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Итак робот Федя закончил свое обучение на истории.
Следующий этап — это работа в реальном времени в период торгов с последующей, после торгов, работой над ошибками.
Для любознательных, отображаю более подробные графики, а также результаты работы:
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Первые два графика с таблицей — последний день июня и последний меcяц — июль.
Построены по данным реального времени. Т е на основе 3000 свечей, получаемых с сервера КВИК.
Поэтому результаты в таблице отображают прибыль лишь июня.
Следующие графики отображает фрагменты всей историю с 2008 г по текущий момент.
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Итоги за последние 3000 свечей
| Statistics |
|---|
| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 191265.22 | 147880.10 | 143385.12 |
| Net Profit | 91265.22 | 47880.10 | 43385.12 |
| Net Profit % | 91.27 % | 47.88 % | 43.39 % |
| Exposure % | 75.88 % | 40.56 % | 35.32 % |
| Net Risk Adjusted Return % | 120.27 % | 118.04 % | 122.84 % |
| Annual Return % | 17068.03 % | 2129.45 % | 1645.12 % |
| Risk Adjusted Return % | 22493.23 % | 5249.94 % | 4657.84 % |
| Total transaction costs | 0.00 | 0.00 | 0.00 |
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| All trades | 172 | 86 (50.00 %) | 86 (50.00 %) |
| Avg. Profit/Loss | 530.61 | 556.75 | 504.48 |
| Avg. Profit/Loss % | 0.53 % | 0.56 % | 0.51 % |
| Avg. Bars Held | 19.67 | 20.81 | 18.52 |
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| Winners | 145 (84.30 %) | 74 (43.02 %) | 71 (41.28 %) |
| Total Profit | 103465.64 | 53078.59 | 50387.05 |
| Avg. Profit | 713.56 | 717.28 | 709.68 |
| Avg. Profit % | 0.72 % | 0.72 % | 0.72 % |
| Avg. Bars Held | 19.68 | 20.91 | 18.39 |
| Max. Consecutive | 19 | 11 | 11 |
| Largest win | 4878.16 | 3065.10 | 4878.16 |
| # bars in largest win | 19 | 32 | 19 |
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| Losers | 27 (15.70 %) | 12 (6.98 %) | 15 (8.72 %) |
| Total Loss | -12200.42 | -5198.49 | -7001.93 |
| Avg. Loss | -451.87 | -433.21 | -466.80 |
| Avg. Loss % | -0.45 % | -0.43 % | -0.47 % |
| Avg. Bars Held | 19.63 | 20.25 | 19.13 |
| Max. Consecutive | 3 | 2 | 3 |
| Largest loss | -1552.32 | -1349.76 | -1552.32 |
| # bars in largest loss | 92 | 11 | 92 |
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| Max. trade drawdown | -1969.92 | -1969.92 | -1934.24 |
| Max. trade % drawdown | -1.97 % | -1.97 % | -1.93 % |
| Max. system drawdown | -4471.11 | -2527.67 | -2293.96 |
| Max. system % drawdown | -4.19 % | -2.44 % | -2.22 % |
| Recovery Factor | 20.41 | 18.94 | 18.91 |
| CAR/MaxDD | 4069.75 | 872.44 | 740.87 |
| RAR/MaxDD | 5363.34 | 2150.91 | 2097.61 |
| Profit Factor | 8.48 | 10.21 | 7.20 |
| Payoff Ratio | 1.58 | 1.66 | 1.52 |
| Standard Error | 4306.55 | 1607.38 | 3139.19 |
| Risk-Reward Ratio | 169.33 | 237.52 | 110.68 |
| Ulcer Index | 0.81 | 0.50 | 0.66 |
| Ulcer Performance Index | 20987.42 | 4274.76 | 2482.10 |
| Sharpe Ratio of trades | 23.18 | 25.23 | 21.48 |
| K-Ratio | 0.1087 | 0.1525 | 0.0710 |
Итоги с 01.01.2008 по 30.06.2014
| Statistics |
|---|
| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 1813319.15 | 998184.93 | 915134.22 |
| Net Profit | 1713319.15 | 898184.93 | 815134.22 |
| Net Profit % | 1713.32 % | 898.18 % | 815.13 % |
| Exposure % | 12.50 % | 6.07 % | 6.44 % |
| Net Risk Adjusted Return % | 13701.49 % | 14805.15 % | 12661.47 % |
| Annual Return % | 56.43 % | 42.65 % | 40.75 % |
| Risk Adjusted Return % | 451.24 % | 703.05 % | 632.99 % |
| Total transaction costs | 0.00 | 0.00 | 0.00 |
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| All trades | 5717 | 2859 (50.01 %) | 2858 (49.99 %) |
| Avg. Profit/Loss | 299.69 | 314.16 | 285.21 |
| Avg. Profit/Loss % | 0.30 % | 0.31 % | 0.29 % |
| Avg. Bars Held | 29.08 | 29.16 | 29.00 |
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| Winners | 2980 (52.13 %) | 1468 (25.68 %) | 1512 (26.45 %) |
| Total Profit | 3594763.90 | 1839699.09 | 1755064.81 |
| Avg. Profit | 1206.30 | 1253.20 | 1160.76 |
| Avg. Profit % | 1.21 % | 1.25 % | 1.16 % |
| Avg. Bars Held | 34.08 | 34.02 | 34.14 |
| Max. Consecutive | 19 | 11 | 12 |
| Largest win | 26310.00 | 26310.00 | 22877.40 |
| # bars in largest win | 2 | 2 | 96 |
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| Losers | 2737 (47.87 %) | 1391 (24.33 %) | 1346 (23.54 %) |
| Total Loss | -1881444.75 | -941514.16 | -939930.59 |
| Avg. Loss | -687.41 | -676.86 | -698.31 |
| Avg. Loss % | -0.69 % | -0.68 % | -0.70 % |
| Avg. Bars Held | 23.64 | 24.04 | 23.23 |
| Max. Consecutive | 10 | 11 | 9 |
| Largest loss | -14192.04 | -14192.04 | -12895.09 |
| # bars in largest loss | 18 | 18 | 65 |
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| Max. trade drawdown | -14477.10 | -14192.04 | -14477.10 |
| Max. trade % drawdown | -14.21 % | -14.20 % | -14.21 % |
| Max. system drawdown | -30740.97 | -21361.94 | -26515.78 |
| Max. system % drawdown | -8.63 % | -8.98 % | -8.69 % |
| Recovery Factor | 55.73 | 42.05 | 30.74 |
| CAR/MaxDD | 6.54 | 4.75 | 4.69 |
| RAR/MaxDD | 52.29 | 78.26 | 72.85 |
| Profit Factor | 1.91 | 1.95 | 1.87 |
| Payoff Ratio | 1.75 | 1.85 | 1.66 |
| Standard Error | 176639.89 | 97003.77 | 83511.84 |
| Risk-Reward Ratio | 1.11 | 1.14 | 1.01 |
| Ulcer Index | 0.79 | 1.22 | 1.22 |
| Ulcer Performance Index | 64.56 | 30.46 | 28.96 |
| Sharpe Ratio of trades | 4.43 | 4.59 | 4.26 |
| K-Ratio | 0.0052 | 0.0053 | 0.0047 |