ЯНВАРЬ
……………………………….. All trades Long trades Short trades
Net Profit % 34.02 % 18.06 % 15.96 %
Exposure % 85.53 % 44.86 % 40.67 %
All trades 84 42 (50.00 %) 42 (50.00 %)
Avg. Profit/Loss % 0.41 % 0.43 % 0.38 %
Winners 57 (67.86 %) 31 (36.90 %) 26 (30.95 %)
Avg. Profit % 0.71 % 0.66 % 0.77 %
Max. Consecutive 8 10 5
# bars in largest win 50 54 50
Losers 27 (32.14 %) 11 (13.10 %) 16 (19.05 %)
Avg. Loss % -0.25 % -0.23 % -0.26 %
Max. Consecutive 4 2 4
# bars in largest loss 44 19 44
Max. trade % drawdown -1.43 % -1.43 % -1.24 %
Max. system % drawdown -1.38 % -1.44 % -1.64 %
Recovery Factor 22.47 11.31 8.67
Profit Factor 6.11 8.25 4.83
Payoff Ratio 2.90 2.93 2.97
Ulcer Index 0.46 0.49 0.60
Sharpe Ratio of trades 21.18 24.15 18.85
K-Ratio 0.2944 0.1324 0.1350
ФЕВРАЛЬ
Net Profit % 39.76 % 16.79 % 22.98 %
Exposure % 82.26 % 39.65 % 42.60 %
All trades 99 49 (49.49 %) 50 (50.51 %)
Avg. Profit/Loss % 0.40 % 0.34 % 0.46 %
Winners 65 (65.66 %) 33 (33.33 %) 32 (32.32 %)
Avg. Profit % 0.77 % 0.61 % 0.93 %
Max. Consecutive 9 8 7
# bars in largest win 77 36 77
Losers 34 (34.34 %) 16 (16.16 %) 18 (18.18 %)
Avg. Loss % -0.29 % -0.21 % -0.37 %
Max. Consecutive 7 4 3
# bars in largest loss 27 2 27
Max. trade % drawdown -2.49 % -1.26 % -2.49 %
Max. system % drawdown -2.83 % -1.75 % -2.35 %
Recovery Factor 13.26 9.49 8.73
Profit Factor 4.98 6.10 4.44
Payoff Ratio 2.61 2.96 2.50
Ulcer Index 0.74 0.63 0.67
Sharpe Ratio of trades 17.45 17.90 17.11
K-Ratio 0.1375 0.0736 0.1172
МАРТ
Net Profit % 43.67 % 24.94 % 18.73 %
Exposure % 80.79 % 44.39 % 36.40 %
All trades 150 75 (50.00 %) 75 (50.00 %)
Avg. Profit/Loss % 0.29 % 0.33 % 0.25 %
Winners 99 (66.00 %) 51 (34.00 %) 48 (32.00 %)
Avg. Profit % 0.55 % 0.60 % 0.50 %
Max. Consecutive 9 14 8
# bars in largest win 18 68 18
Losers 51 (34.00 %) 24 (16.00 %) 27 (18.00 %)
Avg. Loss % -0.22 % -0.24 % -0.20 %
Max. Consecutive 4 3 3
# bars in largest loss 37 37 22
Max. trade % drawdown -1.39 % -1.39 % -1.18 %
Max. system % drawdown -1.74 % -1.64 % -1.67 %
Recovery Factor 18.60 13.73 9.50
Profit Factor 4.90 5.25 4.51
Payoff Ratio 2.52 2.47 2.54
Ulcer Index 0.52 0.56 0.54
Sharpe Ratio of trades 18.37 19.95 17.29
K-Ratio 0.1335 0.1210 0.0510
АПРЕЛЬ
Net Profit % 27.81 % 10.77 % 17.04 %
Exposure % 88.89 % 37.36 % 51.52 %
All trades 125 62 (49.60 %) 63 (50.40 %)
Avg. Profit/Loss % 0.22 % 0.17 % 0.27 %
Winners 67 (53.60 %) 32 (25.60 %) 35 (28.00 %)
Avg. Profit % 0.63 % 0.56 % 0.69 %
Max. Consecutive 6 6 7
# bars in largest win 40 48 40
Losers 58 (46.40 %) 30 (24.00 %) 28 (22.40 %)
Avg. Loss % -0.25 % -0.24 % -0.25 %
Max. Consecutive 5 9 3
# bars in largest loss 59 19 59
Max. trade % drawdown -2.17 % -1.68 % -2.17 %
Max. system % drawdown -2.68 % -1.96 % -2.64 %
Recovery Factor 9.32 5.17 6.03
Profit Factor 2.96 2.49 3.43
Payoff Ratio 2.56 2.34 2.75
Risk-Reward Ratio 255.82 158.97 232.13
Ulcer Index 0.74 0.78 0.64
Sharpe Ratio of trades 14.06 13.48 14.51
K-Ratio 0.1242 0.0772 0.1127
МАЙ
Net Profit % 33.27 % 15.85 % 17.43 %
Exposure % 82.14 % 44.62 % 37.52 %
All trades 132 66 (50.00 %) 66 (50.00 %)
Avg. Profit/Loss % 0.25 % 0.24 % 0.26 %
Winners 85 (64.39 %) 44 (33.33 %) 41 (31.06 %)
Avg. Profit % 0.57 % 0.53 % 0.60 %
Max. Consecutive 10 10 6
# bars in largest win 68 20 68
Losers 47 (35.61 %) 22 (16.67 %) 25 (18.94 %)
Avg. Loss % -0.31 % -0.35 % -0.29 %
Max. Consecutive 5 5 3
# bars in largest loss 9 9 4
Max. trade % drawdown -1.73 % -1.73 % -1.35 %
Max. system % drawdown -2.61 % -2.68 % -1.68 %
Recovery Factor 10.62 5.42 9.38
Profit Factor 3.25 3.08 3.43
Payoff Ratio 1.80 1.54 2.09
Ulcer Index 0.79 0.71 0.55
Sharpe Ratio of trades 16.25 16.24 16.45
K-Ratio 0.0826 0.0684 0.0648
ИЮНЬ
Net Profit % 32.49 % 19.97 % 12.52 %
Exposure % 86.61 % 47.48 % 39.13 %
All trades 142 71 (50.00 %) 71 (50.00 %)
Avg. Profit/Loss % 0.23 % 0.28 % 0.18 %
Winners 88 (61.97 %) 52 (36.62 %) 36 (25.35 %)
Avg. Profit % 0.51 % 0.46 % 0.58 %
Max. Consecutive 7 17 5
# bars in largest win 38 38 26
Losers 54 (38.03 %) 19 (13.38 %) 35 (24.65 %)
Avg. Loss % -0.23 % -0.21 % -0.24 %
Max. Consecutive 5 3 5
# bars in largest loss 53 10 53
Max. trade % drawdown -1.65 % -1.24 % -1.65 %
Max. system % drawdown -2.06 % -1.88 % -2.61 %
Recovery Factor 14.31 10.11 4.52
Profit Factor 3.64 6.08 2.49
Payoff Ratio 2.23 2.22 2.42
Ulcer Index 0.59 0.49 0.63
Sharpe Ratio of trades 15.31 17.46 13.36
K-Ratio 0.1463 0.0901 0.0727
ИЮЛЬ
Net Profit % 30.20 % 16.36 % 13.84 %
Exposure % 86.48 % 52.68 % 33.79 %
All trades 135 67 (49.63 %) 68 (50.37 %)
Avg. Profit/Loss % 0.22 % 0.24 % 0.20 %
Winners 83 (61.48 %) 43 (31.85 %) 40 (29.63 %)
Avg. Profit % 0.52 % 0.54 % 0.50 %
Max. Consecutive 7 9 7
# bars in largest win 38 38 56
Losers 52 (38.52 %) 24 (17.78 %) 28 (20.74 %)
Avg. Loss % -0.25 % -0.28 % -0.22 %
Max. Consecutive 4 4 4
# bars in largest loss 23 24 23
Max. trade % drawdown -1.18 % -1.16 % -1.18 %
Max. system % drawdown -1.71 % -1.51 % -1.78 %
Recovery Factor 15.57 9.80 7.34
Profit Factor 3.36 3.43 3.28
Payoff Ratio 2.10 1.92 2.29
Ulcer Index 0.55 0.59 0.45
Sharpe Ratio of trades 13.34 12.15 15.74
K-Ratio 0.1854 0.1087 0.1198
АВГУСТ
Net Profit % 137.29 % 60.07 % 77.21 %
Exposure % 61.87 % 36.26 % 25.61 %
All trades 134 67 (50.00 %) 67 (50.00 %)
Avg. Profit/Loss % 1.02 % 0.90 % 1.15 %
Winners 97 (72.39 %) 46 (34.33 %) 51 (38.06 %)
Avg. Profit % 1.56 % 1.52 % 1.60 %
Max. Consecutive 12 11 15
# bars in largest win 51 51 34
Losers 37 (27.61 %) 21 (15.67 %) 16 (11.94 %)
Avg. Loss % -0.39 % -0.46 % -0.29 %
Max. Consecutive 3 4 2
# bars in largest loss 41 41 4
Max. trade % drawdown -4.45 % -4.45 % -3.65 %
Max. system % drawdown -3.38 % -4.73 % -2.62 %
Recovery Factor 27.78 10.89 17.99
Profit Factor 10.64 7.22 17.81
Payoff Ratio 4.06 3.30 5.59
Ulcer Index 0.69 0.94 0.55
Sharpe Ratio of trades 25.55 21.25 30.91
K-Ratio 0.1471 0.1337 0.1124
СЕНТЯБРЬ
Net Profit % 84.98 % 34.27 % 50.71 %
Exposure % 77.69 % 37.65 % 40.05 %
All trades 127 63 (49.61 %) 64 (50.39 %)
Avg. Profit/Loss % 0.67 % 0.54 % 0.79 %
Winners 91 (71.65 %) 47 (37.01 %) 44 (34.65 %)
Avg. Profit % 1.09 % 0.83 % 1.36 %
Max. Consecutive 10 9 8
# bars in largest win 32 56 32
Losers 36 (28.35 %) 16 (12.60 %) 20 (15.75 %)
Avg. Loss % -0.39 % -0.30 % -0.46 %
Max. Consecutive 4 3 3
# bars in largest loss 19 5 19
Max. trade % drawdown -3.94 % -2.75 % -3.94 %
Max. system % drawdown -3.12 % -2.46 % -2.79 %
Recovery Factor 16.80 12.28 12.83
Profit Factor 7.06 8.16 6.49
Payoff Ratio 2.79 2.78 2.95
Ulcer Index 0.69 0.76 0.64
Sharpe Ratio of trades 19.83 22.30 19.68
K-Ratio 0.0950 0.0988 0.0752
ОКТЯБРЬ
Net Profit % 119.21 % 67.12 % 52.10 %
Exposure % 62.89 % 31.29 % 31.60 %
Net Risk Adjusted Return % 189.55 % 214.51 % 164.84 %
All trades 110 55 (50.00 %) 55 (50.00 %)
Avg. Profit/Loss % 1.08 % 1.22 % 0.95 %
Avg. Bars Held 21.61 21.45 21.76
Winners 81 (73.64 %) 41 (37.27 %) 40 (36.36 %)
Avg. Profit % 1.60 % 1.76 % 1.43 %
Max. Consecutive 13 11 7
# bars in largest win 92 78 92
Losers 29 (26.36 %) 14 (12.73 %) 15 (13.64 %)
Avg. Loss % -0.35 % -0.36 % -0.34 %
Max. Consecutive 3 2 4
# bars in largest loss 30 30 12
Max. trade % drawdown -3.48 % -3.17 % -3.48 %
Max. system % drawdown -4.47 % -2.84 % -2.97 %
Recovery Factor 25.61 20.00 14.82
Profit Factor 12.80 14.43 11.21
Payoff Ratio 4.58 4.93 4.20
Ulcer Index 0.62 0.79 0.60
Sharpe Ratio of trades 22.39 24.49 20.31
K-Ratio 0.1278 0.1196 0.0856
НОЯБРЬ
Net Profit % 109.81 % 61.17 % 48.64 %
Exposure % 66.74 % 34.08 % 32.66 %
All trades 145 73 (50.34 %) 72 (49.66 %)
Avg. Profit/Loss % 0.76 % 0.84 % 0.68 %
Winners 108 (74.48 %) 56 (38.62 %) 52 (35.86 %)
Avg. Profit % 1.13 % 1.20 % 1.04 %
Max. Consecutive 12 8 9
# bars in largest win 70 70 59
Losers 37 (25.52 %) 17 (11.72 %) 20 (13.79 %)
Avg. Loss % -0.32 % -0.36 % -0.28 %
Max. Consecutive 3 2 3
# bars in largest loss 74 74 14
Max. trade % drawdown -2.98 % -2.98 % -2.69 %
Max. system % drawdown -2.46 % -2.93 % -2.25 %
Recovery Factor 31.91 15.69 18.05
Profit Factor 10.34 11.06 9.57
Payoff Ratio 3.54 3.36 3.68
Ulcer Index 0.57 0.62 0.47
Sharpe Ratio of trades 25.64 25.63 26.20
K-Ratio 0.2077 0.1096 0.1604
ДЕКАБРЬ
Net Profit % 135.31 % 62.30 % 73.01 %
Exposure % 60.21 % 31.06 % 29.15 %
Net Risk Adjusted Return % 224.75 % 200.61 % 250.48 %
All trades 180 90 (50.00 %) 90 (50.00 %)
Avg. Profit/Loss % 0.75 % 0.69 % 0.81 %
Winners 153 (85.00 %) 76 (42.22 %) 77 (42.78 %)
Avg. Profit % 0.91 % 0.86 % 0.97 %
Max. Consecutive 24 14 20
# bars in largest win 16 35 16
Losers 27 (15.00 %) 14 (7.78 %) 13 (7.22 %)
Avg. Loss % -0.17 % -0.21 % -0.13 %
Max. Consecutive 2 1 2
# bars in largest loss 2 2 8
Max. trade % drawdown -1.29 % -1.29 % -1.10 %
Max. system % drawdown -1.19 % -1.18 % -1.30 %
Recovery Factor 92.22 47.75 49.54
Profit Factor 30.28 22.13 44.66
Payoff Ratio 5.34 4.08 7.54
Risk-Reward Ratio 245.41 242.72 235.95
Ulcer Index 0.22 0.23 0.19
Sharpe Ratio of trades 38.97 37.37 39.46
K-Ratio 0.1168 0.1155 0.1123
