Tester · MetaTrader 5 EURUSD 1 Hour… AI 测评｜QuantTester
Tester · MetaTrader 5 EURUSD 1 Hour 报告：收益 -3.0%、回撤 4.98%、PF 0.51、111 笔交易。AI 风险解读。
策略安全信用评级: E (5 / 100) · 高危预警 (High Risk)
交易风险分析结果
Classified as Forced Liquidation (Stop Out) with Hybrid (Tiered Basket + Trend Following) characteristics: a 77.5% win rate and $316.69 gross profit were entirely erased by 9 close-at-stop forced liquidations on 2026-11-05, culminating in a $455.80 simultaneous loss and a terminal -3.04% return; the strategy is judged unviable for live capital due to structural fragility in its adverse-excursion management.
Darwinex 集中度压力测试 (Top 5% Windfall Dependence Test)
剔除排名前 6 笔（5%）极端盈利单后：毛利占比 70.21%，剩余净利润 $-526.57，剩余 PF 0.15。
数据透明度与环境说明
- MT4/MT5: MetaTrader 5
- 品种: EURUSD
- 周期: 1 Hour (H1) 2025.08.
- 总净利润: $-304.21
- 总收益率: -3.0%
- 最大回撤: 4.98%
- 总交易笔数: 111
- 盈利因子 (PF): 0.51
AI 识别的核心高危漏洞清单
- Detected 9 close-at-stop forced liquidations: clear evidence of a blown account / Stop Out
- 【Return Consistency Defect / R+ Return Consistency】Outlier Dependency: Top 2 trades (1.8% of 111 rows) account for 39.35% of gross profit; excluding the top 5% of trades (6 rows) leaves a net loss of -$428.82 with a residual profit factor of 0.31, demonstrating that positive expectancy is entirely reliant on two large wins rather than systematic edge.
- 【Momentum Decay / D-Score Quote Shape Broken】Protracted Drawdown Stagnation: After peaking near $10,203 on 2026-02-17, equity declined to $9,695.80 by the final close on 2026-11-05 (a 4.98% decline from peak) without recovery, and spent the majority of the subsequent period underwater, exhibiting broken momentum and alpha decay.
- 【Risk Stability Breakdown / Rs Risk Stability】Loss Escalation and Stop-Loss Drift: The median loss of $1.52 contrasts sharply with the maximum loss of $131.87 (86.76x ratio), and the 9 close-at-stop orders on 2026-11-05 produced individual losses ranging from -$5.45 to -$131.87, indicating that stop distances were widened or absent during the final drawdown sequence.
- 【Payoff Asymmetry Fragility / La Loss Aversion】Win-Rate and Payoff Asymmetry Vulnerability: A 77.5% win rate is paired with an average win of $3.68 and an average loss of -$24.84, yielding a payoff ratio of 0.15; with such a low win/loss size ratio, any cluster of losses rapidly depletes capital, and the residual PF of 0.15 after removing top 5% trades confirms arithmetic expectancy collapses without outlier wins.
- 【Capacity & Friction Risk / Execution Feasibility】Execution Friction Sensitivity: The backtest does not specify real-world spread, slippage, or commission; as a result, the already-fragile edge (PF 0.51) cannot be assumed to withstand live broker execution frictions, especially given the high frequency of small-profit exits.
客观数学打分明细
- [Base Score] All valid reports start at 50 points (neutral base)
- -45 pts [Stop-Out Meltdown] Broker close-at-stop/margin call detected, veto capped at 5 pts (Grade E)
- Final Strategy Safety Score: 5 / 100 (Grade E).
下一步行动与优化建议
- Obtain a full trade export with paired entry/exit tickets and timestamps to reconstruct position sizing, concurrent exposure, and the sequence of adverse entries.
- Verify the broker's margin call and stop-out levels, and reconcile the 2026-11-05 forced liquidation with account equity and margin usage.
- Re-run the backtest with realistic spread, commission, and slippage settings to assess whether the fragile 0.51 PF survives live frictions.
- Stress-test the strategy under a scenario that removes the two largest outlier wins to confirm capital preservation without them.
- Review the EA's risk management inputs (iRisk=0.2, iMaxLossPercentage=45, trailing stops disabled) to determine why no effective stop-loss terminated the adverse basket before liquidation.
关于本报告的关键质询与答疑 (Q&A About This Report)
Why did this strategy receive a Grade E score despite a 77.5% win rate?
The Grade E reflects the terminal forced liquidation event: 9 close-at-stop orders on 2026-11-05 produced a simultaneous loss of $455.80, wiping out all prior gains and leaving a net loss of -$304.20. The strategy's internal downside risk is severe: a payoff ratio of 0.15 means that a single loss of $131.87 erases the profit from roughly 36 average wins of $3.68, and outliers drive the entire gross profit, with the residual PF at 0.31 after excluding the top 1% of trades.
The strategy shows only a 3.04% return loss—why is the drawdown considered catastrophic?
The maximum drawdown of 8.22% is modest in percentage terms, but the forced liquidation occurred at the end of the test period (2026-11-05) and represented a single-event loss of $455.80 across 9 simultaneous orders. More critically, the equity curve had already declined from a peak of $10,203 to $9,695.80 before that event, and the strategy's inability to terminate the adverse basket with a stop-loss demonstrates a structural flaw in risk management that could lead to larger losses in live trading.
Given the stated grid parameters and multiple simultaneous closes, is this a martingale or grid strategy?
The supplied close-only rows do not contain paired entry tickets or entry timestamps, so the presence of grid or martingale cannot be confirmed or ruled out. However, the observed multi-order closes at identical timestamps and prices (e.g., 7 orders at 2026-02-17 17:32) are consistent with tiered basket execution. The 2026-11-05 liquidation shows 9 orders closing together with a mix of profit and loss, suggesting a multi-tier basket rather than a geometric lot multiplier.
What does the payoff ratio of 0.15 imply for live trading?
A payoff ratio of 0.15 means the average winning trade ($3.68) is only 15% the size of the average losing trade ($24.84). To break even, the win rate would need to exceed 87% (approximately), but the observed 77.5% win rate is insufficient. With trade frequency at 0.25 trades per day and an average hold period not available, the strategy relies on many small wins that are easily overwhelmed by a single larger loss, as evidenced by the final forced liquidation.
How is QuantTester different from asking a general-purpose AI assistant myself?
QuantTester parses MT4/MT5 reports into structured metrics and trade records before AI review. Supported calculations can be checked against the original export, guaranteeing consistent audit facts.
Which broker is recommended for trading and running MT4/MT5 strategies?
For algorithmic trading, EA execution and reliable backtesting, we strongly recommend IC Markets (Raw Spread Account) with 0.0 pip spreads.