24 августа, 2012
|
All trades |
Long trades |
Short trades |
| Net Profit % |
2581.06% |
1319.91% |
1261.15% |
| Exposure % |
15.65% |
8.56% |
7.09% |
| Net Risk Adjusted Return % |
16493.76% |
15415.89% |
17796.01% |
| Annual Return % |
79.40% |
60.24% |
59.04% |
| Risk Adjusted Return % |
507.36% |
703.52% |
833.06% |
| All trades |
3689 |
1845 (50.01%) |
1844 (49.99%) |
| Avg. Profit/Loss % |
0.70% |
0.72% |
0.68% |
| Avg. Bars Held |
37.46 |
40.37 |
34.54 |
| Winners |
2069 (56.09 %) |
990 (26.84%) |
1079 (29.25%) |
| Avg. Profit % |
1.79% |
1.95% |
1.65% |
| Avg. Bars Held |
45.69 |
50.93 |
40.89 |
| Max. Consecutive |
32 |
21 |
26 |
| # bars in largest win |
87 |
2 |
87 |
| Losers |
1620 (43.91 %) |
855 (23.18%) |
765 (20.74%) |
| Avg. Loss % |
-0.70% |
-0.72% |
-0.67% |
| Avg. Bars Held |
26.94 |
28.15 |
25.59 |
| Max. Consecutive |
10 |
7 |
12 |
| # bars in largest loss |
64 |
64 |
28 |
| Max. trade % drawdown |
-9.07% |
-8.70% |
-9.07% |
| Max. system % drawdown |
-4.99% |
-5.70% |
-5.73% |
| Recovery Factor |
201.97 |
112.08 |
93.86 |
| CAR/MaxDD |
15.9 |
10.57 |
10.31 |
| RAR/MaxDD |
101.58 |
123.41 |
145.44 |
| Profit Factor |
3.29 |
3.16 |
3.45 |
| Payoff Ratio |
2.57 |
2.72 |
2.44 |
| Risk-Reward Ratio |
1.96 |
2.12 |
1.75 |
| Ulcer Index |
0.72 |
0.83 |
1.1 |
| Ulcer Performance Index |
103.21 |
65.68 |
48.68 |
| Sharpe Ratio of trades |
7.19 |
6.84 |
7.6 |
| K-Ratio |
0.0087 |
0.0094 |
0.0077 |
Posted in QUIK и Amibroker, торговые роботы (МТС), Фондовый рынок | 4 комментария »
18 августа, 2012
|
All trades |
Long trades |
Short trades |
| Net Profit % |
2569.76% |
1313.85% |
1255.92% |
| Exposure % |
15.58% |
8.54% |
7.04% |
| Net Risk Adjusted Return % |
16497.48% |
15392.65% |
17836.80% |
| Annual Return % |
79.62% |
60.37% |
59.18% |
| Risk Adjusted Return % |
511.15% |
707.30% |
840.49% |
| All trades |
3696 |
1848 (50.0%) |
1848 (50.0%) |
| Avg. Profit/Loss |
695.28 |
710.96 |
679.61 |
| Avg. Profit/Loss % |
0.70% |
0.71% |
0.68% |
| Avg. Bars Held |
37.25 |
40.17 |
34.32 |
| Winners |
2070 (56.01%) |
988 (26.73%) |
1082 (29.27%) |
| Avg. Profit % |
1.79% |
1.95% |
1.64% |
| Avg. Bars Held |
45.43 |
50.68 |
40.63 |
| Max. Consecutive |
32 |
21 |
26 |
| # bars in largest win |
87 |
2 |
87 |
| Losers |
1626 (43.99%) |
860 (23.27%) |
766 (20.73%) |
| Avg. Loss % |
-0.70% |
-0.72% |
-0.68% |
| Avg. Bars Held |
26.83 |
28.1 |
25.4 |
| Max. Consecutive |
10 |
7 |
12 |
| # bars in largest loss |
64 |
64 |
28 |
| Max. trade % drawdown |
-9.07% |
-8.70% |
-9.07% |
| Max. system % drawdown |
-4.99% |
-5.70% |
-5.69% |
| Recovery Factor |
201.09 |
104.59 |
93.47 |
| CAR/MaxDD |
15.94 |
10.59 |
10.4 |
| RAR/MaxDD |
102.34 |
124.07 |
147.72 |
| Profit Factor |
3.26 |
3.13 |
3.42 |
| Payoff Ratio |
2.56 |
2.73 |
2.42 |
| Risk-Reward Ratio |
1.95 |
2.12 |
1.75 |
| Ulcer Index |
0.71 |
0.83 |
1.1 |
| Ulcer Performance Index |
103.96 |
65.91 |
48.73 |
| Sharpe Ratio of trades |
7.15 |
6.8 |
7.56 |
| K-Ratio |
0.0086 |
0.0094 |
0.0077 |
Posted in QUIK и Amibroker, торговые роботы (МТС), Фондовый рынок | Comments Closed
