Description

The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return.

MT5 Performance Analyzer
A comprehensive Python tool for analyzing MetaTrader 5 Strategy Tester HTML reports with advanced performance metrics.

Features:
HTML Report Parsing – Automatically extracts trade data from MT5 backtest reports
Advanced Metrics: Calculates Sortino Ratio, Sharpe Ratio, Profit Factor, and more
Risk-Adjusted Analysis – Focuses on downside risk protection through Sortino ratio
Visual Dashboard: Generates comprehensive performance charts with equity curve, returns distribution, and drawdown analysis
User-Friendly Interface – GUI file selection and configuration options

Key Metrics Calculated:
Sortino Ratio: Measures risk-adjusted returns focusing on downside volatility
Sharpe Ratio: Traditional risk-adjusted return metric
Max Drawdown: Worst peak-to-trough decline
Profit Factor: Gross profit vs gross loss ratio
Win Rate: Percentage of profitable trades
Expectancy: Average profit per trade

The risk-free rate represents the theoretical return of an investment with zero risk.
It’s typically based on government bonds.

Default value: 0.02 (2% annual rate)

Sortino Ratio = (Annualized Return – Risk-free Rate) / Downside Deviation
Sharpe Ratio = (Annualized Return – Risk-free Rate) / Total Standard Deviation

User can customize the risk-free rate through:
Command line: –risk-free-rate 0.03
GUI dialog: Popup asking for the rate
Default: 2% if not specified

Purpose
The risk-free rate serves as a benchmark – it represents the minimum return investors should expect for taking on additional risk. By subtracting this rate, the ratios measure performance above what could be earned risk-free.

Typical values:

1-3% for developed markets
Higher for emerging markets
Adjusted based on current economic conditions