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Умный робот
В данной заметке приведен результат синтеза торгового алгоритма для акций сбербанка
на интервале с 01.01.2014 по н в, на основе локальных экстремумов функции цены.
Алгоритм не имеет параметров настройки.
Торговля без плеч и без реинвестирования прибыли, на постоянную сумму.
Используется авторский метод обучения с учителем.
Получены следующие результаты:
весь период:
подробнее:
таблица итоговых результатов:
| Statistics |
|---|
| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 251884.97 | 169948.66 | 181936.30 |
| Net Profit | 151884.97 | 69948.66 | 81936.30 |
| Net Profit % | 151.88 % | 69.95 % | 81.94 % |
| Exposure % | 69.13 % | 32.79 % | 36.33 % |
| Net Risk Adjusted Return % | 219.72 % | 213.30 % | 225.51 % |
| Annual Return % | 939.77 % | 283.52 % | 355.85 % |
| Risk Adjusted Return % | 1359.49 % | 864.57 % | 979.41 % |
| Total transaction costs | 17767.58 | 8913.50 | 8854.09 |
|
|
|||
| All trades | 254 | 127 (50.00 %) | 127 (50.00 %) |
| Avg. Profit/Loss | 597.97 | 550.78 | 645.17 |
| Avg. Profit/Loss % | 0.60 % | 0.55 % | 0.65 % |
| Avg. Bars Held | 42.45 | 40.19 | 44.71 |
|
|
|||
| Winners | 157 (61.81 %) | 76 (29.92 %) | 81 (31.89 %) |
| Total Profit | 204724.56 | 95400.74 | 109323.83 |
| Avg. Profit | 1303.98 | 1255.27 | 1349.68 |
| Avg. Profit % | 1.30 % | 1.26 % | 1.35 % |
| Avg. Bars Held | 50.23 | 46.59 | 53.64 |
| Max. Consecutive | 17 | 8 | 19 |
| Largest win | 10190.04 | 10146.45 | 10190.04 |
| # bars in largest win | 267 | 255 | 267 |
|
|
|||
| Losers | 97 (38.19 %) | 51 (20.08 %) | 46 (18.11 %) |
| Total Loss | -52839.60 | -25452.07 | -27387.52 |
| Avg. Loss | -544.74 | -499.06 | -595.38 |
| Avg. Loss % | -0.54 % | -0.50 % | -0.60 % |
| Avg. Bars Held | 29.86 | 30.65 | 28.98 |
| Max. Consecutive | 5 | 6 | 5 |
| Largest loss | -2642.90 | -2421.46 | -2642.90 |
| # bars in largest loss | 59 | 95 | 59 |
|
|
|||
| Max. trade drawdown | -9338.37 | -3017.45 | -9338.37 |
| Max. trade % drawdown | -8.03 % | -3.02 % | -8.03 % |
| Max. system drawdown | -9338.37 | -6620.33 | -9338.37 |
| Max. system % drawdown | —6.85 % | -6.01 % | -7.11 % |
| Recovery Factor | 16.26 | 10.57 | 8.77 |
| CAR/MaxDD | 137.27 | 47.18 | 50.05 |
| RAR/MaxDD | 198.58 | 143.88 | 137.75 |
| Profit Factor | 3.87 | 3.75 | 3.99 |
| Payoff Ratio | 2.39 | 2.52 | 2.27 |
| Standard Error | 8743.55 | 6702.63 | 4472.97 |
| Risk-Reward Ratio | 41.99 | 22.65 | 48.15 |
| Ulcer Index | 1.66 | 1.68 | 1.84 |
| Ulcer Performance Index | 562.60 | 165.94 | 190.32 |
| Sharpe Ratio of trades | 8.73 | 8.27 | 9.17 |
| K-Ratio | 0.0466 | 0.0251 | 0.0534 |
Это результат, если инвестировать прибыль в следующие сделки:
| Statistics |
|---|
| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 438870.64 | 276410.73 | 262459.91 |
| Net Profit | 338870.64 | 176410.73 | 162459.91 |
| Net Profit % | 338.87 % | 176.41 % | 162.46 % |
| Exposure % | 99.80 % | 47.18 % | 52.62 % |
| Net Risk Adjusted Return % | 339.55 % | 373.91 % | 308.74 % |
| Annual Return % | 4147.61 % | 1215.89 % | 1054.01 % |
| Risk Adjusted Return % | 4155.88 % | 2577.10 % | 2003.03 % |
| Total transaction costs | 35241.48 | 17624.82 | 17616.66 |
|
|
|||
| All trades | 254 | 127 (50.00 %) | 127 (50.00 %) |
| Avg. Profit/Loss | 1334.14 | 1389.06 | 1279.21 |
| Avg. Profit/Loss % | 0.60 % | 0.55 % | 0.65 % |
| Avg. Bars Held | 42.45 | 40.19 | 44.71 |
|
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|||
| Winners | 157 (61.81 %) | 76 (29.92 %) | 81 (31.89 %) |
| Total Profit | 436543.14 | 219880.58 | 216662.56 |
| Avg. Profit | 2780.53 | 2893.17 | 2674.85 |
| Avg. Profit % | 1.30 % | 1.26 % | 1.35 % |
| Avg. Bars Held | 50.23 | 46.59 | 53.64 |
| Max. Consecutive | 17 | 8 | 19 |
| Largest win | 28678.22 | 28678.22 | 13497.16 |
| # bars in largest win | 255 | 255 | 120 |
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| Losers | 97 (38.19 %) | 51 (20.08 %) | 46 (18.11 %) |
| Total Loss | -97672.50 | -43469.85 | -54202.65 |
| Avg. Loss | -1006.93 | -852.35 | -1178.32 |
| Avg. Loss % | -0.54 % | -0.50 % | -0.60 % |
| Avg. Bars Held | 29.86 | 30.65 | 28.98 |
| Max. Consecutive | 5 | 6 | 5 |
| Largest loss | -5281.24 | -3075.96 | -5281.24 |
| # bars in largest loss | 164 | 95 | 164 |
|
|
|||
| Max. trade drawdown | -11382.71 | -7476.11 | -11382.71 |
| Max. trade % drawdown | -8.03 % | -3.02 % | -8.03 % |
| Max. system drawdown | -17147.27 | -9639.32 | -17277.77 |
| Max. system % drawdown | -8.59 % | -7.95 % | -10.57 % |
| Recovery Factor | 19.76 | 18.30 | 9.40 |
| CAR/MaxDD | 482.86 | 152.95 | 99.73 |
| RAR/MaxDD | 483.82 | 324.18 | 189.52 |
| Profit Factor | 4.47 | 5.06 | 4.00 |
| Payoff Ratio | 2.76 | 3.39 | 2.27 |
| Standard Error | 29394.78 | 20309.14 | 11095.17 |
| Risk-Reward Ratio | 23.47 | 16.28 | 32.38 |
| Ulcer Index | 2.55 | 2.35 | 2.99 |
| Ulcer Performance Index | 1626.94 | 515.09 | 350.29 |
| Sharpe Ratio of trades | 8.73 | 8.27 | 9.17 |
| K-Ratio | 0.0260 | 0.0181 | 0.0359 |