30
Сен

Робот Федя -сентябрь end

Posted by: Kamynin   in торговые роботы (МТС)

nk_2014_9_020

 

 

 

 

 

 

 

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All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 3303762.79 1758071.93 1645690.86
Net Profit 3203762.79 1658071.93 1545690.86
Net Profit % 3203.76 % 1658.07 % 1545.69 %
Exposure % 8.52 % 4.10 % 4.42 %
Net Risk Adjusted Return % 37607.45 % 40463.01 % 34960.80 %
Annual Return % 68.17 % 53.12 % 51.62 %
Risk Adjusted Return % 800.21 % 1296.32 % 1167.65 %
Total transaction costs 451291.85 226227.80 225064.05
All trades 6450 3224 (49.98 %) 3226 (50.02 %)
 Avg. Profit/Loss 496.71 514.29 479.14
 Avg. Profit/Loss % 0.50 % 0.51 % 0.48 %
 Avg. Bars Held 26.96 26.50 27.42
Winners 3632 (56.31 %) 1801 (27.92 %) 1831 (28.39 %)
 Total Profit 4679343.29 2428596.31 2250746.98
 Avg. Profit 1288.37 1348.47 1229.24
 Avg. Profit % 1.29 % 1.35 % 1.23 %
 Avg. Bars Held 31.50 30.72 32.27
 Max. Consecutive 32 48 30
 Largest win 59895.82 59895.82 26835.79
 # bars in largest win 9 9 20
Losers 2818 (43.69 %) 1423 (22.06 %) 1395 (21.63 %)
 Total Loss -1475580.49 -770524.37 -705056.12
 Avg. Loss -523.63 -541.48 -505.42
 Avg. Loss % -0.52 % -0.54 % -0.51 %
 Avg. Bars Held 21.11 21.16 21.06
 Max. Consecutive 11 10 10
 Largest loss -3966.93 -3685.38 -3966.93
 # bars in largest loss 27 25 27
Max. trade drawdown -11720.42 -10682.69 -11720.42
Max. trade % drawdown -10.51 % -9.72 % -10.51 %
Max. system drawdown -12257.25 -13254.74 -11720.42
Max. system % drawdown -5.98 % -5.41 % -6.87 %
Recovery Factor 261.38 125.09 131.88
CAR/MaxDD 11.39 9.82 7.51
RAR/MaxDD 133.75 239.62 169.85
Profit Factor 3.17 3.15 3.19
Payoff Ratio 2.46 2.49 2.43
Standard Error 370982.44 199024.04 173551.88
Risk-Reward Ratio 0.94 0.95 0.93
Ulcer Index 0.44 0.48 0.54
Ulcer Performance Index 144.25 99.25 85.24
Sharpe Ratio of trades 7.12 6.88 7.48
K-Ratio 0.0045 0.0045 0.0044
Комментарии к записи Робот Федя -сентябрь end отключены
23
Сен

Робот Федя -сентябрь 3 недели

Posted by: Kamynin   in торговые роботы (МТС)

nk_2014_9_010

 

 

 

 

 

 

All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 3273398.59 1744209.94 1629188.66
Net Profit 3173398.59 1644209.94 1529188.66
Net Profit % 3173.40 % 1644.21 % 1529.19 %
Exposure % 8.57 % 4.12 % 4.45 %
Net Risk Adjusted Return % 37046.60 % 39902.92 % 34399.04 %
Annual Return % 68.19 % 53.13 % 51.58 %
Risk Adjusted Return % 796.04 % 1289.30 % 1160.22 %
Total transaction costs 447514.19 224333.04 223181.15
All trades 6396 3197 (49.98 %) 3199 (50.02 %)
 Avg. Profit/Loss 496.15 514.30 478.02
 Avg. Profit/Loss % 0.50 % 0.51 % 0.48 %
 Avg. Bars Held 27.10 26.63 27.57
Winners 3592 (56.16 %) 1781 (27.85 %) 1811 (28.31 %)
 Total Profit 4647766.20 2413085.63 2234680.57
 Avg. Profit 1293.92 1354.90 1233.95
 Avg. Profit % 1.29 % 1.36 % 1.23 %
 Avg. Bars Held 31.69 30.85 32.51
 Max. Consecutive 32 48 30
 Largest win 59895.82 59895.82 26835.79
 # bars in largest win 9 9 20
Losers 2804 (43.84 %) 1416 (22.14 %) 1388 (21.70 %)
 Total Loss -1474367.61 -768875.69 -705491.92
 Avg. Loss -525.81 -542.99 -508.28
 Avg. Loss % -0.53 % -0.54 % -0.51 %
 Avg. Bars Held 21.22 21.32 21.13
 Max. Consecutive 11 11 10
 Largest loss -3966.93 -3685.38 -3966.93
 # bars in largest loss 27 25 27
Max. trade drawdown -11720.42 -10682.69 -11720.42
Max. trade % drawdown -10.51 % -9.72 % -10.51 %
Max. system drawdown -12257.25 -13254.74 -11720.42
Max. system % drawdown -5.98 % -5.44 % -6.87 %
Recovery Factor 258.90 124.05 130.47
CAR/MaxDD 11.40 9.76 7.50
RAR/MaxDD 133.05 236.85 168.77
Profit Factor 3.15 3.14 3.17
Payoff Ratio 2.46 2.50 2.43
Standard Error 371428.93 199269.90 173742.58
Risk-Reward Ratio 0.94 0.94 0.92
Ulcer Index 0.44 0.49 0.55
Ulcer Performance Index 141.71 97.78 84.48
Sharpe Ratio of trades 7.05 6.84 7.37
K-Ratio 0.0044 0.0045 0.0044

 

 

 

 

 

 

 

 

 

Комментарии к записи Робот Федя -сентябрь 3 недели отключены
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