Author Archive
30
Сен
Робот Федя -сентябрь end
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| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 3303762.79 | 1758071.93 | 1645690.86 |
| Net Profit | 3203762.79 | 1658071.93 | 1545690.86 |
| Net Profit % | 3203.76 % | 1658.07 % | 1545.69 % |
| Exposure % | 8.52 % | 4.10 % | 4.42 % |
| Net Risk Adjusted Return % | 37607.45 % | 40463.01 % | 34960.80 % |
| Annual Return % | 68.17 % | 53.12 % | 51.62 % |
| Risk Adjusted Return % | 800.21 % | 1296.32 % | 1167.65 % |
| Total transaction costs | 451291.85 | 226227.80 | 225064.05 |
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| All trades | 6450 | 3224 (49.98 %) | 3226 (50.02 %) |
| Avg. Profit/Loss | 496.71 | 514.29 | 479.14 |
| Avg. Profit/Loss % | 0.50 % | 0.51 % | 0.48 % |
| Avg. Bars Held | 26.96 | 26.50 | 27.42 |
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| Winners | 3632 (56.31 %) | 1801 (27.92 %) | 1831 (28.39 %) |
| Total Profit | 4679343.29 | 2428596.31 | 2250746.98 |
| Avg. Profit | 1288.37 | 1348.47 | 1229.24 |
| Avg. Profit % | 1.29 % | 1.35 % | 1.23 % |
| Avg. Bars Held | 31.50 | 30.72 | 32.27 |
| Max. Consecutive | 32 | 48 | 30 |
| Largest win | 59895.82 | 59895.82 | 26835.79 |
| # bars in largest win | 9 | 9 | 20 |
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| Losers | 2818 (43.69 %) | 1423 (22.06 %) | 1395 (21.63 %) |
| Total Loss | -1475580.49 | -770524.37 | -705056.12 |
| Avg. Loss | -523.63 | -541.48 | -505.42 |
| Avg. Loss % | -0.52 % | -0.54 % | -0.51 % |
| Avg. Bars Held | 21.11 | 21.16 | 21.06 |
| Max. Consecutive | 11 | 10 | 10 |
| Largest loss | -3966.93 | -3685.38 | -3966.93 |
| # bars in largest loss | 27 | 25 | 27 |
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| Max. trade drawdown | -11720.42 | -10682.69 | -11720.42 |
| Max. trade % drawdown | -10.51 % | -9.72 % | -10.51 % |
| Max. system drawdown | -12257.25 | -13254.74 | -11720.42 |
| Max. system % drawdown | -5.98 % | -5.41 % | -6.87 % |
| Recovery Factor | 261.38 | 125.09 | 131.88 |
| CAR/MaxDD | 11.39 | 9.82 | 7.51 |
| RAR/MaxDD | 133.75 | 239.62 | 169.85 |
| Profit Factor | 3.17 | 3.15 | 3.19 |
| Payoff Ratio | 2.46 | 2.49 | 2.43 |
| Standard Error | 370982.44 | 199024.04 | 173551.88 |
| Risk-Reward Ratio | 0.94 | 0.95 | 0.93 |
| Ulcer Index | 0.44 | 0.48 | 0.54 |
| Ulcer Performance Index | 144.25 | 99.25 | 85.24 |
| Sharpe Ratio of trades | 7.12 | 6.88 | 7.48 |
| K-Ratio | 0.0045 | 0.0045 | 0.0044 |