Николай Камынин

Хроники робота 8.02.12

8 февраля, 2012

График

Таблица

………………….. All trades Long trades Short trades

Net Profit % 1.95 % 1.48 % 0.47 %

Exposure % 98.78 % 78.17 % 20.62 %

Net Risk Adjusted Return % 1.98 % 1.89 % 2.28 %

Annual Return % N/A N/A N/A

Risk Adjusted Return % N/A N/A N/A

All trades 10 5 (50.00 %) 5 (50.00 %)

Avg. Profit/Loss % 0.20 % 0.30 % 0.09 %

Winners 8 (80.00 %) 4 (40.00 %) 4 (40.00 %)

Avg. Profit % 0.30 % 0.39 % 0.21 %

Max. Consecutive 4 2 4

# bars in largest win 27 27 7

Losers 2 (20.00 %) 1 (10.00 %) 1 (10.00 %)

Avg. Loss % -0.22 % -0.08 % -0.35 %

Max. Consecutive 1 1 1

# bars in largest loss 2 6 2

Max. trade % drawdown -0.35 % -0.26 % -0.35 %

Max. system % drawdown -0.53 % -0.26 % -0.35 %

Recovery Factor 3.58 5.60 1.33

CAR/MaxDD N/A N/A N/A

RAR/MaxDD N/A N/A N/A

Profit Factor 5.49 19.40 2.33

Payoff Ratio 1.37 4.85 0.58

Risk-Reward Ratio N/A N/A N/A

Ulcer Index 0.14 0.11 0.07

Ulcer Performance Index N/A N/A N/A

Sharpe Ratio of trades N/A N/A N/A

K-Ratio 0.2328 0.1878 0.1806

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

Хроники робота 6,7.02.12

7 февраля, 2012

График

Таблица

……………………….All trades Long trades Short trades

Net Profit % 6.88 % 3.17 % 3.71 %

Exposure % 89.99 % 53.91 % 36.08 %

Net Risk Adjusted Return % 7.64 % 5.88 % 10.28 %

All trades 16 8 (50.00 %) 8 (50.00 %)

Avg. Profit/Loss % 0.43 % 0.40 % 0.46 %

Winners 14 (87.50 %) 6 (37.50 %) 8 (50.00 %)

Avg. Profit % 0.51 % 0.56 % 0.46 %

Max. Consecutive 9 4 8

# bars in largest win 17 11 17

Losers 2 (12.50 %) 2 (12.50 %) 0 (0.00 %)

Avg. Loss % -0.10 % -0.10 % N/A

Max. Consecutive 1 2 0

# bars in largest loss 4 4 0

Max. trade % drawdown -0.62 % -0.31 % -0.62 %

Max. system % drawdown -0.64 % -0.31 % -0.61 %

Recovery Factor 10.31 10.21 5.94

Profit Factor 36.54 17.38 N/A

Payoff Ratio 5.22 5.79 N/A

Risk-Reward Ratio 5768.06 4607.61 5121.03

Ulcer Index 0.16 0.12 0.11

Sharpe Ratio of trades 100.74 78.72 140.83

K-Ratio 0.3148 0.2515 0.2795

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