Для тех, кто интересуется моими исследованиями, предлагаю ознакомиться с подробным графиком и таблицей  результата работы РоботаВася за период с 2.04.2012 по 20.04.2012

График

Таблица

………..All trades               Long trades           Short trades
Net Profit %         27.70 %           13.63 %                   14.07 %
Exposure %          89.56 %             46.25 %                   43.31 %
Net Risk Adjusted Return %       30.93 %      29.47 %               32.50 %

All trades     20         10 (50.00 %)           10 (50.00 %)
Avg. Profit/Loss %           1.39 %        1.36 %                   1.41 %

Winners      18 (90.00 %)        10 (50.00 %)      8 (40.00 %)
Avg. Profit %          1.57 %             1.36 %                     1.84 %
Max. Consecutive          13              10                             6
# bars in largest win      361            106                        361

Losers   2 (10.00 %)        0 (0.00 %)          2 (10.00 %)
Avg. Loss %             -0.31 %           N/A             -0.31 %
Max. Consecutive        1                  0                          1
# bars in largest loss     6            0                    6

Max. trade % drawdown    -1.64 %           -1.64 %            -1.17 %
Max. system % drawdown      -1.64 %          -1.64 %        -1.18 %
Recovery Factor            16.81         8.27            11.21
Profit Factor         45.60          N/A                23.66
Payoff Ratio        5.07          N/A                      5.91
Ulcer Index       0.42           0.45                          0.33
Sharpe Ratio of trades       20.02       29.20            16.53
K-Ratio          0.2641           0.1221                  0.1868