Дело было вечером, делать было нечего.

И решил я написать систему торговли фьючерсом сбербанка на тайме 1 минута с плечом 1:10, и вот что получилось.

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Система реверсивная на основе модернизированного мною параболика.

Применяю полином второго порядка

Сделка на открытии следующей свечи. Комиссия 0.01%.

Стопов нет

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Период с 17.05.2012 по настоящее время (история сервера КВИК).

Выполнил  оптимизацию параметров.

Получили следующий результат:

 All trades                           Long trades                   Short trades
Initial capital                    10000.00                          10000.00  10000.00
Net Profit %                              366.58 % 155.25 %  211.33 %
Exposure %                                  86.54 %     41.98 %         44.56 %
Net Risk Adjusted Return %          423.58 %                          369.79 %  474.26 %

All trades         39                            20 (51.28 %)                    19 (48.72 %)
Avg. Profit/Loss %             0.51 %                              0.35 %      0.69 %

Winners        24 (61.54 %)                   12 (30.77 %)                    12 (30.77 %)
Avg. Profit %                   1.14 %                              0.97 %      1.31 %
Max. Consecutive                   3                                        5     4
# bars in largest win                   79                                      79  129

Losers     15 (38.46 %)                                        8 (20.51 %)                      7 (17.95 %)
Avg. Loss %                 -0.49 %                             -0.58 %     -0.38 %
Avg. Bars Held              50.73                                51.00         50.43
Max. Consecutive                 2                                        3     2
# bars in largest loss               15                                      40  15

Max. trade % drawdown      -1.73 %                             -1.73 %     -1.40 %
Max. system % drawdown      -21.84 %                           -28.56 %   -27.22 %
Recovery Factor           5.80                                   2.97           3.44
Profit Factor              3.22                                   2.72           3.84
Payoff Ratio               2.02                                   1.81           2.24
Risk-Reward Ratio             716.17                              450.09      283.05
Ulcer Index                 6.93                                   11.29         10.48
Sharpe Ratio of trades        22.19                                17.39         26.66
K-Ratio     0.0560                                0.0352                              0.0221
 

Добавили стопы 1.3% и 4%

 
All trades                  Long trades                      Short trades
Initial capital            10000.00                            10000.00         10000.00
Net Profit %            410.03 %                            182.39 %         227.64 %
Exposure %                82.66 %                              40.98 %            41.68 %

All trades         39                      20 (51.28 %)    19 (48.72 %)
Avg. Profit/Loss %               0.54 %                     0.40 %  0.69 %

Winners 24 (61.54 %)                   12 (30.77 %)                      12 (30.77 %)
Avg. Profit %               1.17 %                                 1.02 %  1.32 %
Max. Consecutive              3                                           5            4
# bars in largest win              46                                        46          129

Losers   15 (38.46 %)                                           8 (20.51 %)                         7 (17.95 %)
Avg. Loss %                    -0.46 %                               -0.53 % -0.38 %
Max. Consecutive              2                                           3            2
# bars in largest loss         15                                        40          15

Max. trade % drawdown        -1.32 %                               -1.32 % -1.29 %
Max. system % drawdown    -21.84 %                             -26.86 %          -29.17 %
Recovery Factor        5.88                                     3.16       3.36
Profit Factor          3.34                                     2.97       3.76
Payoff Ratio              2.09                                     1.98       2.19
Risk-Reward Ratio              706.03                                 445.82  287.22
Ulcer Index               6.75                                     10.67    11.11
Sharpe Ratio of trades          22.98                                   18.65    27.07
K-Ratio   0.0550                  0.0347                                 0.0224