Author Archive
15
Фев
РоботГена.Газпром.(2)
сегодня 15.02.2013
| All trades | Long trades | Short trades | |
| Initial capital | 100000 | 100000 | 100000 |
| Net Profit % | 42.23% | 17.51% | 24.71% |
| Exposure % | 86.97% | 40.49% | 46.48% |
| Net Risk Adjusted Return % | 48.55% | 43.26% | 53.17% |
| Annual Return % | 1278.92% | 232.73% | 418.11% |
| Risk Adjusted Return % | 1470.60% | 574.83% | 899.57% |
| All trades | 86 | 43(50.00%) | 43(50.00%) |
| Avg. Profit/Loss % | 0.49% | 0.41% | 0.57% |
| Avg. Bars Held | 38.28 | 34 | 42.56 |
| Winners | 68(79.07%) | 33(38.37%) | 35(40.70%) |
| Avg. Profit % | 0.68% | 0.59% | 0.76% |
| Avg. Bars Held | 42.68 | 39.73 | 45.46 |
| Max. Consecutive | 29 | 14 | 19 |
| # bars in largest win | 177 | 274 | 177 |
| Losers | 18(20.93%) | 10(11.63%) | 8(9.30%) |
| Avg. Loss % | -0.22% | -0.21% | -0.24% |
| Avg. Bars Held | 21.67 | 15.1 | 29.88 |
| Max. Consecutive | 5 | 4 | 3 |
| # bars in largest loss | 42 | 5 | 42 |
| Max. trade % drawdown | -0.88% | -0.59% | -0.88% |
| Max. system % drawdown | -1.62% | -1.09% | -1.04% |
| Recovery Factor | 22.23 | 15.44 | 21.79 |
| CAR/MaxDD | 787.26 | 212.64 | 402.46 |
| RAR/MaxDD | 905.25 | 525.21 | 865.89 |
| Profit Factor | 12.69 | 10.28 | 15.33 |
| Payoff Ratio | 3.36 | 3.12 | 3.5 |
| Standard Error | 3496.2 | 1432.4 | 2333.63 |
| Risk-Reward Ratio | 67.63 | 55.38 | 67.33 |
| Ulcer Index | 0.34 | 0.38 | 0.26 |
| Ulcer Performance Index | 3770.85 | 593.05 | 1571.89 |
| Sharpe Ratio of trades | 15.36 | 14.7 | 16.04 |
| K-Ratio | 0.0463 | 0.0379 | 0.0461 |