DRL-MT5 — EURUSD M15 — ppo_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%	2.56%
CAGR﹪	-8.78%	4.43%
Sharpe	-1.56	0.78
Prob. Sharpe Ratio	10.86%	72.77%
Smart Sharpe	-1.41	0.71
Sortino	-1.97	1.22
Smart Sortino	-1.78	1.1
Sortino/√2	-1.39	0.86
Smart Sortino/√2	-1.26	0.78
Omega	1.16	1.16
Max Drawdown	-7.54%	-3.21%
Max DD Date	2024-12-18	2024-09-26
Max DD Period Start	2024-08-26	2024-08-12
Max DD Period End	2024-12-31	2024-11-10
Longest DD Days	128	91
Volatility (ann.)	5.79%	5.76%
R^2	0.99	0.99
Information Ratio	0.07	0.07
Calmar	-1.17	1.38
Skew	-0.85	0.76
Kurtosis	4.35	3.75
Expected Daily	-0.04%	0.02%
Expected Monthly	-1.07%	0.51%
Expected Yearly	-5.22%	2.56%
Kelly Criterion	-	-
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-0.64%	-0.58%
Expected Shortfall (cVaR)	-0.64%	-0.58%
Max Consecutive Wins	4	5
Max Consecutive Losses	5	4
Gain/Pain Ratio	-0.26	0.16
Gain/Pain (1M)	-0.73	0.94
Payoff Ratio	-	-
Profit Factor	0.74	1.16
Common Sense Ratio	0.78	1.04
CPC Index	-	-
Tail Ratio	1.06	0.9
Outlier Win Ratio	5.32	4.81
Outlier Loss Ratio	2.81	2.74
MTD	-2.09%	1.74%
3M	-7.2%	5.72%
6M	-5.22%	2.56%
YTD	-5.22%	2.56%
1Y	-5.22%	2.56%
3Y (ann.)	-8.78%	4.43%
5Y (ann.)	-8.78%	4.43%
10Y (ann.)	-8.78%	4.43%
All-time (ann.)	-8.78%	4.43%
Best Day	0.76%	1.73%
Worst Day	-1.84%	-0.76%
Best Month	1.12%	2.29%
Worst Month	-2.81%	-1.6%
Best Year	-5.22%	2.56%
Worst Year	-5.22%	2.56%
Avg. Drawdown	-2.09%	-1.61%
Avg. Drawdown Days	34	33
Recovery Factor	0.7	0.82
Ulcer Index	0.04	0.02
Serenity Index	-0.06	0.21
Avg. Up Month	-	-
Avg. Down Month	-	-
Win Days	41.35%	53.85%
Win Month	40.0%	60.0%
Win Quarter	50.0%	50.0%
Win Year	0.0%	100.0%
Beta	-	-0.99
Alpha	-	-0.04
Correlation	-	-99.33%
Treynor Ratio	-	-2.59%