РоботВася. Хроники 2.08.12

2 августа, 2012

 

 

 

 

 

 

 

 

 

 

All trades Long trades Short trades
Initial capital 100000 100000 100000
Ending capital 2553125.36 1352153.23 1300972.13
Net Profit 2453125.36 1252153.23 1200972.13
Net Profit % 2453.13% 1252.15% 1200.97%
Exposure % 16.14% 8.80% 7.34%
Net Risk Adjusted Return % 15198.09% 14227.30% 16362.14%
Annual Return % 78.96% 59.65% 58.54%
Risk Adjusted Return % 489.17% 677.73% 797.62%
All trades 3561 1781 (50.01 %) 1780 (49.99 %)
 Avg. Profit/Loss 688.89 703.06 674.7
 Avg. Profit/Loss % 0.69% 0.70% 0.67%
 Avg. Bars Held 38.3 41.37 35.22
Winners 1964 (55.15 %) 938 (26.34 %) 1026 (28.81 %)
 Total Profit 3601435.69 1887975.83 1713459.86
 Avg. Profit 1833.72 2012.77 1670.04
 Avg. Profit % 1.83% 2.01% 1.67%
 Avg. Bars Held 47.12 53.06 41.7
 Max. Consecutive 28 21 30
 Largest win 26604.04 26236.58 26604.04
 # bars in largest win 87 2 87
Losers 1597 (44.85 %) 843 (23.67 %) 754 (21.17 %)
 Total Loss -1148310.33 -635822.6 -512487.73
 Avg. Loss -719.04 -754.24 -679.69
 Avg. Loss % -0.72% -0.75% -0.68%
 Avg. Bars Held 27.44 28.36 26.41
 Max. Consecutive 10 7 12
 Largest loss -7042.92 -7042.92 -4459.79
 # bars in largest loss 50 50 28
Max. trade drawdown -10568.06 -9154.95 -10568.06
Max. trade % drawdown -9.07% -8.70% -9.07%
Max. system drawdown -12997.89 -15692.7 -13423.66
Max. system % drawdown -4.99% -5.70% -5.89%
Recovery Factor 188.73 79.79 89.47
CAR/MaxDD 15.81 10.46 9.94
RAR/MaxDD 97.93 118.89 135.47
Profit Factor 3.14 2.97 3.34
Payoff Ratio 2.55 2.67 2.46
Standard Error 237900.36 112868.05 129190.33
Risk-Reward Ratio 1.97 2.14 1.75
Ulcer Index 0.79 0.9 1.29
Ulcer Performance Index 92.63 60.4 41.06
Sharpe Ratio of trades 6.94 6.54 7.41
K-Ratio 0.0087 0.0094 0.0077


Posted in QUIK и Amibroker, торговые роботы (МТС), Фондовый рынок | Comments Closed

РоботВася. Хроники

2 августа, 2012

по 1.08.2012 включительно

 

 

 

 

 

 

 

 

All trades Long trades Short trades
Initial capital 100000 100000 100000
Ending capital 2534553.86 1342895.91 1291657.96
Net Profit 2434553.86 1242895.91 1191657.96
Net Profit % 2434.55% 1242.90% 1191.66%
Exposure % 16.24% 8.83% 7.41%
Net Risk Adjusted Return % 14989.65% 14076.32% 16077.70%
Annual Return % 78.77% 59.49% 58.38%
Risk Adjusted Return % 485.01% 673.72% 787.60%
All trades 3583 1792 (50.01 %) 1791 (49.99 %)
 Avg. Profit/Loss 679.47 693.58 665.36
 Avg. Profit/Loss % 0.68% 0.69% 0.67%
 Avg. Bars Held 38.04 40.92 35.15
Winners 1976 (55.15 %) 946 (26.40 %) 1030 (28.75 %)
 Total Profit 3594328.88 1883303.18 1711025.7
 Avg. Profit 1818.99 1990.81 1661.19
 Avg. Profit % 1.82% 1.99% 1.66%
 Avg. Bars Held 46.78 52.35 41.66
 Max. Consecutive 28 21 30
 Largest win 26604.04 26236.58 26604.04
 # bars in largest win 87 2 87
Losers 1607 (44.85 %) 846 (23.61 %) 761 (21.24 %)
 Total Loss -1159775.02 -640407.27 -519367.75
 Avg. Loss -721.7 -756.98 -682.48
 Avg. Loss % -0.72% -0.76% -0.68%
 Avg. Bars Held 27.29 28.13 26.34
 Max. Consecutive 10 7 12
 Largest loss -7042.92 -7042.92 -4459.79
 # bars in largest loss 50 50 28
Max. trade drawdown -10568.06 -9154.95 -10568.06
Max. trade % drawdown -9.07% -8.70% -9.07%
Max. system drawdown -12997.89 -15692.7 -13423.66
Max. system % drawdown -4.99% -5.70% -5.92%
Recovery Factor 187.3 79.2 88.77
CAR/MaxDD 15.77 10.44 9.85
RAR/MaxDD 97.1 118.18 132.94
Profit Factor 3.1 2.94 3.29
Payoff Ratio 2.52 2.63 2.43
Standard Error 236168.69 111952.03 128401.47
Risk-Reward Ratio 1.97 2.15 1.75
Ulcer Index 0.8 0.9 1.32
Ulcer Performance Index 91.49 59.82 40.06
Sharpe Ratio of trades 6.88 6.58 7.32
K-Ratio 0.0087 0.0095 0.0077

 

 

Posted in QUIK и Amibroker, торговые роботы (МТС), Фондовый рынок | Comments Closed

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