|
All trades |
Long trades |
Short trades |
| Initial capital |
100000.00 |
100000.00 |
100000.00 |
| Ending capital |
3212621.93 |
1713690.60 |
1598931.33 |
| Net Profit |
3112621.93 |
1613690.60 |
1498931.33 |
| Net Profit % |
3112.62 % |
1613.69 % |
1498.93 % |
| Exposure % |
8.63 % |
4.13 % |
4.51 % |
| Net Risk Adjusted Return % |
36050.15 % |
39114.94 % |
33245.79 % |
| Annual Return % |
68.11 % |
53.02 % |
51.44 % |
| Risk Adjusted Return % |
788.86 % |
1285.07 % |
1140.83 % |
| Total transaction costs |
437228.11 |
219212.58 |
218015.53 |
|
| All trades |
6249 |
3124 (49.99 %) |
3125 (50.01 %) |
| Avg. Profit/Loss |
498.10 |
516.55 |
479.66 |
| Avg. Profit/Loss % |
0.50 % |
0.52 % |
0.48 % |
| Avg. Bars Held |
27.60 |
26.98 |
28.21 |
|
| Winners |
3475 (55.61 %) |
1728 (27.65 %) |
1747 (27.96 %) |
| Total Profit |
4586280.81 |
2376226.82 |
2210053.99 |
| Avg. Profit |
1319.79 |
1375.13 |
1265.06 |
| Avg. Profit % |
1.32 % |
1.38 % |
1.27 % |
| Avg. Bars Held |
32.59 |
31.40 |
33.78 |
| Max. Consecutive |
61 |
70 |
30 |
| Largest win |
59895.82 |
59895.82 |
26835.79 |
| # bars in largest win |
9 |
9 |
20 |
|
| Losers |
2774 (44.39 %) |
1396 (22.34 %) |
1378 (22.05 %) |
| Total Loss |
-1473658.88 |
-762536.22 |
-711122.67 |
| Avg. Loss |
-531.24 |
-546.23 |
-516.05 |
| Avg. Loss % |
-0.53 % |
-0.55 % |
-0.52 % |
| Avg. Bars Held |
21.34 |
21.52 |
21.15 |
| 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 |
-11720.42 |
-12228.53 |
-11720.42 |
| Max. system % drawdown |
-5.98 % |
-5.45 % |
-6.87 % |
| Recovery Factor |
265.57 |
131.96 |
127.89 |
| CAR/MaxDD |
11.40 |
9.73 |
7.48 |
| RAR/MaxDD |
132.02 |
235.73 |
165.95 |
| Profit Factor |
3.11 |
3.12 |
3.11 |
| Payoff Ratio |
2.48 |
2.52 |
2.45 |
| Standard Error |
368039.45 |
197550.63 |
172099.89 |
| Risk-Reward Ratio |
0.93 |
0.94 |
0.91 |
| Ulcer Index |
0.45 |
0.50 |
0.56 |
| Ulcer Performance Index |
138.33 |
94.69 |
82.87 |
| Sharpe Ratio of trades |
6.91 |
6.72 |
7.21 |
| K-Ratio |
0.0044 |
0.0044 |
0.0043 |
Комментарии к записи Робот Федя — сентябрь 10 дней отключены
