|
All trades |
Long trades |
Short trades |
| Initial capital |
100000 |
100000 |
100000 |
| Net Profit% |
2657.78% |
1358.62% |
1299.16% |
| Exposure% |
15.11% |
8.17% |
6.94% |
| Net Risk Adjusted Return% |
17593.06% |
16636.57% |
18718.49% |
| Annual Return% |
79.23% |
60.23% |
59.06% |
| Risk Adjusted Return% |
524.43% |
737.52% |
850.95% |
| All trades |
3950 |
1975 (50.00%) |
1975 (50.00%) |
| Avg. Profit/Loss% |
0.67% |
0.69% |
0.66% |
| Avg. Bars Held |
35.45 |
37.78 |
33.12 |
| Winners |
2224 (56.30%) |
1067 (27.01%) |
1157 (29.29%) |
| Avg. Profit% |
1.72% |
1.86% |
1.59% |
| Max. Consecutive |
32 |
21 |
26 |
| Losers |
1726 (43.70%) |
908 (22.99%) |
818 (20.71%) |
| Avg. Loss% |
-0.68% |
-0.69% |
-0.66% |
| Max. Consecutive |
10 |
7 |
12 |
| Max. trade% drawdown |
-9.07% |
-8.70% |
-9.07% |
| Max. system% drawdown |
-4.79% |
-4.91% |
-5.68% |
| Recovery Factor |
207.97 |
114.98 |
96.68 |
| CAR/MaxDD |
16.54 |
12.28 |
10.4 |
| RAR/MaxDD |
109.51 |
150.33 |
149.77 |
| Profit Factor |
3.27 |
3.15 |
3.41 |
| Payoff Ratio |
2.54 |
2.68 |
2.41 |
| Standard Error |
259024.37 |
123827.57 |
139060.68 |
| Risk-Reward Ratio |
1.91 |
2.07 |
1.72 |
| Ulcer Index |
0.67 |
0.79 |
1.04 |
| Ulcer Performance Index |
110.71 |
69.18 |
51.47 |
| Sharpe Ratio of trades |
7.28 |
7 |
7.6 |
| K-Ratio |
0.0085 |
0.0092 |
0.0077 |
