Автор: Николай Камынин
Система на основе уровней сопротивления и поддержки и исторических данных.
Ниже приведены исходные данные, сделки и результаты торговли.
14.05.2010. Обыкновенные акции Сбербанка.
Интервал 5 минут. Торговля в лонг без плеча. Прибыль 2.1%
Settings |
Initial Equity: | 10000 | Periodicity/Positions: | 5-minute/Long | |
Commissions: | 0.03 % | Annual interest rate: | 0.00% | |
Range: | 14.05.2010 00:00:00 — 14.05.2010 | Apply to: | Current Symbol | |
Account margin: | 100 | Futures mode: | No | |
Def. round lot size: | 1 | Def. Tick Size | 0.01 | |
Drawdowns based on: | High/Low prices | |||
Long trades | ||||
Buy price: | Open | Sell price: | Open | |
Buy delay: | 0 | Sell delay: | 0 | |
Short trades | ||||
Short price: | Open | Cover price: | Open | |
Short delay: | 0 | Cover delay: | 0 | |
Stops | ||||
Maximum loss: | disabled | Profit target: | disabled | |
Value: | 5.00 | Value: | 5.00 | |
Exit at stop? | yes | Exit at stop? | yes | |
Trailing stop: | disabled | |||
Value: | 2.00 | |||
Exit at stop? | yes |
Statistics |
All trades | Long trades | Short trades | |
Initial capital | 10000.00 | 10000.00 | 10000.00 |
Ending capital | 10209.87 | 10209.87 | 10000.00 |
Net Profit | 209.87 | 209.87 | 0.00 |
Net Profit % | 2.10 % | 2.10 % | 0.00 % |
Exposure % | 52.93 % | 52.93 % | 0.00 % |
Net Risk Adjusted Return % | 3.97 % | 3.97 % | N/A |
Annual Return % | N/A | N/A | N/A |
Risk Adjusted Return % | N/A | N/A | N/A |
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All trades | 13 | 13 (100.00 %) | 0 (0.00 %) |
Avg. Profit/Loss | 16.14 | 16.14 | N/A |
Avg. Profit/Loss % | 0.16 % | 0.16 % | N/A |
Avg. Bars Held | 5.15 | 5.15 | N/A |
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Winners | 11 (84.62 %) | 11 (84.62 %) | 0 (0.00 %) |
Total Profit | 226.90 | 226.90 | 0.00 |
Avg. Profit | 20.63 | 20.63 | N/A |
Avg. Profit % | 0.21 % | 0.21 % | N/A |
Avg. Bars Held | 5.36 | 5.36 | N/A |
Max. Consecutive | 6 | 6 | 0 |
Largest win | 63.13 | 63.13 | 0.00 |
# bars in largest win | 13 | 13 | 0 |
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Losers | 2 (15.38 %) | 2 (15.38 %) | 0 (0.00 %) |
Total Loss | -17.03 | -17.03 | 0.00 |
Avg. Loss | -8.51 | -8.51 | N/A |
Avg. Loss % | -0.09 % | -0.09 % | N/A |
Avg. Bars Held | 4.00 | 4.00 | N/A |
Max. Consecutive | 2 | 2 | 0 |
Largest loss | -14.87 | -14.87 | 0.00 |
# bars in largest loss | 2 | 2 | 0 |
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Max. trade drawdown | -60.46 | -60.46 | 0.00 |
Max. trade % drawdown | -0.60 % | -0.60 % | 0.00 % |
Max. system drawdown | -62.08 | -62.08 | 0.00 |
Max. system % drawdown | -0.61 % | -0.61 % | 0.00 % |
Recovery Factor | 3.38 | 3.38 | N/A |
CAR/MaxDD | N/A | N/A | N/A |
RAR/MaxDD | N/A | N/A | N/A |
Profit Factor | 13.33 | 13.33 | N/A |
Payoff Ratio | 2.42 | 2.42 | N/A |
Standard Error | 20.86 | 20.86 | 0.00 |
Risk-Reward Ratio | N/A | N/A | N/A |
Ulcer Index | 0.31 | 0.31 | 0.00 |
Ulcer Performance Index | N/A | N/A | N/A |
Sharpe Ratio of trades | N/A | N/A | 0.00 |
K-Ratio | 0.2487 | 0.2487 | -1.#IND |
Trades |
Ticker | Trade | Entry | Exit | % change | Profit | Shares | Pos. value | Cum. profit | # bars | Profit/bar | MAE/MFE | Scale In/Out |
SBER | Long | 14.05.2010 10:34:00 79.79 |
14.05.2010 11:19:00 79.99 |
0.25% | 19.01 0.19% |
125 | 9973.75 | 19.01 | 10 | 1.90 | -0.26% 0.95% |
0/0 |
SBER | Long | 14.05.2010 11:34:00 79.79 |
14.05.2010 11:49:00 79.93 |
0.18% | 11.51 0.12% |
125 | 9973.75 | 30.52 | 4 | 2.88 | -0.09% 0.51% |
0/0 |
SBER | Long | 14.05.2010 11:54:00 79.79 |
14.05.2010 11:59:00 79.93 |
0.18% | 11.51 0.12% |
125 | 9973.75 | 42.03 | 2 | 5.76 | -0.14% 0.19% |
0/0 |
SBER | Long | 14.05.2010 12:29:00 78.92 |
14.05.2010 13:04:00 79.07 |
0.19% | 12.93 0.13% |
126 | 9943.92 | 54.96 | 8 | 1.62 | -0.09% 0.89% |
0/0 |
SBER | Long | 14.05.2010 13:24:00 78.9 |
14.05.2010 13:39:00 79.07 |
0.22% | 15.45 0.16% |
126 | 9941.40 | 70.41 | 4 | 3.86 | -0.10% 0.35% |
0/0 |
SBER | Long | 14.05.2010 13:59:00 78.5 |
14.05.2010 14:04:00 78.43 |
-0.09% | -14.87 -0.15% |
127 | 9969.50 | 55.54 | 2 | -7.43 | -0.33% 0.03% |
0/0 |
SBER | Long | 14.05.2010 14:14:00 78.08 |
14.05.2010 14:39:00 78.11 |
0.04% | -2.16 -0.02% |
128 | 9994.24 | 53.38 | 6 | -0.36 | -0.20% 0.28% |
0/0 |
SBER | Long | 14.05.2010 14:54:00 77.7 |
14.05.2010 15:54:00 78.24 |
0.69% | 63.13 0.63% |
128 | 9945.60 | 116.51 | 13 | 4.86 | -0.06% 0.90% |
0/0 |
SBER | Long | 14.05.2010 16:04:00 77.92 |
14.05.2010 16:09:00 78 |
0.10% | 4.25 0.04% |
128 | 9973.76 | 120.76 | 2 | 2.13 | -0.03% 0.17% |
0/0 |
SBER | Long | 14.05.2010 16:44:00 78.1 |
14.05.2010 16:54:00 78.5 |
0.51% | 45.19 0.45% |
128 | 9996.80 | 165.95 | 3 | 15.06 | -0.13% 0.51% |
0/0 |
SBER | Long | 14.05.2010 17:14:00 77.95 |
14.05.2010 17:39:00 78 |
0.06% | 0.41 0.00% |
128 | 9977.60 | 166.36 | 6 | 0.07 | -0.05% 0.38% |
0/0 |
SBER | Long | 14.05.2010 18:19:00 77.28 |
14.05.2010 18:29:00 77.49 |
0.27% | 21.10 0.21% |
129 | 9969.12 | 187.46 | 3 | 7.03 | -0.10% 0.38% |
0/0 |
SBER | Open Long | 14.05.2010 18:39:00 77.03 |
14.05.2010 18:49:00 77.25 |
0.29% | 22.41 0.23% |
129 | 9936.87 | 209.87 | 4 | 5.60 | -0.04% 0.55% |
0/0 |
18.05.2010. Обыкновенные акции Сбербанка.
Интервал 5 минут. Торговля в лонг без плеча. Прибыль 5.5%
Statistics |
All trades | Long trades | Short trades | |
Initial capital | 10000.00 | 10000.00 | 10000.00 |
Ending capital | 10551.84 | 10551.84 | 10000.00 |
Net Profit | 551.84 | 551.84 | 0.00 |
Net Profit % | 5.52 % | 5.52 % | 0.00 % |
Exposure % | 42.84 % | 42.84 % | 0.00 % |
Net Risk Adjusted Return % | 12.88 % | 12.88 % | N/A |
Annual Return % | N/A | N/A | N/A |
Risk Adjusted Return % | N/A | N/A | N/A |
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All trades | 16 | 16 (100.00 %) | 0 (0.00 %) |
Avg. Profit/Loss | 34.49 | 34.49 | N/A |
Avg. Profit/Loss % | 0.35 % | 0.35 % | N/A |
Avg. Bars Held | 3.81 | 3.81 | N/A |
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Winners | 13 (81.25 %) | 13 (81.25 %) | 0 (0.00 %) |
Total Profit | 574.87 | 574.87 | 0.00 |
Avg. Profit | 44.22 | 44.22 | N/A |
Avg. Profit % | 0.44 % | 0.44 % | N/A |
Avg. Bars Held | 4.08 | 4.08 | N/A |
Max. Consecutive | 6 | 6 | 0 |
Largest win | 119.12 | 119.12 | 0.00 |
# bars in largest win | 2 | 2 | 0 |
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Losers | 3 (18.75 %) | 3 (18.75 %) | 0 (0.00 %) |
Total Loss | -23.03 | -23.03 | 0.00 |
Avg. Loss | -7.68 | -7.68 | N/A |
Avg. Loss % | -0.08 % | -0.08 % | N/A |
Avg. Bars Held | 2.67 | 2.67 | N/A |
Max. Consecutive | 1 | 1 | 0 |
Largest loss | -11.09 | -11.09 | 0.00 |
# bars in largest loss | 3 | 3 | 0 |
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Max. trade drawdown | -44.53 | -44.53 | 0.00 |
Max. trade % drawdown | -0.44 % | -0.44 % | 0.00 % |
Max. system drawdown | -44.53 | -44.53 | 0.00 |
Max. system % drawdown | -0.43 % | -0.43 % | 0.00 % |
Recovery Factor | 12.39 | 12.39 | N/A |
CAR/MaxDD | N/A | N/A | N/A |
RAR/MaxDD | N/A | N/A | N/A |
Profit Factor | 24.96 | 24.96 | N/A |
Payoff Ratio | 5.76 | 5.76 | N/A |
Standard Error | 27.10 | 27.10 | 0.00 |
Risk-Reward Ratio | N/A | N/A | N/A |
Ulcer Index | 0.10 | 0.10 | 0.00 |
Ulcer Performance Index | N/A | N/A | N/A |
Sharpe Ratio of trades | N/A | N/A | 0.00 |
K-Ratio | 0.5634 | 0.5634 | -1.#IND |
Trade list
Ticker | Trade | Entry | Exit | % change | Profit | Shares | Pos. value | Cum. profit | # bars | Profit/bar | MAE/MFE | Scale In/Out |
SBER | Long | 18.05.2010 10:49:00 77.2 |
18.05.2010 10:54:00 78.17 |
1.26% | 119.12 1.20% |
129 | 9958.80 | 119.12 | 2 | 59.56 | -0.08% 1.26% |
0/0 |
SBER | Long | 18.05.2010 11:14:00 77.8 |
18.05.2010 11:19:00 77.92 |
0.15% | 9.38 0.09% |
128 | 9958.40 | 128.50 | 2 | 4.69 | 0.00% 0.21% |
0/0 |
SBER | Long | 18.05.2010 11:24:00 77.8 |
18.05.2010 11:34:00 77.76 |
-0.05% | -11.09 -0.11% |
128 | 9958.40 | 117.40 | 3 | -3.70 | -0.12% 0.32% |
0/0 |
SBER | Long | 18.05.2010 12:34:00 76.63 |
18.05.2010 12:39:00 76.86 |
0.30% | 23.91 0.24% |
130 | 9961.90 | 141.32 | 2 | 11.96 | 0.00% 0.39% |
0/0 |
SBER | Long | 18.05.2010 12:44:00 76.63 |
18.05.2010 12:49:00 76.63 |
0.00% | -5.98 -0.06% |
130 | 9961.90 | 135.34 | 2 | -2.99 | 0.00% 0.33% |
0/0 |
SBER | Long | 18.05.2010 13:04:00 75.93 |
18.05.2010 13:24:00 76.28 |
0.46% | 39.87 0.40% |
131 | 9946.83 | 175.21 | 5 | 7.97 | -0.11% 0.63% |
0/0 |
SBER | Long | 18.05.2010 13:44:00 76 |
18.05.2010 13:59:00 76.32 |
0.42% | 35.93 0.36% |
131 | 9956.00 | 211.14 | 4 | 8.98 | -0.12% 0.42% |
0/0 |
SBER | Long | 18.05.2010 14:09:00 76.16 |
18.05.2010 14:19:00 76.42 |
0.34% | 28.06 0.28% |
131 | 9976.96 | 239.21 | 3 | 9.35 | -0.08% 0.39% |
0/0 |
SBER | Long | 18.05.2010 14:29:00 76.32 |
18.05.2010 14:54:00 76.76 |
0.58% | 51.62 0.52% |
131 | 9997.92 | 290.83 | 6 | 8.60 | -0.12% 0.60% |
0/0 |
SBER | Long | 18.05.2010 15:14:00 76.23 |
18.05.2010 16:19:00 77.1 |
1.14% | 107.94 1.08% |
131 | 9986.13 | 398.77 | 14 | 7.71 | -0.17% 1.30% |
0/0 |
SBER | Long | 18.05.2010 16:29:00 76.75 |
18.05.2010 16:34:00 76.95 |
0.26% | 20.01 0.20% |
130 | 9977.50 | 418.78 | 2 | 10.00 | -0.08% 0.26% |
0/0 |
SBER | Long | 18.05.2010 16:44:00 76.99 |
18.05.2010 16:54:00 76.99 |
0.00% | -5.96 -0.06% |
129 | 9931.71 | 412.82 | 3 | -1.99 | -0.18% 0.39% |
0/0 |
SBER | Long | 18.05.2010 17:14:00 76.91 |
18.05.2010 17:39:00 77.52 |
0.79% | 73.28 0.73% |
130 | 9998.30 | 486.10 | 6 | 12.21 | -0.08% 0.96% |
0/0 |
SBER | Long | 18.05.2010 17:49:00 77.65 |
18.05.2010 17:54:00 77.82 |
0.22% | 15.79 0.16% |
128 | 9939.20 | 501.89 | 2 | 7.89 | -0.08% 0.39% |
0/0 |
SBER | Long | 18.05.2010 18:14:00 77.35 |
18.05.2010 18:19:00 77.6 |
0.32% | 26.25 0.26% |
129 | 9978.15 | 528.14 | 2 | 13.13 | -0.14% 0.32% |
0/0 |
SBER | Long | 18.05.2010 18:34:00 77.02 |
18.05.2010 18:44:00 77.25 |
0.30% | 23.70 0.24% |
129 | 9935.58 | 551.84 | 3 | 7.90 | -0.06% 0.31% |
0/0 |