13
Янв

Хроники робота

Posted by: Kamynin   in QUIK и Amibroker, торговые роботы (МТС), Фондовый рынок

с 10.01.2012 по н.в.

График

Таблица

All trades                          Long trades        Short trades

Net Profit %                                       19.51 %                             7.87 %                   11.63 %

Exposure %                                       73.37 %                             29.49 %                 43.88 %

Net Risk Adjusted Return %            26.59 %                             26.70 %                 26.51 %

All trades                                          29                                       14 (48.28 %)         15 (51.72 %)

Avg. Bars Held                                 12.69                                  10.71                     14.53

Winners                                            29 (100.00 %)                   14 (48.28 %)         15 (51.72 %)

Avg. Profit %                                     0.67 %                                0.56 %                   0.78 %

# bars in largest win                         32                                       41                           32

Losers                                               0 (0.00 %)                          0 (0.00 %)             0 (0.00 %)

Max. trade % drawdown                   -0.55 %                              -0.39 %                  -0.55 %

Max. system % drawdown               -0.80 %                              -0.37 %                  -0.50 %

Recovery Factor                                20.62                                  20.11                     20.99

Ulcer Index                                         0.19                                    0.14                        0.11

Sharpe Ratio of trades                     77.76                                  93.01                     72.33

K-Ratio                                               0.3103                                0.2644                   0.2745

12 комментариев
10
Янв

Хроники робота

Posted by: Kamynin   in Фондовый рынок

Сегодня 9.01.2012

Испытания робота продолжаются.
Вот его текущий результат за период с 30.12.2011 по н в
Картинка

Таблица

All trades                 Long trades              Short trades

Net Profit %         27.28 %                    16.75 %                    10.53 %
Exposure %           89.38 %                    52.79 %                    36.59 %
Net Risk Adjusted Return %            30.53 %            31.74 %              28.77 %

All trades         63          31 (49.21 %)             32 (50.79 %)
Avg. Profit/Loss %                  0.43 %          0.54 %                  0.33 %

Winners      55 (87.30 %)          29 (46.03 %)           26 (41.27 %)
Avg. Profit %                 0.52 %                 0.59 %                 0.44 %

Losers    8 (12.70 %)               2 (3.17 %)            6 (9.52 %)
Avg. Loss %             -0.16 %                     -0.18 %                -0.15 %

Max. trade % drawdown          -1.22 %          -0.61 %                  -1.22 %
Max. system % drawdown         -1.48 %           -0.59 %                  -1.61 %
Recovery Factor        16.94                       26.90                   6.40
Profit Factor             22.58                 47.73                      12.62
Payoff Ratio             3.28                  3.29                        2.91

4 комментария
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