Author Archive
Сегодня 2.03.2013
| 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 |