The idea is simple. Your returns are not stable. From time to time you will lose money. The risk is related to the probability of losing money. It is easy to see that from a histogram for trade returns of the Basic Trading Strategy.
Average return is the shift of the curve from zero.
The smaller this number, the better will be your trading performance. In the third quarter of 1998 there was a huge drop. There was a nice recovery during the two succeeding quarters, but I wouldn't put my head under a guillotine to guarantee the future results. This is the terminology - nothing more. It is best to compare different strategies and choose the best one which works under all market conditions.