PERFORMANCE CALCULATION
How AuditZK calculates your performance. TWR on daily equity, risk metrics, industry standards.
— RETURN METHOD
TWR is calculated on total equity: open positions included. It eliminates the impact of deposits and withdrawals to measure only the quality of your trading decisions.
Cumulative PnL only counts closed trades and ignores unrealized losses. A trader can show positive PnL while their portfolio is underwater. TWR on equity captures the true picture.
Read the full TWR article →Calculation
TWR = 1.05 × 0.95 - 1 = -0.25%
Cash flows are neutralized
Signed and timestamped snapshots
— FREQUENCY
Every day, the enclave captures a snapshot of your total equity (including open positions). This snapshot is cryptographically signed and timestamped.
Calculating TWR on total equity rather than closed trades is essential. A trader who only closes winning positions can display 100% win rate while their portfolio is underwater.
Fixed-time snapshots prevent cherry-picking of favorable moments.
— RISK METRICS
A +40% return means nothing without context. Risk-adjusted metrics allow comparing strategies with different risk profiles.
Excess return per unit of risk. Above 1.0 = good, above 2.0 = excellent.
Like Sharpe, but only penalizes downside volatility. More relevant for asymmetric strategies.
Worst peak-to-trough decline. Computed from daily OHLC (high/low), not just closing prices, for intraday precision.
VaR: maximum expected loss at 95%/99% confidence, from historical daily returns. CVaR (Expected Shortfall): average loss beyond VaR, capturing tail severity.
Annualized return divided by max drawdown. Measures how much you are paid for drawdown risk.
Ratio of positive days and gross profit/loss ratio. Useful but never sufficient alone.
— BENCHMARK COMPARISON
A +40% annual return sounds impressive, until you learn the market did +50%. Raw returns tell you what happened, but not whether you added value. AuditZK compares your strategy against market benchmarks (SPY for equities, BTC for crypto) to answer the question that actually matters: did you outperform what a passive allocation would have delivered?
Beta measures how much your portfolio moves with the market. A beta of 1.2 means your returns amplify market swings by 20%. Alpha (Jensen's) strips out that market exposure to isolate your excess return: the part that can't be explained by simply being long the benchmark. Positive alpha means genuine skill; zero alpha means you're a leveraged index fund.
Correlation and R² tell you how dependent your returns are on market direction. A high R² (say 0.85) means 85% of your variance comes from the market. Useful to know before claiming you run a 'market-neutral' strategy. Tracking Error quantifies how much your returns deviate from the benchmark day to day, and the Information Ratio divides your alpha by that tracking error to measure the efficiency of your active bets.
— TRADING ACTIVITY
Performance metrics alone don't tell the full story. Two strategies with identical returns can have very different cost structures: one might trade once a week, the other hundreds of times a day. AuditZK captures trading activity alongside performance so that evaluators can assess whether a strategy's returns survive its own friction.
Every snapshot records the cumulative notional volume traded, the total number of executions, and the total fees paid (trading commissions + funding costs). From these, AuditZK derives average trade size and daily trade frequency. These metrics reveal whether a strategy is scalable or whether it depends on small-size fills that won't survive larger allocations.
— STANDARDS
AuditZK applies institutional performance reporting principles: TWR as the calculation method, daily valuation, inclusion of open positions, and presentation of standardized risk metrics.
These are the same standards used by professional asset managers for performance reporting worldwide.
Time-Weighted Return
Cash flows neutralized
Daily, fixed time
Total equity, open positions included
Sharpe, Sortino, MaxDD, VaR
Enclave computed, historical VaR
Signed snapshots
AMD SEV-SNP enclave attestation
Get started
Connect your accounts in read-only. AuditZK automatically calculates your TWR and risk metrics from daily snapshots.