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Привожу сравнительные результаты робота Вася и простой стратегии на основе ФНЧ
за прошедший период ноября 2012 г.
Анализируйте, размышляйте, творите.
| All trades | Long trades | Short trades | |
| Net Profit % | 30.64% | 11.45% | 19.19% |
| Exposure % | 85.96% | 33.87% | 52.09% |
| Net Risk Adjusted Return % | 35.64% | 33.80% | 36.84% |
| Annual Return % | 339170.09% | 2603.74% | 20739.98% |
| Risk Adjusted Return % | 394572.81% | 7686.76% | 39818.89% |
| All trades | 47 | 23 (48.94 %) | 24 (51.06 %) |
| Avg. Profit/Loss % | 0.65% | 0.50% | 0.80% |
| Winners | 45 (95.74 %) | 23 (48.94 %) | 22 (46.81 %) |
| Avg. Profit % | 0.68% | 0.50% | 0.88% |
| Losers | 2 (4.26 %) | 0 (0.00 %) | 2 (4.26 %) |
| Avg. Loss % | -0.08% | N/A | -0.08% |
| Max. trade % drawdown | -0.61% | -0.55% | -0.61% |
| Max. system % drawdown | -0.57% | -0.53% | -0.53% |
| Recovery Factor | 47.99 | 20.77 | 30.92 |
| CAR/MaxDD | 591128.47 | 4924.38 | 39129.18 |
| RAR/MaxDD | 687688.07 | 14537.75 | 75124.48 |
| Profit Factor | 203.06 | N/A | 127.55 |
| Payoff Ratio | 9.02 | N/A | 11.6 |
| Standard Error | 147.41 | 76.4 | 115.17 |
| Risk-Reward Ratio | 636.01 | 428.42 | 529.89 |
| Ulcer Index | 0.12 | 0.08 | 0.1 |
| Sharpe Ratio of trades | 29.86 | 61.13 | 25.76 |
| K-Ratio | 0.2063 | 0.139 | 0.1719 |
| All trades | Long trades | Short trades | |
| Net Profit % | 8.54% | 0.15% | 8.39% |
| Exposure % | 96.61% | 36.80% | 59.81% |
| Net Risk Adjusted Return % | 8.84% | 0.41% | 14.03% |
| Annual Return % | 1110.77% | 4.67% | 1060.87% |
| Risk Adjusted Return % | 1149.72% | 12.68% | 1773.65% |
| All trades | 20 | 10 (50.00 %) | 10 (50.00 %) |
| Avg. Profit/Loss % | 0.42% | 0.02% | 0.81% |
| Winners | 12 (60.00 %) | 5 (25.00 %) | 7 (35.00 %) |
| Avg. Profit % | 0.99% | 0.65% | 1.24% |
| Losers | 8 (40.00 %) | 5 (25.00 %) | 3 (15.00 %) |
| Avg. Loss % | -0.45% | -0.61% | -0.19% |
| Max. trade % drawdown | -1.51% | -1.51% | -1.07% |
| Max. system % drawdown | -2.27% | -3.02% | -1.07% |
| Recovery Factor | 3.58 | 0.05 | 7.24 |
| CAR/MaxDD | 488.29 | 1.54 | 993.35 |
| RAR/MaxDD | 505.41 | 4.19 | 1660.76 |
| Profit Factor | 3.28 | 1.05 | 15.11 |
| Payoff Ratio | 2.19 | 1.05 | 6.48 |
| Standard Error | 2.88 | 3.51 | 3.73 |
| Risk-Reward Ratio | 426.14 | -37.77 | 364.27 |
| Ulcer Index | 0.59 | 1.18 | 0.49 |
| Sharpe Ratio of trades | 9.91 | 0.45 | 16.35 |
| K-Ratio | 0.1382 | -0.0123 | 0.1182 |