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Продолжаю изучать свое творение.
Сбербанк обычка, c 29.08.2011 по 7.10.2011 тайм 5 минут
………………………………….All trades Long trades Short trades
Net Profit % 89.39 % 37.25 % 52.14 %
Exposure % 75.77 % 30.04 % 45.73 %
Net Risk Adjusted Return % 117.97 % 123.99 % 114.02 %
Annual Return % 39317.55 % 1836.15 % 4976.14 %
Risk Adjusted Return % 51891.75 % 6111.96 % 10882.42 %
All trades 146 73 (50.00 %) 73 (50.00 %)
Avg. Profit/Loss % 0.61 % 0.51 % 0.71 %
Avg. Bars Held 22.08 17.62 26.55
Winners 86 (58.90 %) 40 (27.40 %) 46 (31.51 %)
Avg. Profit % 1.42 % 1.38 % 1.46 %
Avg. Bars Held 26.97 24.25 29.33
Max. Consecutive 7 5 8
Largest win 7180.99 5135.29 7180.99
# bars in largest win 32 55 32
Losers 60 (41.10 %) 33 (22.60 %) 27 (18.49 %)
Avg. Loss % -0.55 % -0.54 % -0.56 %
Avg. Bars Held 15.08 9.58 21.81
Max. Consecutive 6 3 6
# bars in largest loss 5 5 70
Max. trade % drawdown -4.38 % -2.84 % -4.38 %
Max. system % drawdown -4.13 % -3.56 % -3.48 %
Recovery Factor 14.06 8.90 10.29
CAR/MaxDD 9523.38 516.48 1428.83
RAR/MaxDD 12569.07 1719.20 3124.74
Profit Factor 3.71 3.09 4.43
Payoff Ratio 2.59 2.55 2.60
Standard Error 5944.68 2381.32 4548.73
Risk-Reward Ratio 143.91 130.14 119.95
Ulcer Index 1.53 0.95 1.65
Ulcer Performance Index 25746.28 1921.14 3017.03
Sharpe Ratio of trades 13.63 14.47 13.39
K-Ratio 0.0800 0.0723 0.0667
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Период 01.01.2011 по 07.10.2011
…………………………………All trades Long trades Short trades
Net Profit % 294.21 % 128.98 % 165.23 %
Exposure % 60.42 % 25.79 % 34.63 %
Net Risk Adjusted Return % 486.93 % 500.12 % 477.11 %
Annual Return % 543.18 % 207.76 % 275.66 %
Risk Adjusted Return % 898.97 % 805.56 % 796.00 %
All trades 840 420 (50.00 %) 420 (50.00 %)
Avg. Profit/Loss % 0.35 % 0.31 % 0.39 %
Avg. Bars Held 23.44 20.16 26.73
Winners 454 (54.05 %) 219 (26.07 %) 235 (27.98 %)
Avg. Profit % 1.00 % 0.95 % 1.05 %
Avg. Bars Held 28.98 26.41 31.37
Max. Consecutive 12 9 8
Largest win 7760.40 5135.29 7760.40
# bars in largest win 44 55 44
Losers 386 (45.95 %) 201 (23.93 %) 185 (22.02 %)
Avg. Loss % -0.42 % -0.40 % -0.44 %
Avg. Bars Held 16.94 13.35 20.84
Max. Consecutive 15 10 7
Largest loss -3706.64 -2120.94 -3706.64
# bars in largest loss 36 16 36
Max. trade % drawdown -4.38 % -2.51 % -4.38 %
Max. system % drawdown -6.87 % -7.07 % -8.05 %
Recovery Factor 26.55 13.84 15.19
CAR/MaxDD 79.08 29.39 34.25
RAR/MaxDD 130.88 113.97 98.89
Profit Factor 2.82 2.62 3.02
Payoff Ratio 2.40 2.41 2.37
Risk-Reward Ratio 7.11 7.23 6.95
Ulcer Index 2.48 2.85 2.51
Ulcer Performance Index 216.84 70.98 107.66
Sharpe Ratio of trades 9.79 10.29 9.46
K-Ratio 0.0110 0.0112 0.0108
Tags: AMIBROKER, QUIK, внутридневная торговля, технический анализ, торговый робот