График

На нижним графике

 прибыль— зеленый (в дальнейших сделках не используется) ,

средств для торговли (средства в сделках) -голубой ,

убытки ( максимальная просадка счета)— красный .

…………. …….All trades                 Long trades            Short trades
Net Profit %          596.77 %                  289.87 %                  306.90 %

All trades          1173             586 (49.96 %)          587 (50.04 %)
Avg. Profit/Loss %     0.51 %                      0.49 %                       0.52 %
Avg. Bars Held       22.34                        22.53                         22.15

Winners           729 (62.15 %)          355 (30.26 %)          374 (31.88 %)
Avg. Profit %          1.05 %                      1.06 %                       1.05 %
Max. Consecutive        33                              17                              44
# bars in largest win   70                              70                              94

Losers   444 (37.85 %)          231 (19.69 %)          213 (18.16 %)
Avg. Loss %           -0.38 %                     -0.38 %                     -0.39 %
Max. Consecutive         7                                7                                 6
# bars in largest loss    16                              16                              26

Max. trade % drawdown   -4.45 %                     -4.45 %                     -3.93 %
Max. system % drawdown  -2.80 %                     -3.33 %                     -4.51 %
Recovery Factor       106.47                      47.66                         50.04
CAR/MaxDD             230.49                      92.72                         72.41
RAR/MaxDD             1026.10                    822.17                       647.34
Profit Factor           4.50                           4.34                           4.66
Payoff Ratio            2.74                           2.83                           2.66
Risk-Reward Ratio       9.66                           8.98                           10.18
Ulcer Index              0.61                           0.65                           1.13
Ulcer Performance Index   1040.94                    463.18                       285.06
Sharpe Ratio of trades      14.19                        13.67                         14.72
K-Ratio               0.0170                      0.0158                       0.0180

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Для справки:   Стратегия «купил и держи» (на графике не показана)  за 2011 год дала бы 25% убытка.

Tags: AMIBROKER, QPILE, QUIK, торговый робот