end-of-session marks exist, so the equity series is realised cash flow and open positions are not marked to market"},{"key":"RISK_FREE_ASSUMED_ZERO","meaning":"no risk-free series available for the span; ratios use r_f = 0"}],"not_computed_from":["any value supplied by a user, an admin, or a strategy author","any backtest result presented as a realised track","any provider or third-party performance report"],"changelog":[{"version":"v1.1","date":"2026-09-12","change":"Reference-leg input definition. The backtest engine now admits entries at capacity in the strategy's declared RANK order rather than in the order its instruments appeared in the input list, and stamps an unranked run CAPACITY_UNRANKED. No weight, penalty, threshold or formula changed. Snapshots computed under v1.0 are INVALIDATED rather than restated: they are not served under this version, and the v1.0 document stays published so that a figure stamped v1.0 remains explicable."}],"deprecated":true}