Результаты робота за 2011 год

30 декабря, 2011

График

На нижним графике

 прибыль— зеленый (в дальнейших сделках не используется) ,

средств для торговли (средства в сделках) -голубой ,

убытки ( максимальная просадка счета)— красный .

…………. …….All trades                 Long trades            Short trades
Net Profit %          596.77 %                  289.87 %                  306.90 %


All trades          1173             586 (49.96 %)          587 (50.04 %)
Avg. Profit/Loss %     0.51 %                      0.49 %                       0.52 %
Avg. Bars Held       22.34                        22.53                         22.15


Winners           729 (62.15 %)          355 (30.26 %)          374 (31.88 %)
Avg. Profit %          1.05 %                      1.06 %                       1.05 %
Max. Consecutive        33                              17                              44
# bars in largest win   70                              70                              94


Losers   444 (37.85 %)          231 (19.69 %)          213 (18.16 %)
Avg. Loss %           -0.38 %                     -0.38 %                     -0.39 %
Max. Consecutive         7                                7                                 6
# bars in largest loss    16                              16                              26


Max. trade % drawdown   -4.45 %                     -4.45 %                     -3.93 %
Max. system % drawdown  -2.80 %                     -3.33 %                     -4.51 %
Recovery Factor       106.47                      47.66                         50.04
CAR/MaxDD             230.49                      92.72                         72.41
RAR/MaxDD             1026.10                    822.17                       647.34
Profit Factor           4.50                           4.34                           4.66
Payoff Ratio            2.74                           2.83                           2.66
Risk-Reward Ratio       9.66                           8.98                           10.18
Ulcer Index              0.61                           0.65                           1.13
Ulcer Performance Index   1040.94                    463.18                       285.06
Sharpe Ratio of trades      14.19                        13.67                         14.72
K-Ratio               0.0170                      0.0158                       0.0180

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Для справки:   Стратегия «купил и держи» (на графике не показана)  за 2011 год дала бы 25% убытка.

 

Результаты робота с 26.12.2011 по 30.12.2011

30 декабря, 2011

График

                                    All trades                Long trades          Short trades
Net Profit %               14.77 %                   6.69 %                     8.08 %
Exposure %                   45.57 %                   23.33 %                   22.24 %
Net Risk Adjusted Return %      32.41 %                   28.68 %                   36.32 %


All trades      45          22 (48.89 %)           23 (51.11 %)
Avg. Profit/Loss %       0.33 %                  0.30 %                     0.35 %


Winners      38 (84.44 %)           17 (37.78 %)           21 (46.67 %)
Avg. Profit %            0.43 %                     0.46 %                     0.40 %
Max. Consecutive           18                             9                               16
# bars in largest win        27                             36                             27


Losers        7 (15.56 %)             5 (11.11 %)             2 (4.44 %)
Avg. Loss %             -0.20 %                    -0.23 %                    -0.13 %
Max. Consecutive       1                               3                               1
# bars in largest loss    6                               6                               6


Max. trade % drawdown    -0.52 %                    -0.49 %                    -0.52 %
Max. system % drawdown     -0.63 %                    -0.66 %                    -0.49 %
Recovery Factor       22.30                        9.88                          15.34
Profit Factor         11.36                        6.78                          31.07
Payoff Ratio          2.09                          2.00                          2.96
Ulcer Index           0.17                          0.20                          0.13
Sharpe Ratio of trades    32.45                        28.63                       38.31
K-Ratio                   0.4008                     0.1084                     0.2896