Сегодня 2.03.2013

рг_2013_4_001

 

 

 

 

 

 

 

 

All trades Long trades Short trades
Initial capital 100000 100000 100000
Net Profit % 56.87% 28.47% 28.39%
Exposure % 83.86% 45.28% 38.58%
Net Risk Adjusted Return % 67.81% 62.88% 73.60%
Annual Return % 4903.04% 782.29% 777.58%
Risk Adjusted Return % 5846.82% 1727.72% 2015.52%
All trades 174 87(50.00%) 87(50.00 )
 Avg. Profit/Loss % 0.33% 0.33% 0.33%
 Avg. Bars Held 19.41 20.76 18.07
Winners 125(71.84%) 58(33.33%) 67(38.51%)
 Avg. Profit % 0.54% 0.60% 0.48%
 Avg. Bars Held 23.03 26.07 20.4
 Max. Consecutive 12 8 7
 # bars in largest win 159 159 60
Losers 49(28.16%) 29(16.67%) 20(11.49%)
 Avg. Loss % -0.20% -0.22% -0.18%
 Avg. Bars Held 10.18 10.14 10.25
 Max. Consecutive 4 3 2
 # bars in largest loss 4 8 4
Max. trade % drawdown -1.43% -1.02% -1.43%
Max. system % drawdown -1.70% -2.25% -1.64%
Recovery Factor 29.48 11.37 17.02
CAR/MaxDD 2887.71 347.43 473.79
RAR/MaxDD 3443.56 767.32 1228.09
Profit Factor 6.74 5.52 8.87
Payoff Ratio 2.64 2.76 2.65
Standard Error 2965.56 1194.39 2217.28
Risk-Reward Ratio 160.39 204.01 104.62
Ulcer Index 0.41 0.55 0.31
Ulcer Performance Index 11875.84 1421.96 2520.83
Sharpe Ratio of trades 20.1 17.77 23.37
K-Ratio 0.094 0.1195 0.0613

 

This entry was posted on Суббота, Март 2nd, 2013 at 10:09 and is filed under торговые роботы (МТС). You can follow any responses to this entry through the RSS 2.0 feed. Both comments and pings are currently closed.

Comments are closed at this time.