Author Archive
30
Авг
Робот Федя — август
Для любознательных выкладываю результаты испытаний робота в августе.
Комиссия 0.025%.
Без плеч.
Без реинвестиций прибыли.
Торговля реверсом на постоянный капитал в 100 т.р.
Период с 01.01.2008 по н.в.
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итоговая таблица:
| Statistics |
|---|
| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 2882584.02 | 1539881.68 | 1442702.34 |
| Net Profit | 2782584.02 | 1439881.68 | 1342702.34 |
| Net Profit % | 2782.58 % | 1439.88 % | 1342.70 % |
| Exposure % | 9.26 % | 4.50 % | 4.75 % |
| Net Risk Adjusted Return % | 30065.27 % | 31989.59 % | 28243.34 % |
| Annual Return % | 65.89 % | 50.94 % | 49.47 % |
| Risk Adjusted Return % | 711.89 % | 1131.76 % | 1040.53 % |
| Total transaction costs | 431606.15 | 216319.28 | 215286.87 |
|
|
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| All trades | 6170 | 3084 (49.98 %) | 3086 (50.02 %) |
| Avg. Profit/Loss | 450.99 | 466.89 | 435.09 |
| Avg. Profit/Loss % | 0.45 % | 0.47 % | 0.44 % |
| Avg. Bars Held | 27.77 | 27.51 | 28.03 |
|
|
|||
| Winners | 3292 (53.35 %) | 1626 (26.35 %) | 1666 (27.00 %) |
| Total Profit | 4357584.04 | 2251000.20 | 2106583.83 |
| Avg. Profit | 1323.69 | 1384.38 | 1264.46 |
| Avg. Profit % | 1.32 % | 1.39 % | 1.26 % |
| Avg. Bars Held | 33.55 | 33.13 | 33.97 |
| Max. Consecutive | 97 | 57 | 48 |
| Largest win | 59895.82 | 59895.82 | 26835.79 |
| # bars in largest win | 9 | 9 | 20 |
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| Losers | 2878 (46.65 %) | 1458 (23.63 %) | 1420 (23.01 %) |
| Total Loss | -1575000.01 | -811118.52 | -763881.49 |
| Avg. Loss | -547.26 | -556.32 | -537.94 |
| Avg. Loss % | -0.55 % | -0.56 % | -0.54 % |
| Avg. Bars Held | 21.15 | 21.23 | 21.06 |
| Max. Consecutive | 13 | 16 | 10 |
| Largest loss | -5651.94 | -4692.29 | -5651.94 |
| # bars in largest loss | 9 | 13 | 9 |
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| Max. trade drawdown | -11720.42 | -10682.69 | -11720.42 |
| Max. trade % drawdown | -10.51 % | -9.72 % | -10.51 % |
| Max. system drawdown | -15062.81 | -13291.94 | -11720.42 |
| Max. system % drawdown | —7.97 % | -7.11 % | -7.98 % |
| Recovery Factor | 184.73 | 108.33 | 114.56 |
| CAR/MaxDD | 8.27 | 7.16 | 6.20 |
| RAR/MaxDD | 89.31 | 159.15 | 130.42 |
| Profit Factor | 2.77 | 2.78 | 2.76 |
| Payoff Ratio | 2.42 | 2.49 | 2.35 |
| Standard Error | 342344.30 | 183177.15 | 160997.81 |
| Risk-Reward Ratio | 0.90 | 0.91 | 0.87 |
| Ulcer Index | 0.55 | 0.67 | 0.62 |
| Ulcer Performance Index | 109.33 | 67.81 | 70.94 |
| Sharpe Ratio of trades | 6.25 | 6.02 | 6.57 |
| K-Ratio | 0.0042 | 0.0043 | 0.0041 |