TWR — time-weighted return
TWR (time-weighted return) measures strategy performance while neutralising the effect of deposits and withdrawals. It is the right metric for 'how well do I trade'. Run this calculation now: how to measure your own performance
How to compute it
Split the period into sub-periods bounded by each deposit or withdrawal, compute each sub-period return and multiply the factors: TWR = (1 + r1) × (1 + r2) × … − 1. A quarter of +10%, −5% and +8% gives 1.10 × 0.95 × 1.08 − 1 = 12.86%, regardless of how much money moved in or out in between.
That is why TWR is the standard for comparing managers: nobody is rewarded or punished for receiving a large deposit during a good month.
When to use it
Use TWR to judge the strategy and to compare accounts of different sizes; use MWR to know what happened to your money. On a funded account TWR is the honest number when payouts are periodic: without it every payout looks like a performance drop that never happened.
TCC computes both in parallel, per account and consolidated, marking each deposit and withdrawal on the timeline.