График

Таблица

All trades               Long trades          Short trades

Net Profit %                                                  9.95 %                     6.58 %                     3.37 %

Exposure %                                                  91.45 %                   46.13 %                   45.32 %

All trades                                                     60                             30 (50.00 %)           30 (50.00 %)

Avg. Profit/Loss %                                      0.17 %                     0.22 %                     0.11 %

Winners                                                       48 (80.00 %)           26 (43.33 %)           22 (36.67 %)

Avg. Profit %                                               0.28 %                     0.32 %                     0.23 %

Max. Consecutive                                       13                             10                             6

# bars in largest win                                   38                             38                             23

Losers                                                          12 (20.00 %)           4 (6.67 %)               8 (13.33 %)

Avg. Loss %                                                -0.28 %                    -0.43 %                    -0.21 %

Max. Consecutive                                       2                               1                               2

# bars in largest loss                                  2                               2                               3

Max. trade % drawdown                             -1.50 %                    -1.50 %                    -1.08 %

Max. system % drawdown                          -1.83 %                    -1.49 %                    -1.28 %

Recovery Factor                                          5.07                         4.21                          2.59

Profit Factor                                                 3.93                         4.87                          2.99

Payoff Ratio                                                  0.98                         0.75                          1.09

Ulcer Index                                                    0.46                         0.41                          0.33

Sharpe Ratio of trades                                21.51                       24.48                       18.55

K-Ratio                                                          0.1738                     0.1136                     0.1324

     Если купить в пятницу предыдущей недели по 93.60 и продать на недельном максимуме 97.80, то прибыль составила бы  4.4%.

Как видим, на растущем рынке робот обыграл стратегию  “Купил и держи” более, чем в 2 раза.