DRL-MT5 — EURUSD M15 — a2c_EURUSD_M15

7 Aug, 2024 - 31 Dec, 2024

Key Performance Metrics

Metric	bh_ret	Strategy
Risk-Free Rate	0.0%	0.0%
Time in Market	71.0%	71.0%
Cumulative Return	-5.22%	-5.37%
CAGR﹪	-8.78%	-9.03%
Sharpe	-1.56	-1.6
Prob. Sharpe Ratio	10.86%	10.19%
Smart Sharpe	-1.39	-1.43
Sortino	-1.97	-2.02
Smart Sortino	-1.76	-1.8
Sortino/√2	-1.39	-1.43
Smart Sortino/√2	-1.24	-1.28
Omega	0.73	0.73
Max Drawdown	-7.54%	-7.66%
Max DD Date	2024-12-18	2024-12-18
Max DD Period Start	2024-08-26	2024-08-26
Max DD Period End	2024-12-31	2024-12-31
Longest DD Days	128	128
Volatility (ann.)	5.79%	5.79%
R^2	1.0	1.0
Information Ratio	-0.21	-0.21
Calmar	-1.17	-1.18
Skew	-0.85	-0.84
Kurtosis	4.35	4.32
Expected Daily	-0.04%	-0.04%
Expected Monthly	-1.07%	-1.1%
Expected Yearly	-5.22%	-5.37%
Kelly Criterion	-13.49%	-15.74%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.64%	-0.64%
Expected Shortfall (cVaR)	-1.08%	-1.08%
Max Consecutive Wins	4	4
Max Consecutive Losses	5	5
Gain/Pain Ratio	-0.26	-0.27
Gain/Pain (1M)	-0.73	-0.75
Payoff Ratio	1.07	1.06
Profit Factor	0.74	0.73
Common Sense Ratio	0.78	0.77
CPC Index	0.33	0.31
Tail Ratio	1.06	1.06
Outlier Win Ratio	4.31	4.26
Outlier Loss Ratio	3.33	3.36
MTD	-2.09%	-2.09%
3M	-7.2%	-7.24%
6M	-5.22%	-5.37%
YTD	-5.22%	-5.37%
1Y	-5.22%	-5.37%
3Y (ann.)	-8.78%	-9.03%
5Y (ann.)	-8.78%	-9.03%
10Y (ann.)	-8.78%	-9.03%
All-time (ann.)	-8.78%	-9.03%
Best Day	0.76%	0.76%
Worst Day	-1.84%	-1.84%
Best Month	1.12%	1.09%
Worst Month	-2.81%	-2.81%
Best Year	-5.22%	-5.37%
Worst Year	-5.22%	-5.37%
Avg. Drawdown	-2.09%	-2.12%
Avg. Drawdown Days	34	34
Recovery Factor	0.7	0.71
Ulcer Index	0.04	0.04
Serenity Index	-0.06	-0.06
Avg. Up Month	0.95%	0.89%
Avg. Down Month	-2.39%	-2.4%
Win Days	41.35%	40.38%
Win Month	40.0%	40.0%
Win Quarter	50.0%	50.0%
Win Year	0.0%	0.0%
Beta	-	1.0
Alpha	-	-0.0
Correlation	-	99.99%
Treynor Ratio	-	-5.37%