Sharpe, Sortino and Calmar for Forex: Choose the Question

Sharpe, Sortino and Calmar summarise different historical observations. Use them to answer a defined measurement question, alongside the underlying returns and valuation path. None proves skill, predicts a funding decision or establishes the largest loss that could occur. Forex does not create a universal best ratio.

Choose a Question before a Score

A diagnostic report should identify the chosen definition rather than declare Sharpe inferior, Sortino best or Calmar a funding gatekeeper. Current product fields may use different conventions. The detailed Sharpe calculation guide, Sortino guide and Calmar guide provide reproducible calculations.

Start with Consistent Data

Record dates, account currency, cash flows, costs and valuation frequency. A series of reported trade profits is not automatically periodic percentage returns. Current balance does not reconstruct every past equity observation; closed records can omit open-position losses. Sparse observations can miss a larger drawdown.

Keep the complete available reporting window and identify missing periods. Do not treat deposits as strategy gains, select only the best interval or interpret a long account age as proof of complete observations. A backtest, demo record, broker connection and uploaded statement have different evidence limits.

Read Denominators and Units Carefully

Historical Sharpe uses mean differential return divided by deviation of those differential returns. Sortino needs target shortfalls and its chosen denominator; this site’s examples use √(sum of squared shortfalls / all N periods). A CAGR-based Calmar uses compounded annual percentage return divided by peak-relative percentage drawdown. See Sharpe’s definition, the CFA Institute Sortino discussion and Empyrical’s versioned Calmar implementation.

Periodic and annualised values require separate labels. Rescaling a short sample adds no observations or predictive evidence. A zero denominator is not a finite measured ratio or proof of zero risk. Negative numerators can make simple rankings misleading. No universal numeric bands are established here.

Separate Return Distribution from Return Order

For a fixed comparison or target, reordering the same observations preserves mean, overall deviation and target-shortfall distribution. It can still change maximum drawdown. The four-month ordered-path example has the same 9.2025% compounded gain and periodic Sortino 0.7071 in two orders, but observed drawdown is 5% versus 9.75%.

This does not establish which strategy is safer later. It shows why one distributional score cannot replace an ordered valuation history. Observed drawdown also need not end in recovery; an unrecovered decline remains part of the record. Recovery duration and monetary recovery factor answer separate questions.

Keep Supporting Metrics in Their Own Units

Profit factor divides included gross gains by the magnitude of included gross losses. It is not a timing statistic or proof of a future edge. Expectancy needs a stated cash or initial-risk unit and treatment of costs and zero outcomes. Monetary recovery factor divides included net money result by monetary drawdown; it does not measure recovery duration.

This article does not claim that MyVeridex computes a particular VaR/CVaR report. Do not average ratios across different currencies or mismatched windows to manufacture a portfolio ranking.

Keep Provider Objectives Separate

Historical ratios do not enforce daily loss limits, reset rules, floating-equity definitions or prohibited activity. Save the actual selected provider/product terms and check them separately. No internal FTMO/FundedNext/Topstep ratio threshold or alleged study of connected accounts is established here. There is no guaranteed challenge pass, funding, payout or scaling outcome.

Changing sizing, stop distance or filters changes the return process and may affect costs and execution. A favourable in-sample ratio does not establish that the change improves later results. Preserve separate evaluation observations and the assumptions that produced the number.

Reconcile the Current MyVeridex Proxies

Reviewed connection, scheduled-sync and statement recomputation groups reported closed-trade money P/L by date with closed records. Sharpe uses population deviation, Sortino uses zero-target downside deviation over all included dates, and both scale by √252. Calmar annualises reported money profit per such date using 252 and divides by reconstructed monetary drawdown. That Calmar is not the CAGR/percentage-drawdown convention above.

These paths do not select separately stored commission/swap fields, omit dates without closed records and infer starting balance from current balance minus included reported profit. Product gates and zero fallbacks do not establish statistical validity or finite mathematical ratios. Reconcile source semantics, cash flows, capital changes and missing floating-equity history.

Direct routes support MT4/MT5 and supported MetaTrader statement structures. Other direct platform routes are unavailable. A directory entry does not prove tested compatibility, and a product badge is not an independent audit or provider approval. The current trial is seven days, with no card needed to start the trial; it is not a 14-day trial. Source checked 16 October 2026; these account-calculation limitations remain open and no account logic was changed.

Build a Reproducible Report

1. Save the original available series and ordered valuation path.
2. Disclose period, currency, costs, external flows, frequency and missing observations.
3. Specify each numerator, denominator and annualisation convention.
4. Keep undefined and negative cases explicit, and label product proxies separately.
5. Check provider rules and later evaluation data without turning historical scores into promises.