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Фев
РоботГена. Газпром
Написал нового робота для Газпрома.
Как обычно, система без плеч и без реинвестирования, торгует на постоянный депозит.
Вот его результаты за 2013 год.
Пока это черновой вариант робота .
| All trades | Long trades | Short trades | |
| Net Profit % | 29.71% | 12.05% | 17.67% |
| Exposure % | 83.10% | 37.25% | 45.85% |
| Net Risk Adjusted Return % | 35.76% | 32.34% | 38.53% |
| Annual Return % | 654.18% | 141.94% | 253.72% |
| Risk Adjusted Return % | 787.19% | 381.01% | 553.38% |
| All trades | 35 | 18(51.43%) | 17(48.57%) |
| Avg. Profit/Loss % | 0.86% | 0.66% | 1.06% |
| Winners | 32(91.4%) | 16(45.7%) | 16(45.7%) |
| Avg. Profit % | 0.95% | 0.76% | 1.13% |
| Max. Consecutive | 24 | 12 | 16 |
| # bars in largest win | 179 | 29 | 179 |
| Losers | 3 (8.57%) | 2 (5.71%) | 1 (2.86%) |
| Avg. Loss % | -0.09% | -0.11% | -0.06% |
| Avg. Bars Held | 93 | 48.5 | 182 |
| Max. Consecutive | 1 | 1 | 1 |
| # bars in largest loss | 6 | 6 | 182 |
| Max. trade % drawd | -0.89% | -0.59% | -0.89% |
| Max. system % drawd | -0.89% | -0.64% | -1.05% |
| Recovery Factor | 32.68 | 18.15 | 16.76 |
| CAR/MaxDD | 736.48 | 220.59 | 242.31 |
| RAR/MaxDD | 886.23 | 592.13 | 528.5 |
| Profit Factor | 173.92 | 102.95 | 330.25 |
| Payoff Ratio | 16.31 | 12.87 | 20.64 |
| Standard Error | 1775.59 | 560.26 | 1560.59 |
| Risk-Reward Ratio | 106.99 | 110.85 | 81.93 |
| Ulcer Index | 0.27 | 0.34 | 0.26 |
| Ulcer Performance Index | 2428.06 | 403.8 | 944.7 |
| Sharpe Ratio | 15.33 | 15.56 | 15.8 |
| K-Ratio | 0.0727 | 0.0753 | 0.0556 |