Author Archive
27
Фев
Робот Вова. Февраль end
Закончился февраль.
Для любознательных выкладываю картинку и таблицу результатов.
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| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 3502163.15 | 1882440.83 | 1719722.32 |
| Net Profit | 3402163.15 | 1782440.83 | 1619722.32 |
| Net Profit % | 3402.16 % | 1782.44 % | 1619.72 % |
| Exposure % | 10.30 % | 4.56 % | 5.74 % |
| Net Risk Adjusted Return % | 33029.57 % | 39061.71 % | 28231.86 % |
| Annual Return % | 59.53 % | 47.04 % | 45.30 % |
| Risk Adjusted Return % | 577.92 % | 1030.79 % | 789.59 % |
| Total transaction costs | 180492.77 | 90680.89 | 89811.88 |
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| All trades | 3611 | 1805 (49.99 %) | 1806 (50.01 %) |
| Avg. Profit/Loss | 942.17 | 987.50 | 896.86 |
| Avg. Profit/Loss % | 0.94 % | 0.99 % | 0.90 % |
| Avg. Bars Held | 53.14 | 50.72 | 55.57 |
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| Winners | 2118 (58.65 %) | 1035 (28.66 %) | 1083 (29.99 %) |
| Total Profit | 4343886.14 | 2231007.82 | 2112878.32 |
| Avg. Profit | 2050.94 | 2155.56 | 1950.95 |
| Avg. Profit % | 2.05 % | 2.16 % | 1.95 % |
| Avg. Bars Held | 64.47 | 64.96 | 63.99 |
| Max. Consecutive | 63 | 31 | 53 |
| Largest win | 78280.22 | 78280.22 | 37486.42 |
| # bars in largest win | 303 | 303 | 162 |
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| Losers | 1493 (41.35 %) | 770 (21.32 %) | 723 (20.02 %) |
| Total Loss | -941722.99 | -448566.99 | -493156.00 |
| Avg. Loss | -630.76 | -582.55 | -682.10 |
| Avg. Loss % | -0.63 % | -0.58 % | -0.68 % |
| Avg. Bars Held | 37.08 | 31.57 | 42.96 |
| Max. Consecutive | 17 | 8 | 10 |
| Largest loss | -2883.02 | -2740.32 | -2883.02 |
| # bars in largest loss | 9 | 34 | 9 |
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| Max. trade drawdown | -20985.48 | -20985.48 | -11598.26 |
| Max. trade % drawdown | -13.51 % | -13.51 % | -10.32 % |
| Max. system drawdown | -22543.73 | -23476.77 | -11598.26 |
| Max. system % drawdown | -10.11 % | -6.50 % | -5.08 % |
| Recovery Factor | 150.91 | 75.92 | 139.65 |
| CAR/MaxDD | 5.89 | 7.24 | 8.91 |
| RAR/MaxDD | 57.15 | 158.70 | 155.30 |
| Profit Factor | 4.61 | 4.97 | 4.28 |
| Payoff Ratio | 3.25 | 3.70 | 2.86 |
| Standard Error | 355781.57 | 193644.58 | 163802.65 |
| Risk-Reward Ratio | 1.05 | 1.04 | 1.06 |
| Ulcer Index | 0.67 | 0.70 | 0.56 |
| Ulcer Performance Index | 81.39 | 59.74 | 71.04 |
| Sharpe Ratio of trades | 6.12 | 5.81 | 6.69 |
| K-Ratio | 0.0053 | 0.0053 | 0.0054 |