DRL-MT5 Strategy

7 Aug, 2024 - 31 Dec, 2024

Key Performance Metrics

Metric	Strategy
Risk-Free Rate	0.0%
Time in Market	71.0%
Cumulative Return	2.56%
CAGR﹪	4.43%
Sharpe	0.78
Prob. Sharpe Ratio	72.77%
Smart Sharpe	0.71
Sortino	1.22
Smart Sortino	1.1
Sortino/√2	0.86
Smart Sortino/√2	0.78
Omega	1.16
Max Drawdown	-3.21%
Max DD Date	2024-09-26
Max DD Period Start	2024-08-12
Max DD Period End	2024-11-10
Longest DD Days	91
Volatility (ann.)	5.76%
Calmar	1.38
Skew	0.76
Kurtosis	3.75
Expected Daily	0.02%
Expected Monthly	0.51%
Expected Yearly	2.56%
Kelly Criterion	7.53%
Risk of Ruin	0.0%
Daily Value-at-Risk	-0.58%
Expected Shortfall (cVaR)	-0.68%
Max Consecutive Wins	5
Max Consecutive Losses	4
Gain/Pain Ratio	0.16
Gain/Pain (1M)	0.94
Payoff Ratio	1.0
Profit Factor	1.16
Common Sense Ratio	1.04
CPC Index	0.62
Tail Ratio	0.9
Outlier Win Ratio	5.72
Outlier Loss Ratio	2.22
MTD	1.74%
3M	5.72%
6M	2.56%
YTD	2.56%
1Y	2.56%
3Y (ann.)	4.43%
5Y (ann.)	4.43%
10Y (ann.)	4.43%
All-time (ann.)	4.43%
Best Day	1.73%
Worst Day	-0.76%
Best Month	2.29%
Worst Month	-1.6%
Best Year	2.56%
Worst Year	2.56%
Avg. Drawdown	-1.61%
Avg. Drawdown Days	33
Recovery Factor	0.82
Ulcer Index	0.02
Serenity Index	0.2
Avg. Up Month	1.8%
Avg. Down Month	-1.4%
Win Days	53.85%
Win Month	60.0%
Win Quarter	50.0%
Win Year	100.0%