2008
| All trades | Long trades | Short trades | |
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 1150863.64 | 583559.05 | 667304.59 |
| Net Profit | 1050863.64 | 483559.05 | 567304.59 |
| Net Profit % | 1050.86 % | 483.56 % | 567.30 % |
| Exposure % | 40.05 % | 18.90 % | 21.15 % |
| Net Risk Adjusted Return % | 2623.82 % | 2558.97 % | 2681.76 % |
| Annual Return % | 1115.63 % | 507.09 % | 596.30 % |
| Risk Adjusted Return % | 2785.53 % | 2683.49 % | 2818.83 % |
| Total transaction costs | 53597.61 | 26979.71 | 26617.90 |
| All trades | 767 | 383 (49.93 %) | 384 (50.07 %) |
| Avg. Profit/Loss | 1370.10 | 1262.56 | 1477.36 |
| Avg. Profit/Loss % | 1.37 % | 1.26 % | 1.48 % |
| Avg. Bars Held | 28.44 | 26.85 | 30.03 |
| Winners | 447 (58.28 %) | 213 (27.77 %) | 234 (30.51 %) |
| Total Profit | 1297165.54 | 622783.37 | 674382.18 |
| Avg. Profit | 2901.94 | 2923.87 | 2881.98 |
| Avg. Profit % | 2.90 % | 2.92 % | 2.88 % |
| Avg. Bars Held | 33.24 | 29.21 | 36.90 |
| Max. Consecutive | 14 | 10 | 17 |
| Largest win | 59895.82 | 59895.82 | 26835.79 |
| # bars in largest win | 9 | 9 | 20 |
| Losers | 320 (41.72 %) | 170 (22.16 %) | 150 (19.56 %) |
| Total Loss | -246301.90 | -139224.31 | -107077.59 |
| Avg. Loss | -769.69 | -818.97 | -713.85 |
| Avg. Loss % | -0.77 % | -0.82 % | -0.72 % |
| Avg. Bars Held | 21.74 | 23.88 | 19.32 |
| Max. Consecutive | 7 | 6 | 5 |
| Largest loss | -4905.47 | -3504.75 | -4905.47 |
| # bars in largest loss | 59 | 39 | 59 |
| Max. trade drawdown | -11720.42 | -10682.69 | -11720.42 |
| Max. trade % drawdown | -10.51 % | -9.72 % | -10.51 % |
| Max. system drawdown | -11720.42 | -10682.69 | -11720.42 |
| Max. system % drawdown | -6.22 % | -7.57 % | -7.02 % |
| Recovery Factor | 89.66 | 45.27 | 48.40 |
| CAR/MaxDD | 179.37 | 66.96 | 84.94 |
| RAR/MaxDD | 447.86 | 354.36 | 401.51 |
| Profit Factor | 5.27 | 4.47 | 6.30 |
| Payoff Ratio | 3.77 | 3.57 | 4.04 |
| Standard Error | 177316.31 | 85975.00 | 91781.93 |
| Risk-Reward Ratio | 5.95 | 5.64 | 6.22 |
| Ulcer Index | 1.46 | 1.75 | 1.52 |
| Ulcer Performance Index | 758.42 | 285.99 | 387.99 |
| Sharpe Ratio of trades | 8.59 | 7.39 | 10.18 |
| K-Ratio | 0.0116 | 0.0109 | 0.0121 |
2009
| All trades | Long trades | Short trades | |
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 860620.72 | 564277.16 | 396343.55 |
| Net Profit | 760620.72 | 464277.16 | 296343.55 |
| Net Profit % | 760.62 % | 464.28 % | 296.34 % |
| Exposure % | 23.76 % | 12.20 % | 11.56 % |
| Net Risk Adjusted Return % | 3201.07 % | 3804.62 % | 2563.86 % |
| Annual Return % | 820.15 % | 495.45 % | 313.67 % |
| Risk Adjusted Return % | 3451.61 % | 4060.06 % | 2713.78 % |
| Total transaction costs | 56534.99 | 28446.02 | 28088.98 |
| All trades | 807 | 404 (50.06 %) | 403 (49.94 %) |
| Avg. Profit/Loss | 942.53 | 1149.20 | 735.34 |
| Avg. Profit/Loss % | 0.94 % | 1.15 % | 0.74 % |
| Avg. Bars Held | 31.37 | 33.87 | 28.87 |
| Winners | 456 (56.51 %) | 235 (29.12 %) | 221 (27.39 %) |
| Total Profit | 1082496.23 | 629629.83 | 452866.40 |
| Avg. Profit | 2373.90 | 2679.28 | 2049.17 |
| Avg. Profit % | 2.37 % | 2.68 % | 2.05 % |
| Avg. Bars Held | 36.54 | 37.40 | 35.62 |
| Max. Consecutive | 11 | 11 | 11 |
| Largest win | 26673.04 | 26673.04 | 17935.58 |
| # bars in largest win | 164 | 164 | 53 |
| Losers | 351 (43.49 %) | 169 (20.94 %) | 182 (22.55 %) |
| Total Loss | -321875.51 | -165352.67 | -156522.84 |
| Avg. Loss | -917.02 | -978.42 | -860.02 |
| Avg. Loss % | -0.92 % | -0.98 % | -0.86 % |
| Avg. Bars Held | 24.66 | 28.96 | 20.67 |
| Max. Consecutive | 9 | 9 | 10 |
| Largest loss | -5584.95 | -4692.29 | -5584.95 |
| # bars in largest loss | 48 | 13 | 48 |
| Max. trade drawdown | -8325.91 | -7214.11 | -8325.91 |
| Max. trade % drawdown | -7.96 % | -6.61 % | -7.96 % |
| Max. system drawdown | -15536.69 | -11138.74 | -11529.01 |
| Max. system % drawdown | -7.41 % | -10.99 % | -5.42 % |
| Recovery Factor | 48.96 | 41.68 | 25.70 |
| CAR/MaxDD | 110.74 | 45.09 | 57.86 |
| RAR/MaxDD | 466.04 | 369.46 | 500.57 |
| Profit Factor | 3.36 | 3.81 | 2.89 |
| Payoff Ratio | 2.59 | 2.74 | 2.38 |
| Standard Error | 67224.72 | 39453.55 | 29231.55 |
| Risk-Reward Ratio | 11.99 | 13.03 | 9.98 |
| Ulcer Index | 0.95 | 1.56 | 1.32 |
| Ulcer Performance Index | 860.45 | 313.80 | 233.54 |
| Sharpe Ratio of trades | 9.01 | 9.49 | 8.48 |
| K-Ratio | 0.0214 | 0.0233 | 0.0178 |
2010
| All trades | Long trades | Short trades | |
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 260799.41 | 192043.10 | 168756.31 |
| Net Profit | 160799.41 | 92043.10 | 68756.31 |
| Net Profit % | 160.80 % | 92.04 % | 68.76 % |
| Exposure % | 55.38 % | 28.46 % | 26.92 % |
| Net Risk Adjusted Return % | 290.36 % | 323.46 % | 255.37 % |
| Annual Return % | 169.44 % | 96.35 % | 71.79 % |
| Risk Adjusted Return % | 305.95 % | 338.59 % | 266.62 % |
| Total transaction costs | 61365.57 | 30756.21 | 30609.36 |
| All trades | 877 | 439 (50.06 %) | 438 (49.94 %) |
| Avg. Profit/Loss | 183.35 | 209.67 | 156.98 |
| Avg. Profit/Loss % | 0.18 % | 0.21 % | 0.16 % |
| Avg. Bars Held | 28.99 | 29.46 | 28.52 |
| Winners | 445 (50.74 %) | 221 (25.20 %) | 224 (25.54 %) |
| Total Profit | 393209.93 | 207486.20 | 185723.73 |
| Avg. Profit | 883.62 | 938.85 | 829.12 |
| Avg. Profit % | 0.88 % | 0.94 % | 0.83 % |
| Avg. Bars Held | 36.93 | 38.25 | 35.63 |
| Max. Consecutive | 9 | 7 | 13 |
| Largest win | 7448.65 | 7448.65 | 7149.98 |
| # bars in largest win | 297 | 297 | 126 |
| Losers | 432 (49.26 %) | 218 (24.86 %) | 214 (24.40 %) |
| Total Loss | -232410.52 | -115443.10 | -116967.42 |
| Avg. Loss | -537.99 | -529.56 | -546.58 |
| Avg. Loss % | -0.54 % | -0.53 % | -0.55 % |
| Avg. Bars Held | 20.82 | 20.56 | 21.08 |
| Max. Consecutive | 6 | 9 | 10 |
| Largest loss | -4095.04 | -3505.83 | -4095.04 |
| # bars in largest loss | 229 | 12 | 229 |
| Max. trade drawdown | -5722.52 | -3744.70 | -5722.52 |
| Max. trade % drawdown | -5.72 % | -3.69 % | -5.72 % |
| Max. system drawdown | -12395.59 | -13306.23 | -9766.32 |
| Max. system % drawdown | -7.02 % | -8.42 % | -7.23 % |
| Recovery Factor | 12.97 | 6.92 | 7.04 |
| CAR/MaxDD | 24.13 | 11.45 | 9.93 |
| RAR/MaxDD | 43.57 | 40.22 | 36.87 |
| Profit Factor | 1.69 | 1.80 | 1.59 |
| Payoff Ratio | 1.64 | 1.77 | 1.52 |
| Standard Error | 11058.63 | 4022.83 | 9336.92 |
| Risk-Reward Ratio | 15.17 | 24.29 | 7.50 |
| Ulcer Index | 1.73 | 2.20 | 2.64 |
| Ulcer Performance Index | 94.65 | 41.33 | 25.14 |
| Sharpe Ratio of trades | 4.85 | 5.51 | 4.18 |
| K-Ratio | 0.0270 | 0.0433 | 0.0134 |
2011
| All trades | Long trades | Short trades | |
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 337155.79 | 209250.12 | 227905.67 |
| Net Profit | 237155.79 | 109250.12 | 127905.67 |
| Net Profit % | 237.16 % | 109.25 % | 127.91 % |
| Exposure % | 60.07 % | 30.15 % | 29.92 % |
| Net Risk Adjusted Return % | 394.77 % | 362.36 % | 427.43 % |
| Annual Return % | 251.38 % | 114.57 % | 134.38 % |
| Risk Adjusted Return % | 418.45 % | 380.01 % | 449.05 % |
| Total transaction costs | 66459.98 | 33282.95 | 33177.03 |
| All trades | 950 | 475 (50.00 %) | 475 (50.00 %) |
| Avg. Profit/Loss | 249.64 | 230.00 | 269.28 |
| Avg. Profit/Loss % | 0.25 % | 0.23 % | 0.27 % |
| Avg. Bars Held | 27.34 | 27.55 | 27.12 |
| Winners | 491 (51.68 %) | 238 (25.05 %) | 253 (26.63 %) |
| Total Profit | 505079.14 | 250672.79 | 254406.36 |
| Avg. Profit | 1028.67 | 1053.25 | 1005.56 |
| Avg. Profit % | 1.03 % | 1.05 % | 1.01 % |
| Avg. Bars Held | 32.03 | 33.77 | 30.39 |
| Max. Consecutive | 14 | 8 | 7 |
| Largest win | 11815.78 | 11815.78 | 9314.56 |
| # bars in largest win | 116 | 116 | 93 |
| Losers | 459 (48.32 %) | 237 (24.95 %) | 222 (23.37 %) |
| Total Loss | -267923.35 | -141422.67 | -126500.68 |
| Avg. Loss | -583.71 | -596.72 | -569.82 |
| Avg. Loss % | -0.58 % | -0.60 % | -0.57 % |
| Avg. Bars Held | 22.32 | 21.31 | 23.39 |
| Max. Consecutive | 7 | 7 | 10 |
| Largest loss | -4529.90 | -4529.90 | -3525.17 |
| # bars in largest loss | 17 | 17 | 64 |
| Max. trade drawdown | -5235.87 | -4845.34 | -5235.87 |
| Max. trade % drawdown | -5.07 % | -4.83 % | -5.07 % |
| Max. system drawdown | -10460.07 | -9012.38 | -10825.91 |
| Max. system % drawdown | -5.85 % | -5.24 % | -5.76 % |
| Recovery Factor | 22.67 | 12.12 | 11.81 |
| CAR/MaxDD | 42.96 | 21.87 | 23.31 |
| RAR/MaxDD | 71.51 | 72.53 | 77.90 |
| Profit Factor | 1.89 | 1.77 | 2.01 |
| Payoff Ratio | 1.76 | 1.77 | 1.76 |
| Standard Error | 25032.12 | 12718.25 | 13457.82 |
| Risk-Reward Ratio | 10.28 | 9.04 | 10.58 |
| Ulcer Index | 1.66 | 1.86 | 1.96 |
| Ulcer Performance Index | 148.10 | 58.57 | 65.84 |
| Sharpe Ratio of trades | 5.49 | 5.04 | 5.95 |
| K-Ratio | 0.0181 | 0.0160 | 0.0187 |
2012
| All trades | Long trades | Short trades | |
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 232392.72 | 175038.38 | 157354.34 |
| Net Profit | 132392.72 | 75038.38 | 57354.34 |
| Net Profit % | 132.39 % | 75.04 % | 57.35 % |
| Exposure % | 63.10 % | 30.34 % | 32.76 % |
| Net Risk Adjusted Return % | 209.80 % | 247.29 % | 175.08 % |
| Annual Return % | 135.13 % | 76.40 % | 58.35 % |
| Risk Adjusted Return % | 214.14 % | 251.80 % | 178.11 % |
| Total transaction costs | 72843.67 | 36503.23 | 36340.44 |
| All trades | 1043 | 522 (50.05 %) | 521 (49.95 %) |
| Avg. Profit/Loss | 126.93 | 143.75 | 110.09 |
| Avg. Profit/Loss % | 0.13 % | 0.14 % | 0.11 % |
| Avg. Bars Held | 26.66 | 25.40 | 27.93 |
| Winners | 503 (48.23 %) | 257 (24.64 %) | 246 (23.59 %) |
| Total Profit | 332483.48 | 175262.12 | 157221.36 |
| Avg. Profit | 661.00 | 681.95 | 639.11 |
| Avg. Profit % | 0.66 % | 0.68 % | 0.64 % |
| Avg. Bars Held | 33.61 | 32.13 | 35.16 |
| Max. Consecutive | 9 | 9 | 9 |
| Largest win | 4407.39 | 3616.01 | 4407.39 |
| # bars in largest win | 145 | 87 | 145 |
| Losers | 540 (51.77 %) | 265 (25.41 %) | 275 (26.37 %) |
| Total Loss | -200090.76 | -100223.74 | -99867.02 |
| Avg. Loss | -370.54 | -378.20 | -363.15 |
| Avg. Loss % | -0.37 % | -0.38 % | -0.36 % |
| Avg. Bars Held | 20.19 | 18.88 | 21.45 |
| Max. Consecutive | 11 | 7 | 9 |
| Largest loss | -2788.51 | -2788.51 | -1912.84 |
| # bars in largest loss | 19 | 19 | 25 |
| Max. trade drawdown | -6798.82 | -3406.06 | -6798.82 |
| Max. trade % drawdown | -6.28 % | -3.33 % | -6.28 % |
| Max. system drawdown | -7380.54 | -6229.60 | -6798.82 |
| Max. system % drawdown | -5.72 % | -4.84 % | -6.21 % |
| Recovery Factor | 17.94 | 12.05 | 8.44 |
| CAR/MaxDD | 23.63 | 15.80 | 9.40 |
| RAR/MaxDD | 37.45 | 52.07 | 28.70 |
| Profit Factor | 1.66 | 1.75 | 1.57 |
| Payoff Ratio | 1.78 | 1.80 | 1.76 |
| Standard Error | 6354.42 | 3983.01 | 4539.92 |
| Risk-Reward Ratio | 23.89 | 19.45 | 16.38 |
| Ulcer Index | 1.68 | 1.54 | 2.27 |
| Ulcer Performance Index | 77.17 | 46.17 | 23.29 |
| Sharpe Ratio of trades | 5.02 | 5.85 | 4.23 |
| K-Ratio | 0.0416 | 0.0338 | 0.0285 |
2013
| All trades | Long trades | Short trades | |
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 177391.60 | 142337.85 | 135053.75 |
| Net Profit | 77391.60 | 42337.85 | 35053.75 |
| Net Profit % | 77.39 % | 42.34 % | 35.05 % |
| Exposure % | 70.77 % | 34.09 % | 36.68 % |
| Net Risk Adjusted Return % | 109.36 % | 124.20 % | 95.56 % |
| Annual Return % | 79.98 % | 43.61 % | 36.08 % |
| Risk Adjusted Return % | 113.02 % | 127.95 % | 98.37 % |
| Total transaction costs | 72974.57 | 36478.21 | 36496.36 |
| All trades | 1043 | 521 (49.95 %) | 522 (50.05 %) |
| Avg. Profit/Loss | 74.20 | 81.26 | 67.15 |
| Avg. Profit/Loss % | 0.07 % | 0.08 % | 0.07 % |
| Avg. Bars Held | 26.07 | 25.11 | 27.03 |
| Winners | 471 (45.16 %) | 228 (21.86 %) | 243 (23.30 %) |
| Total Profit | 287307.84 | 151666.69 | 135641.16 |
| Avg. Profit | 610.00 | 665.20 | 558.19 |
| Avg. Profit % | 0.61 % | 0.67 % | 0.56 % |
| Avg. Bars Held | 33.96 | 32.14 | 35.67 |
| Max. Consecutive | 9 | 7 | 6 |
| Largest win | 5505.22 | 4022.39 | 5505.22 |
| # bars in largest win | 186 | 100 | 186 |
| Losers | 572 (54.84 %) | 293 (28.09 %) | 279 (26.75 %) |
| Total Loss | -209916.24 | -109328.84 | -100587.40 |
| Avg. Loss | -366.99 | -373.14 | -360.53 |
| Avg. Loss % | -0.37 % | -0.37 % | -0.36 % |
| Avg. Bars Held | 19.57 | 19.64 | 19.50 |
| Max. Consecutive | 13 | 16 | 10 |
| Largest loss | -2466.22 | -2255.52 | -2466.22 |
| # bars in largest loss | 58 | 47 | 58 |
| Max. trade drawdown | -3860.07 | -3860.07 | -2764.49 |
| Max. trade % drawdown | -3.74 % | -3.74 % | -2.73 % |
| Max. system drawdown | -12433.12 | -9799.86 | -6840.41 |
| Max. system % drawdown | -7.71 % | -7.15 % | -6.18 % |
| Recovery Factor | 6.22 | 4.32 | 5.12 |
| CAR/MaxDD | 10.37 | 6.10 | 5.83 |
| RAR/MaxDD | 14.65 | 17.89 | 15.91 |
| Profit Factor | 1.37 | 1.39 | 1.35 |
| Payoff Ratio | 1.66 | 1.78 | 1.55 |
| Standard Error | 7237.42 | 3385.57 | 5050.77 |
| Risk-Reward Ratio | 12.90 | 13.86 | 9.20 |
| Ulcer Index | 2.56 | 2.49 | 2.18 |
| Ulcer Performance Index | 29.10 | 15.34 | 14.10 |
| Sharpe Ratio of trades | 3.00 | 3.41 | 2.62 |
| K-Ratio | 0.0225 | 0.0241 | 0.0160 |
2014 по 03.09
| All trades | Long trades | Short trades | |
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 520186.02 | 301263.84 | 318922.18 |
| Net Profit | 420186.02 | 201263.84 | 218922.18 |
| Net Profit % | 420.19 % | 201.26 % | 218.92 % |
| Exposure % | 52.95 % | 25.97 % | 26.98 % |
| Net Risk Adjusted Return % | 793.58 % | 775.03 % | 811.43 % |
| Annual Return % | 1127.89 % | 435.06 % | 483.47 % |
| Risk Adjusted Return % | 2130.16 % | 1675.31 % | 1791.98 % |
| Total transaction costs | 59096.56 | 29587.58 | 29508.98 |
| All trades | 845 | 422 (49.94 %) | 423 (50.06 %) |
| Avg. Profit/Loss | 497.26 | 476.93 | 517.55 |
| Avg. Profit/Loss % | 0.50 % | 0.48 % | 0.52 % |
| Avg. Bars Held | 21.61 | 21.26 | 21.96 |
| Winners | 613 (72.54 %) | 306 (36.21 %) | 307 (36.33 %) |
| Total Profit | 509979.62 | 249738.46 | 260241.16 |
| Avg. Profit | 831.94 | 816.14 | 847.69 |
| Avg. Profit % | 0.83 % | 0.82 % | 0.85 % |
| Avg. Bars Held | 23.00 | 22.27 | 23.73 |
| Max. Consecutive | 61 | 67 | 30 |
| Largest win | 15353.34 | 9334.94 | 15353.34 |
| # bars in largest win | 76 | 62 | 76 |
| Losers | 232 (27.46 %) | 116 (13.73 %) | 116 (13.73 %) |
| Total Loss | -89793.60 | -48474.62 | -41318.98 |
| Avg. Loss | -387.04 | -417.88 | -356.20 |
| Avg. Loss % | -0.39 % | -0.42 % | -0.36 % |
| Avg. Bars Held | 17.93 | 18.60 | 17.26 |
| Max. Consecutive | 7 | 6 | 6 |
| Largest loss | -3067.80 | -2425.14 | -3067.80 |
| # bars in largest loss | 51 | 77 | 51 |
| Max. trade drawdown | -4849.55 | -3374.92 | -4849.55 |
| Max. trade % drawdown | -4.49 % | -3.23 % | -4.49 % |
| Max. system drawdown | -9238.62 | -8009.67 | -6621.60 |
| Max. system % drawdown | -5.92 % | -5.67 % | -4.39 % |
| Recovery Factor | 45.48 | 25.13 | 33.06 |
| CAR/MaxDD | 190.36 | 76.68 | 110.20 |
| RAR/MaxDD | 359.53 | 295.30 | 408.47 |
| Profit Factor | 5.68 | 5.15 | 6.30 |
| Payoff Ratio | 2.15 | 1.95 | 2.38 |
| Standard Error | 28932.66 | 14742.31 | 15111.35 |
| Risk-Reward Ratio | 19.99 | 18.72 | 20.01 |
| Ulcer Index | 1.09 | 1.28 | 0.93 |
| Ulcer Performance Index | 1025.20 | 334.36 | 513.51 |
| Sharpe Ratio of trades | 14.95 | 14.98 | 14.94 |
| K-Ratio | 0.0287 | 0.0269 | 0.0288 |
Основной недостаток — большая просадка, в 2008 году до 10,5%, остальные годы до 7,5%.
