Представьте себе, что робот Петя начал торговать на фондовом рынке в 2007 году.
Было у него всего 1 тысяча .
Все это время он не забирал полученную прибыль , а инвестировал ее в новые акции.
И вот результат:
All trades | Long trades | Short trades | |
Initial capital | 1000 | 1000 | 1000 |
Ending capital | 174 834 554 | 98 353 015 | 76 482 539 |
Net Profit | 174 833 554 | 98 352 015 | 76 481 539 |
Net Profit % | 17483355.40% | 9835201.51% | 7648153.89% |
Exposure % | 53.25% | 27.33% | 25.92% |
Net Risk Adjusted Return % | 32832915.70% | 35993027.37% | 29502010.25% |
Annual Return % | 677.04% | 604.70% | 575.24% |
Risk Adjusted Return % | 1271.44% | 2212.99% | 2218.92% |
All trades | 3111 | 1555 (49.98 %) | 1556 (50.02 %) |
Avg. Profit/Loss | 56198.51 | 63248.88 | 49152.66 |
Avg. Profit/Loss % | 0.53% | 0.57% | 0.49% |
Avg. Bars Held | 45.77 | 47.21 | 44.34 |
Winners | 1429 (45.93 %) | 715 (22.98 %) | 714 (22.95 %) |
Total Profit | 322366752.6 | 173670172.5 | 148696580.1 |
Avg. Profit | 225589.05 | 242895.35 | 208258.52 |
Avg. Profit % | 2.03% | 2.17% | 1.88% |
Avg. Bars Held | 66.47 | 69.22 | 63.71 |
Max. Consecutive | 19 | 9 | 13 |
# bars in largest win | 143 | 266 | 143 |
Losers | 1682 (54.07 %) | 840 (27.00 %) | 842 (27.07 %) |
Avg. Loss % | -0.74% | -0.79% | -0.69% |
Avg. Bars Held | 28.19 | 28.47 | 27.91 |
Max. Consecutive | 16 | 11 | 10 |
# bars in largest loss | 14 | 14 | 97 |
Max. trade % drawdown | -11.92% | -7.91% | -11.92% |
Max. system % drawdown | -18.40% | -43.41% | -41.02% |
Recovery Factor | 36.54 | 24.25 | 18.02 |
CAR/MaxDD | 36.79 | 13.93 | 14.02 |
RAR/MaxDD | 69.09 | 50.98 | 54.09 |
Profit Factor | 2.19 | 2.31 | 2.06 |
Payoff Ratio | 2.57 | 2.71 | 2.43 |
Risk-Reward Ratio | 2.06 | 2.34 | 1.6 |
Ulcer Index | 2.89 | 5.02 | 6.26 |
Ulcer Performance Index | 232.71 | 119.37 | 91.06 |
Sharpe Ratio of trades | 4.3 | 4.15 | 4.48 |
K-Ratio | 0.0093 | 0.0106 | 0.0072 |
Таким образом, сегодня робот Петя стал миллионером.
На его счете 1000 превратилась в 174 миллиона.
Вы конечно поняли, что это была шутка.
А вот результаты робота Пети без реинвестирования , без плеч.
Торговля на постоянный депозит, для определенности 100 тысяч.
All trades | Long trades | Short trades | |
Initial capital | 100000 | 100000 | 100000 |
Ending capital | 1747014.01 | 990850.26 | 856163.75 |
Net Profit | 1647014.01 | 890850.26 | 756163.75 |
Net Profit % | 1647.01% | 890.85% | 756.16% |
Exposure % | 19.28% | 9.82% | 9.46% |
Net Risk Adjusted Return % | 8543.12% | 9069.07% | 7996.75% |
Annual Return % | 62.55% | 47.63% | 44.01% |
Risk Adjusted Return % | 324.47% | 484.86% | 465.42% |
All trades | 3111 | 1555 (49.98 %) | 1556 (50.02 %) |
Avg. Profit/Loss % | 0.53% | 0.57% | 0.49% |
Winners | 1429 (45.93 %) | 715 (22.98 %) | 714 (22.95 %) |
Avg. Profit % | 2.03% | 2.17% | 1.88% |
Losers | 1682 (54.07 %) | 840 (27.00 %) | 842 (27.07 %) |
Avg. Loss % | -0.74% | -0.79% | -0.69% |
Max. Consecutive | 16 | 11 | 10 |
# bars in largest loss | 70 | 21 | 70 |
Max. trade % drawdown | -11.92% | -7.91% | -11.92% |
Max. system % drawdown | -7.75% | -7.38% | -10.61% |
Recovery Factor | 81.06 | 41.79 | 43.25 |
CAR/MaxDD | 8.07 | 6.45 | 4.15 |
RAR/MaxDD | 41.86 | 65.7 | 43.85 |
Profit Factor | 2.32 | 2.35 | 2.29 |
Payoff Ratio | 2.73 | 2.76 | 2.7 |
Risk-Reward Ratio | 1.68 | 1.73 | 1.55 |
Ulcer Index | 1.12 | 1.23 | 1.69 |
Ulcer Performance Index | 51.24 | 34.2 | 22.82 |
Sharpe Ratio of trades | 4.3 | 4.15 | 4.48 |
K-Ratio | 0.0076 | 0.0078 | 0.007 |