|
All trades |
Long trades |
Short trades |
| Initial capital |
100000.00 |
100000.00 |
100000.00 |
| Ending capital |
3273398.59 |
1744209.94 |
1629188.66 |
| Net Profit |
3173398.59 |
1644209.94 |
1529188.66 |
| Net Profit % |
3173.40 % |
1644.21 % |
1529.19 % |
| Exposure % |
8.57 % |
4.12 % |
4.45 % |
| Net Risk Adjusted Return % |
37046.60 % |
39902.92 % |
34399.04 % |
| Annual Return % |
68.19 % |
53.13 % |
51.58 % |
| Risk Adjusted Return % |
796.04 % |
1289.30 % |
1160.22 % |
| Total transaction costs |
447514.19 |
224333.04 |
223181.15 |
|
| All trades |
6396 |
3197 (49.98 %) |
3199 (50.02 %) |
| Avg. Profit/Loss |
496.15 |
514.30 |
478.02 |
| Avg. Profit/Loss % |
0.50 % |
0.51 % |
0.48 % |
| Avg. Bars Held |
27.10 |
26.63 |
27.57 |
|
| Winners |
3592 (56.16 %) |
1781 (27.85 %) |
1811 (28.31 %) |
| Total Profit |
4647766.20 |
2413085.63 |
2234680.57 |
| Avg. Profit |
1293.92 |
1354.90 |
1233.95 |
| Avg. Profit % |
1.29 % |
1.36 % |
1.23 % |
| Avg. Bars Held |
31.69 |
30.85 |
32.51 |
| Max. Consecutive |
32 |
48 |
30 |
| Largest win |
59895.82 |
59895.82 |
26835.79 |
| # bars in largest win |
9 |
9 |
20 |
|
| Losers |
2804 (43.84 %) |
1416 (22.14 %) |
1388 (21.70 %) |
| Total Loss |
-1474367.61 |
-768875.69 |
-705491.92 |
| Avg. Loss |
-525.81 |
-542.99 |
-508.28 |
| Avg. Loss % |
-0.53 % |
-0.54 % |
-0.51 % |
| Avg. Bars Held |
21.22 |
21.32 |
21.13 |
| Max. Consecutive |
11 |
11 |
10 |
| Largest loss |
-3966.93 |
-3685.38 |
-3966.93 |
| # bars in largest loss |
27 |
25 |
27 |
|
| 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 % |
-5.44 % |
-6.87 % |
| Recovery Factor |
258.90 |
124.05 |
130.47 |
| CAR/MaxDD |
11.40 |
9.76 |
7.50 |
| RAR/MaxDD |
133.05 |
236.85 |
168.77 |
| Profit Factor |
3.15 |
3.14 |
3.17 |
| Payoff Ratio |
2.46 |
2.50 |
2.43 |
| Standard Error |
371428.93 |
199269.90 |
173742.58 |
| Risk-Reward Ratio |
0.94 |
0.94 |
0.92 |
| Ulcer Index |
0.44 |
0.49 |
0.55 |
| Ulcer Performance Index |
141.71 |
97.78 |
84.48 |
| Sharpe Ratio of trades |
7.05 |
6.84 |
7.37 |
| K-Ratio |
0.0044 |
0.0045 |
0.0044 |
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