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Автор: Николай Камынин
Предлагаю результаты работы
алгоритма торговли на двух индикаторах. EMA + TRIX ,
сбербанк обычка,
сигнал на закрытии свечи, сделка на открытии следующей.
Комиссия 0.035%.
Без реинвестирования прибыли, без плеч.
Тайм 30 минут
Оптимизация произведена по периоду 2007-2011
Исторические данные за период 1999-2006
All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 481268.64 527675.76 53592.88
Net Profit 381268.64 427675.76 -46407.12
Net Profit % 381.27 % 427.68 % -46.41 %
Exposure % 24.00 % 11.94 % 12.06 %
Net Risk Adjusted Return % 1588.60 % 3581.10 % -384.87 %
Annual Return % 23.02 % 24.52 % -7.90 %
Risk Adjusted Return % 95.92 % 205.35 % -65.48 %
All trades 3114 1573 (50.51 %) 1541 (49.49 %)
Avg. Profit/Loss 122.44 271.89 -30.11
Avg. Profit/Loss % 0.13 % 0.29 % -0.04 %
Avg. Bars Held 10.33 10.16 10.50
Winners 1181 (37.93 %) 638 (20.49 %) 543 (17.44 %)
Total Profit 2524177.11 1411796.49 1112380.62
Avg. Profit 2137.32 2212.85 2048.58
Avg. Profit % 2.25 % 2.34 % 2.15 %
Avg. Bars Held 15.08 14.65 15.59
Max. Consecutive 9 9 6
Largest win 22412.88 13269.87 22412.88
# bars in largest win 3 3 3
Losers 1933 (62.07 %) 935 (30.03 %) 998 (32.05 %)
Total Loss -2142908.47 -984120.74 -1158787.74
Avg. Loss -1108.59 -1052.54 -1161.11
Avg. Loss % -1.17 % -1.11 % -1.23 %
Avg. Bars Held 7.42 7.10 7.73
Max. Consecutive 20 12 12
Largest loss -15180.97 -10001.53 -15180.97
# bars in largest loss 8 24 8
Max. trade drawdown -15766.38 -15766.38 -15180.97
Max. trade % drawdown -15.66 % -15.66 % -15.24 %
Max. system drawdown -55657.16 -50537.27 -193132.27
Max. system % drawdown -19.04 % -17.75 % -78.28 %
Recovery Factor 6.85 8.46 -0.24
CAR/MaxDD 1.21 1.38 -0.10
RAR/MaxDD 5.04 11.57 -0.84
Profit Factor 1.18 1.43 0.96
Payoff Ratio 1.93 2.10 1.76
Standard Error 49360.82 30526.68 28210.22
Risk-Reward Ratio 0.57 1.40 -0.52
Ulcer Index 5.33 4.01 42.86
Ulcer Performance Index 3.30 4.77 -0.31
Sharpe Ratio of trades 0.94 2.29 -0.45
K-Ratio 0.0073 0.0179 -0.0066
Исторические данные за период 2007-2011
All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 596425.63 358785.61 337640.03
Net Profit 496425.63 258785.61 237640.03
Net Profit % 496.43 % 258.79 % 237.64 %
Exposure % 39.72 % 19.00 % 20.72 %
Net Risk Adjusted Return % 1249.78 % 1362.31 % 1146.65 %
Annual Return % 46.40 % 31.35 % 29.66 %
Risk Adjusted Return % 116.82 % 165.03 % 143.10 %
All trades 1874 936 (49.95 %) 938 (50.05 %)
Avg. Profit/Loss 264.90 276.48 253.35
Avg. Profit/Loss % 0.27 % 0.28 % 0.25 %
Avg. Bars Held 10.93 10.55 11.31
Winners 792 (42.26 %) 390 (20.81 %) 402 (21.45 %)
Total Profit 2021075.78 1001699.26 1019376.52
Avg. Profit 2551.86 2568.46 2535.76
Avg. Profit % 2.55 % 2.57 % 2.54 %
Avg. Bars Held 15.34 15.03 15.63
Max. Consecutive 10 9 7
Largest win 18284.77 16039.05 18284.77
# bars in largest win 15 9 15
Losers 1082 (57.74 %) 546 (29.14 %) 536 (28.60 %)
Total Loss -1524650.14 -742913.65 -781736.49
Avg. Loss -1409.10 -1360.65 -1458.46
Avg. Loss % -1.41 % -1.36 % -1.46 %
Avg. Bars Held 7.70 7.34 8.07
Max. Consecutive 14 11 17
Largest loss -16639.71 -16639.71 -16118.48
# bars in largest loss 9 9 11
Max. trade drawdown -20540.57 -20540.57 -16621.66
Max. trade % drawdown -19.76 % -19.76 % -16.54 %
Max. system drawdown -44982.69 -46477.80 -42505.22
Max. system % drawdown -20.88 % -33.44 % -15.58 %
Recovery Factor 11.04 5.57 5.59
CAR/MaxDD 2.22 0.94 1.90
RAR/MaxDD 5.59 4.93 9.19
Profit Factor 1.33 1.35 1.30
Payoff Ratio 1.81 1.89 1.74
Standard Error 49556.83 32377.38 42413.85
Risk-Reward Ratio 2.62 2.21 1.38
Ulcer Index 4.71 5.99 5.51
Ulcer Performance Index 8.71 4.33 4.40
Sharpe Ratio of trades 1.78 1.91 1.57
K-Ratio 0.0258 0.0217 0.0136
Результат:
1999-2006 Прибыль % Всего 381.27 % лонг 427.68 % шорт (убыток) -46.41 %
2007-2011 Прибыль % Всего 496.43 % лонг 258.79 % шорт 237.64 %