nk_2014_9_004

 

 

 

 

 

 

 

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Как видим,  профит за 5 дней сентября составил почти 40%.

На графике появились новые сигналы —стрелка синего цвета.

Пока это лишь указатель сделки, цена в которой оказалась выше  (для лонга) или ниже(для шорта), следующего значения цены.

Эти сигналы в дальнейшем будут задействованы для управления рисками.

С помощью них предполагаю уменьшить просадку сделок Max. trade % drawdown .

 Итоги с 01.01.2008 по н.в.

All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 2978766.51 1594169.12 1484597.40
Net Profit 2878766.51 1494169.12 1384597.40
Net Profit % 2878.77 % 1494.17 % 1384.60 %
Exposure % 9.18 % 4.45 % 4.72 %
Net Risk Adjusted Return % 31364.21 % 33543.90 % 29308.99 %
Annual Return % 66.46 % 51.55 % 49.94 %
Risk Adjusted Return % 724.12 % 1157.27 % 1057.07 %
Total transaction costs 443785.33 222427.96 221357.37

All trades 6344 3171 (49.98 %) 3173 (50.02 %)
 Avg. Profit/Loss 453.78 471.20 436.37
 Avg. Profit/Loss % 0.45 % 0.47 % 0.44 %
 Avg. Bars Held 27.12 26.89 27.34

Winners 3451 (54.40 %) 1710 (26.95 %) 1741 (27.44 %)
 Total Profit 4441311.95 2310701.22 2130610.73
 Avg. Profit 1286.96 1351.29 1223.79
 Avg. Profit % 1.29 % 1.35 % 1.22 %
 Avg. Bars Held 32.25 31.66 32.83
 Max. Consecutive 61 68 30
 Largest win 59895.82 59895.82 26835.79
 # bars in largest win 9 9 20

Losers 2893 (45.60 %) 1461 (23.03 %) 1432 (22.57 %)
 Total Loss -1562545.44 -816532.10 -746013.34
 Avg. Loss -540.11 -558.89 -520.96
 Avg. Loss % -0.54 % -0.56 % -0.52 %
 Avg. Bars Held 20.99 21.30 20.68
 Max. Consecutive 11 16 10
 Largest loss -5584.95 -4692.29 -5584.95
 # bars in largest loss 48 13 48

Max. trade drawdown -11720.42 -10682.69 -11720.42
Max. trade % drawdown -10.51 % -9.72 % -10.51 %
Max. system drawdown -15536.69 -13306.23 -11720.42
Max. system % drawdown -6.22 % -7.57 % -7.02 %
Recovery Factor 185.29 112.29 118.14
CAR/MaxDD 10.69 6.81 7.11
RAR/MaxDD 116.42 152.82 150.57
Profit Factor 2.84 2.83 2.86
Payoff Ratio 2.38 2.42 2.35
Standard Error 341343.47 182951.40 160216.27
Risk-Reward Ratio 0.93 0.94 0.90
Ulcer Index 0.54 0.67 0.62
Ulcer Performance Index 112.59 69.03 72.16
Sharpe Ratio of trades 6.45 6.21 6.79
K-Ratio 0.0044 0.0044 0.0043

 

 

 

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%.