Николай Камынин

Для истории в период 01.01.2007  по 01.01.2012  проведен эксперимент без стопов и с установленным стоп-лосс на уровне 9% и таке-профит на уровне 50%.

В результате :

Без STOP: прибыль 1208%  просадка  в трейде 41%,  просадка Equity 16%
Со STOP :  прибыль 1346%  просадка  в трейде 15%,  просадка Equity 9%

Графики за период 2007 -2011 годы.

голубая линия-Equity

Ниже приведены подробные результаты:

Без STOP          All trades                 Long trades            Short trades
Net Profit %        1208.78 %               640.96 %                  567.82 %
Exposure %            23.98 %                    12.06 %                    11.92 %

All trades         1415                         708 (50.04 %)          707 (49.96 %)
Avg. Profit/Loss %                 0.85 %                      0.91 %                       0.80 %

Winners            644 (45.51 %)          350 (24.73 %)          294 (20.78 %)
Avg. Profit %                3.11 %                      3.05 %                       3.18 %
Max. Consecutive          9                                9                                 8
# bars in largest win       234                            234                            86

Losers       771 (54.49 %)          358 (25.30 %)          413 (29.19 %)
Avg. Loss %                 -1.03 %                     -1.19 %                     -0.89 %
Max. Consecutive            9                                9                                 14
# bars in largest loss    2                                170                            2

Max. trade % drawdown       -41.31 %                   -29.94 %                   -41.31 %
Max. system % drawdown    -16.00 %                   -16.45 %                   -11.89 %
Recovery Factor             13.37                        12.93                         13.04
CAR/MaxDD                  4.21                           3.00                           3.89
RAR/MaxDD                 17.57                        24.88                         32.66
Profit Factor             2.52                           2.51                           2.54
Payoff Ratio              3.02                           2.57                           3.57
Risk-Reward Ratio         2.72                           3.03                           2.11
Ulcer Index               1.79                           2.47                           2.14
Sharpe Ratio of trades     3.58                           3.73                           3.40

~~~~~~~~~~~~~~~~~~~~~~~~
Со STOP         All trades                 Long trades            Short trades
Net Profit %             1346.79 %               723.62 %                  623.17 %
Exposure %              23.05 %                    11.44 %                    11.61 %

All trades     1417            709 (50.04 %)          708 (49.96 %)
Avg. Profit/Loss %             0.95 %            1.02 %                       0.88 %

Winners      660 (46.58 %)          357 (25.19 %)          303 (21.38 %)
Avg. Profit %                 3.17 %                      3.14 %                       3.21 %
Max. Consecutive              13           12                            12
# bars in largest win          179                            179                            86

Losers          757 (53.42 %)          352 (24.84 %)          405 (28.58 %)
Avg. Loss %               -0.99 %                     -1.13 %                     -0.86 %
Max. Consecutive           9                                9                                 9
# bars in largest loss     170                            170                            24

Max. trade % drawdown      -15.38 %                   -15.38 %                   -10.05 %
Max. system % drawdown      -7.11 %                     -8.22 %                     -9.02 %
Recovery Factor                47.34                        26.96                         28.95
CAR/MaxDD                      9.96                           6.39                           5.39
RAR/MaxDD                43.20                        55.91                         46.43
Profit Factor              2.80                           2.81                           2.79
Payoff Ratio                3.21                           2.77                           3.73
Risk-Reward Ratio           2.27                           2.55                           1.86
Ulcer Index              1.66                           2.16                           2.14
Sharpe Ratio of trades        3.86                           3.89                           3.84

Резюме:  РоботВася  обеспечивает прибыльную торговлю с ожидаемой максимальной просадкой прибыли ( Equity ) не более 10%.

На периоде с 1.01. 2012  по 28.04.2012 год 

РоботВася показал:
прибыль 54.5%  просадка в трейде 3% просадка  Equity5%

 

Продолжается испытания Робота Вася.

В  настоящее время изменение алгоритма производится в основном на основе опыта, полученного на предыдущем роботе.

РоботВася не пользует  Фибо и фильтр  КАМА.

Добавлены объемы.

К настоящему времени достигнуты следующие результаты:

январь 2012 прибыль 6.6%  просадка 3.6%
февраль  2012 прибыль 10.6% просадка 4.2%
март 2012 прибыль 15.8%  просадка 4.7%
апрель  2012 прибыль 34.8% просадка  2.6%

 За 2011 год  прибыль 240% просадка 6%
За период с 01.01.2007  по 01.01.2012 Прибыль  составила 1262%, а максимальная просадка составила до 40% внутри тренда и  до 12% по графику прибыли на всем интервале.
Ниже приведены более подробные результаты:

Январь 2012            All trades      Long trades Short trades
Net Profit %                       6.64 %                     9.14 %                     -2.50 %
Exposure %                        87.30 %                   52.34 %                   34.96 %

All trades                           25                             12 (48.00 %)           13 (52.00 %)
Avg. Profit/Loss %         0.27 %                     0.77 %                     -0.19 %

Winners                           12 (48.00 %)           7 (28.00 %)             5 (20.00 %)
Avg. Profit %                          1.25 %                     1.83 %                     0.44 %
Max. Consecutive                 4                               3                               2
# bars in largest win             244                          244                           61

Losers                                 13 (52.00 %)           5 (20.00 %)             8 (32.00 %)
Avg. Loss %                           -0.64 %                    -0.71 %                    -0.59 %
Max. Consecutive                   3                               2                               3
# bars in largest loss                24                             24                             63

Max. trade % drawdown             -2.80 %                    -2.80 %                    -1.59 %
Max. system % drawdown          -3.59 %                    -4.25 %                    -3.10 %
Recovery Factor                          1.80                         2.07                          -0.80
Profit Factor                                   1.80                         3.56                          0.47
Payoff Ratio                                  1.95                         2.55                          0.75
Sharpe Ratio of trades                3.59                         7.51                          -7.45
K-Ratio                                       0.0327                     0.0359                     -0.0108
 Февраль 2012                    All trades      Long trades Short trades
Net Profit %                                 10.61 %                   10.99 %                   -0.38 %
Exposure %                                 93.51 %                   47.95 %                   45.57 %

All trades                          30                             15 (50.00 %)           15 (50.00 %)
Avg. Profit/Loss %           0.35 %                     0.73 %                     -0.03 %

Winners                      17 (56.67 %)           11 (36.67 %)           6 (20.00 %)
Avg. Profit %                      1.11 %                     1.30 %                     0.78 %
Max. Consecutive                     9                               7                               4
# bars in largest win              185                          185                           163

Losers                       13 (43.33 %)           4 (13.33 %)             9 (30.00 %)
Avg. Loss %                   -0.64 %                    -0.81 %                    -0.56 %
Max. Consecutive                     4                               2                               3
# bars in largest loss               25                             25                             106

Max. trade % drawdown          -1.97 %                    -1.97 %                    -1.65 %
Max. system % drawdown       -4.22 %                    -2.44 %                    -3.09 %
Profit Factor                                   2.28                         4.38                          0.93
Payoff Ratio                                      1.74                         1.59                          1.39
Ulcer Index                                      1.59                         0.89                          1.52
Sharpe Ratio of trades                   6.25                         11.78                        -0.99
K-Ratio                                          0.0408                     0.0560                     0.0088

 Март 2012               All trades      Long trades Short trades
Net Profit %                           15.79 %                   5.91 %                     9.88 %
Exposure %                             92.57 %                   41.49 %                   51.08 %

All trades                             29                       14 (48.28 %)           15 (51.72 %)
Avg. Profit/Loss %              0.54 %                     0.42 %                     0.66 %

Winners                      14 (48.28 %)           9 (31.03 %)             5 (17.24 %)
Avg. Profit %                   1.79 %                     1.14 %                     2.96 %
Max. Consecutive                   3                               5                               1
# bars in largest win              328                          76                             328

Losers                                15 (51.72 %)           5 (17.24 %)             10 (34.48 %)
Avg. Loss %                         -0.62 %                    -0.87 %                    -0.49 %
Max. Consecutive                 5                               4                               2
# bars in largest loss               25                             25                             41

Max. trade % drawdown         -2.77 %              -2.77 %                    -1.33 %
Max. system % drawdown     -4.72 %             -4.10 %                    -2.33 %
Profit Factor                                  2.70                     2.36                          3.00
Payoff Ratio                                    2.89                   1.31                          6.00
Ulcer Performance Index       333.35                54.87                        311.00
Sharpe Ratio of trades                6.20                   6.92                          6.07
K-Ratio                                         0.0537                0.0281                     0.0568

 Апрель 2012             All trades            Long trades           Short trades
Net Profit %                            34.82 %                   16.95 %                   17.87 %
Exposure %                          85.49 %                   45.62 %                   39.87 %

All trades                             33                             17 (51.52 %)           16 (48.48 %)
Avg. Profit/Loss %            1.06 %                     1.00 %                     1.12 %

Winners                             26 (78.79 %)           15 (45.45 %)           11 (33.33 %)
Avg. Profit %                         1.47 %                     1.21 %                     1.81 %
Max. Consecutive                   11                             7                               5
# bars in largest win               366                          101                           366

Losers                                  7 (21.21 %)             2 (6.06 %)                5 (15.15 %)
Avg. Loss %                            -0.48 %                    -0.63 %                    -0.42 %
Max. Consecutive                 3                               1                               2
# bars in largest loss             12                             21                             12

Max. trade % drawdown           -1.62 %                    -1.12 %                    -1.62 %
Max. system % drawdown       -2.57 %                    -1.85 %                    -1.63 %
Recovery Factor                            11.67                       8.42                          9.36
Profit Factor                                     11.41                       14.35                        9.61
Payoff Ratio                                   3.07                         1.91                          4.37
Sharpe Ratio of trades                 17.20                       21.25                        15.41
K-Ratio                                       0.1793                     0.1249                     0.1391
 2011 год                    All trades                 Long trades            Short trades
Net Profit %                       240.93 %                  111.69 %                  129.25 %
Exposure %                     60.84 %                    27.48 %                    33.37 %
Annual Return %           255.45 %                  117.15 %                  135.80 %

All trades                       319                            160 (50.16 %)          159 (49.84 %)
Avg. Profit/Loss %           0.76 %                      0.70 %                       0.81 %

Winners                      157 (49.22 %)          85 (26.65 %)            72 (22.57 %)
Avg. Profit %                     2.24 %                      1.99 %                       2.54 %
Max. Consecutive              9                                7                                 8
# bars in largest win             328                            90                              328

Losers                        162 (50.78 %)          75 (23.51 %)            87 (27.27 %)
Avg. Loss %                      -0.68 %                     -0.76 %                     -0.61 %
Max. Consecutive                 12                              7                                 6
# bars in largest loss          27                              27                              10

Max. trade % drawdown      -5.55 %                     -5.55 %                     -3.83 %
Max. system % drawdown       -6.09 %                     -6.86 %                     -4.20 %
Recovery Factor                     27.50                        11.42                         16.08
Profit Factor                            3.18                           2.95                           3.42
Payoff Ratio                               3.28                           2.60                           4.14
Sharpe Ratio of trades             5.83                           6.41                           5.42
K-Ratio                                    0.0195                      0.0159                       0.0211

История 2007-2011 гг
All trades                 Long trades            Short trades
Net Profit %                       1262.82 %               678.15 %                  584.67 %
Exposure %                      22.90 %                    11.55 %                    11.35 %

All trades                        1439                         720 (50.03 %)          719 (49.97 %)
Avg. Profit/Loss %         0.88 %                      0.94 %                       0.81 %

Winners                        688 (47.81 %)          375 (26.06 %)          313 (21.75 %)
Avg. Profit %                   2.89 %                      2.86 %                       2.92 %
Max. Consecutive              17                              17                              11
# bars in largest win        181                            181                            96

Losers                           751 (52.19 %)          345 (23.97 %)          406 (28.21 %)
Avg. Loss %                  -0.96 %                     -1.14 %                     -0.81 %
Max. Consecutive             9                                6                                 9
# bars in largest loss          541                            541                            44

Max. trade % drawdown     -41.27 %                   -41.27 %                   -15.84 %
Max. system % drawdown       -12.45 %                   -20.91 %                   -8.63 %
CAR/MaxDD                               5.52                           2.43                           5.45
RAR/MaxDD                           24.11                        21.05                         47.99
Profit Factor                           2.75                           2.73                           2.78
Payoff Ratio                               3.00                           2.51                           3.60
Risk-Reward Ratio                2.58                           2.90                           1.98
Ulcer Index                              1.66                           2.28                           2.08
Sharpe Ratio of trades         4.04                           4.13                           3.95
K-Ratio                                   0.0110                      0.0124                       0.0085