Результаты тестирования робота за период 2007-2011 гг.

График

Синия линия — стратегия «купил и держи»

Таблица
All trades                 Long trades            Short trades
Net Profit %              559.13 %                  326.26 %                  232.87 %
Exposure %              40.65 %                22.09 %                 18.56 %

All trades      1543                  772 (50.03 %)          771 (49.97 %)
Avg. Profit/Loss %        0.36 %              0.42 %                    0.30 %

Winners          605 (39.21 %)       310 (20.09 %)        295 (19.12 %)
Avg. Profit %             2.82 %                  2.89 %                  2.74 %
Max. Consecutive           7                       6                       9
# bars in largest win         13                     13                    83

Losers      938 (60.79 %)        462 (29.94 %)      476 (30.85 %)
Avg. Loss %            -1.22 %              -1.23 %             -1.21 %
Max. Consecutive            11                 10                    17
# bars in largest loss       172               172                   148

Max. trade % drawdown        -38.25 %            -38.25 %                -24.23 %
Max. system % drawdown        -27.82 %       -26.16 %                   -22.13 %
Recovery Factor            9.64               7.22                           3.80
Profit Factor               1.49              1.57                           1.41
Payoff Ratio                2.31              2.34                           2.27
Risk-Reward Ratio           1.95            2.17                           1.17
Ulcer Performance Index      7.11            6.28                           1.98
Sharpe Ratio of trades       1.69             1.73                           1.64