Author Archive
19
Фев
РоботГена. Газпром(3)
Сегодня 19.02.13
| All trades | Long trades | Short trades | |
| Initial capital | 100000 | 100000 | 100000 |
| Net Profit % | 49.59% | 21.58% | 28.00% |
| Exposure % | 86.39% | 34.15% | 52.24% |
| Net Risk Adjusted Return % | 57.40% | 63.20% | 53.60% |
| Annual Return % | 3210.54% | 446.51% | 754.67% |
| Risk Adjusted Return % | 3716.36% | 1307.55% | 1444.60% |
| All trades | 102 | 51 (50.00 %) | 51 (50.00 %) |
| Winners | 85 (83.33 %) | 42 (41.18 %) | 43 (42.16 %) |
| Avg. Profit % | 0.61% | 0.55% | 0.68% |
| Max. Consecutive | 52 | 29 | 32 |
| # bars in largest win | 177 | 29 | 177 |
| Losers | 17 (16.67 %) | 9 (8.82 %) | 8 (7.84 %) |
| Avg. Loss % | -0.14% | -0.15% | -0.13% |
| Max. Consecutive | 3 | 2 | 3 |
| # bars in largest loss | 13 | 13 | 4 |
| Max. trade % drawdown | -0.88% | -0.52% | -0.88% |
| Max. system % drawdown | -0.90% | -0.70% | -0.84% |
| Recovery Factor | 54.1 | 30.25 | 31.62 |
| CAR/MaxDD | 3549.06 | 634.74 | 899.56 |
| RAR/MaxDD | 4108.2 | 1858.76 | 1721.95 |
| Profit Factor | 24.35 | 17.93 | 34 |
| Payoff Ratio | 4.87 | 3.84 | 6.33 |
| Standard Error | 4525.63 | 2197.4 | 2504.58 |
| Risk-Reward Ratio | 83.5 | 63.02 | 95.6 |
| Ulcer Index | 0.23 | 0.27 | 0.19 |
| Ulcer Performance Index | 13967.73 | 1646.25 | 4002.57 |
| Sharpe Ratio of trades | 19.75 | 22.41 | 18.22 |
| K-Ratio | 0.0489 | 0.0369 | 0.056 |