Author Archive
Автор: Николай Камынин
Испытания торгового робота продолжаются.
Ниже приведены результаты его работы за прошедшую неделю.
В пятницу робот завершил неделю с открытой короткой позицией.
| Statistics |
|---|
| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 1000000.00 | 1000000.00 | 1000000.00 |
| Ending capital | 1165533.07 | 1075312.26 | 1090220.81 |
| Net Profit | 165533.07 | 75312.26 | 90220.81 |
| Net Profit % | 16.55 % | 7.53 % | 9.02 % |
| Exposure % | 91.49 % | 33.38 % | 58.11 % |
| Net Risk Adjusted Return % | 18.09 % | 22.56 % | 15.53 % |
| Annual Return % | 294194.84 % | 4308.63 % | 8938.81 % |
| Risk Adjusted Return % | 321569.72 % | 12908.68 % | 15382.76 % |
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| All trades | 42 | 21 (50.00 %) | 21 (50.00 %) |
| Avg. Profit/Loss | 3941.26 | 3586.30 | 4296.23 |
| Avg. Profit/Loss % | 0.39 % | 0.36 % | 0.43 % |
| Avg. Bars Held | 15.07 | 11.43 | 18.71 |
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| Winners | 32 (76.19 %) | 18 (42.86 %) | 14 (33.33 %) |
| Total Profit | 190239.75 | 79445.37 | 110794.38 |
| Avg. Profit | 5944.99 | 4413.63 | 7913.88 |
| Avg. Profit % | 0.59 % | 0.44 % | 0.79 % |
| Avg. Bars Held | 15.66 | 12.39 | 19.86 |
| Max. Consecutive | 8 | 7 | 4 |
| Largest win | 56234.59 | 12262.99 | 56234.59 |
| # bars in largest win | 131 | 31 | 131 |
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| Losers | 10 (23.81 %) | 3 (7.14 %) | 7 (16.67 %) |
| Total Loss | -24706.68 | -4133.11 | -20573.57 |
| Avg. Loss | -2470.67 | -1377.70 | -2939.08 |
| Avg. Loss % | -0.25 % | -0.14 % | -0.29 % |
| Avg. Bars Held | 13.20 | 5.67 | 16.43 |
| Max. Consecutive | 2 | 1 | 2 |
| Largest loss | -9625.53 | -1588.58 | -9625.53 |
| # bars in largest loss | 46 | 4 | 46 |
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| Max. trade drawdown | -14808.10 | -4678.36 | -14808.10 |
| Max. trade % drawdown | -1.48 % | -0.47 % | -1.48 % |
| Max. system drawdown | -14108.12 | -7236.07 | -16338.08 |
| Max. system % drawdown | -1.20 % | -0.70 % | -1.48 % |
| Recovery Factor | 11.73 | 10.41 | 5.52 |
| CAR/MaxDD | 245041.55 | 6187.36 | 6035.34 |
| RAR/MaxDD | 267842.71 | 18537.35 | 10386.19 |
| Profit Factor | 7.70 | 19.22 | 5.39 |
| Payoff Ratio | 2.41 | 3.20 | 2.69 |
| Standard Error | 7032.87 | 6988.15 | 9975.37 |
| Risk-Reward Ratio | 1339.48 | 644.05 | 493.18 |
| Ulcer Index | 0.36 | 0.14 | 0.43 |
| Ulcer Performance Index | 825092.52 | 31143.82 | 20700.05 |
| Sharpe Ratio of trades | 19.51 | 54.75 | 14.25 |
| K-Ratio | 0.3043 | 0.1463 | 0.1120 |