Sharpe Ratio in MT5 Strategy Tester Report
MetaQuotes is applying some custom formula which doesn't match what can be found elsewhere (as far as I know).
See point 1 on this page : https://www.metatrader5.com/en/news/2315
New MetaTrader Report: 5 key trading metrics
- 2023.10.06
- MetaQuotes
- www.metatrader5.com
Successful trading in financial markets requires thoughtful and well-founded decision-making. Comprehensive performance analytics can assist traders in making informed investment decisions and in optimizing their strategies. In this article, we will look at five key performance indices which characterize trading efficiency and stability. 1...
EdFuk:
From my experience to Sharpe ratio is useless in MT5 Strategy Tester report. I could be wrong and have misunderstood it.
Hi everyone,
I've been generating my own tester statistics and eveything is coming out well except for the Sharpe ratio. Here is an output from some test data and the Sharpe ration is coming out 8.39. What calculation is MT5 using to get this? I'm getting something below 1.
Alain Verleyen #:
From my experience to Sharpe ratio is useless in MT5 Strategy Tester report. I could be wrong and have misunderstood it.
Thanks Alain. Yes seem's strange I will investigate further. I'm not actually going to use it either but it just bugs me why I can't get even near the result. Is it annualised?
From my experience to Sharpe ratio is useless in MT5 Strategy Tester report. I could be wrong and have misunderstood it.
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Hi everyone,
I've been generating my own tester statistics and eveything is coming out well except for the Sharpe ratio. Here is an output from some test data and the Sharpe ration is coming out 8.39. What calculation is MT5 using to get this? I'm getting something below 1.