Author Archive
14
Дек
РоботПетя. 14.12.12
| All trades | Long trades | Short trades | |
| Initial capital | 100000 | 100000 | 100000 |
| Net Profit% | 2220.31% | 1172.33% | 1047.98% |
| Exposure% | 15.83% | 7.93% | 7.91% |
| Net Risk Adjusted Return% | 14023.12% | 14786.84% | 13257.16% |
| Annual Return% | 69.87% | 53.51% | 50.87% |
| Risk Adjusted Return% | 441.28% | 674.95% | 643.56% |
| All trades | 3398 | 1699 (50.00%) | 1699 (50.00%) |
| Avg. Profit/Loss% | 0.65% | 0.69% | 0.62% |
| Winners | 1751(51.53%) | 866(25.49%) | 885(26.04%) |
| Avg. Profit% | 1.92% | 2.06% | 1.78% |
| Losers | 1647(48.47%) | 833(24.51%) | 814 (23.96%) |
| Max. trade% drawdown | -11.92% | -7.87% | -11.92% |
| Max. system% drawdown | -6.24% | -5.88% | -9.15% |
| Recovery Factor | 114.41 | 85.34 | 76.98 |
| CAR/MaxDD | 11.2 | 9.1 | 5.56 |
| RAR/MaxDD | 70.72 | 114.79 | 70.32 |
| Profit Factor | 2.95 | 2.92 | 3 |
| Payoff Ratio | 2.78 | 2.81 | 2.76 |
| Risk-Reward Ratio | 1.68 | 1.76 | 1.54 |
| Ulcer Index | 0.85 | 0.86 | 1.29 |
| Ulcer Performance Index | 76.17 | 55.75 | 35.3 |
| Sharpe Ratio of trades | 5.59 | 5.43 | 5.9 |
| K-Ratio | 0.0076 | 0.008 | 0.007 |