22 февраля, 2013
Сегодня 22.02.13
|
All trades |
Long trades |
Short trades |
| Initial capital |
100000 |
100000 |
100000 |
| Net Profit % |
56.64% |
24.06% |
32.58% |
| Exposure % |
82.63% |
30.60% |
52.03% |
| Net Risk Adjusted Return % |
68.54% |
78.63% |
62.61% |
| Annual Return % |
4840.63% |
551.15% |
1059.84% |
| Risk Adjusted Return % |
5857.99% |
1801.21% |
2036.82% |
| All trades |
118 |
59 (50.00 %) |
59 (50.00 %) |
| Avg. Profit/Loss |
479.99 |
407.78 |
552.21 |
| Avg. Profit/Loss % |
0.48% |
0.41% |
0.56% |
| Avg. Bars Held |
27.78 |
21.24 |
34.32 |
| Winners |
104(88.14%) |
51(43.22%) |
53(44.92%) |
| Total Profit |
58750.07 |
25441.81 |
33308.26 |
| Avg. Profit % |
0.57% |
0.50% |
0.64% |
| Avg. Bars Held |
28.91 |
22.39 |
35.19 |
| Max. Consecutive |
35 |
17 |
35 |
| # bars in largest win |
177 |
29 |
177 |
| Losers |
14 (11.86 %) |
8 (6.78 %) |
6 (5.08 %) |
| Avg. Loss % |
-0.17% |
-0.18% |
-0.15% |
| Avg. Bars Held |
19.36 |
13.88 |
26.67 |
| Max. Consecutive |
2 |
2 |
2 |
| # bars in largest loss |
39 |
39 |
4 |
| Max. trade % drawdown |
-0.88% |
-0.52% |
-0.88% |
| Max. system % drawdown |
-0.91% |
-0.74% |
-0.84% |
| Recovery Factor |
60.62 |
31.32 |
36.79 |
| CAR/MaxDD |
5323.55 |
742.62 |
1259.76 |
| RAR/MaxDD |
6442.41 |
2426.96 |
2421.03 |
| Profit Factor |
27.83 |
18.4 |
45.75 |
| Payoff Ratio |
3.75 |
2.89 |
5.18 |
| Risk-Reward Ratio |
83.91 |
60.21 |
106.83 |
| Ulcer Index |
0.21 |
0.25 |
0.18 |
| Sharpe Ratio of trades |
22.76 |
25.5 |
20.97 |
| K-Ratio |
0.0492 |
0.0353 |
0.0626 |
Posted in торговые роботы (МТС) | 2 комментария »
19 февраля, 2013
Сегодня 19.02.13
|
All trades |
Long trades |
Short trades |
| Initial capital |
100000 |
100000 |
100000 |
| Net Profit % |
49.59% |
21.58% |
28.00% |
| Exposure % |
86.39% |
34.15% |
52.24% |
| Net Risk Adjusted Return % |
57.40% |
63.20% |
53.60% |
| Annual Return % |
3210.54% |
446.51% |
754.67% |
| Risk Adjusted Return % |
3716.36% |
1307.55% |
1444.60% |
| All trades |
102 |
51 (50.00 %) |
51 (50.00 %) |
| Winners |
85 (83.33 %) |
42 (41.18 %) |
43 (42.16 %) |
| Avg. Profit % |
0.61% |
0.55% |
0.68% |
| Max. Consecutive |
52 |
29 |
32 |
| # bars in largest win |
177 |
29 |
177 |
| Losers |
17 (16.67 %) |
9 (8.82 %) |
8 (7.84 %) |
| Avg. Loss % |
-0.14% |
-0.15% |
-0.13% |
| Max. Consecutive |
3 |
2 |
3 |
| # bars in largest loss |
13 |
13 |
4 |
| Max. trade % drawdown |
-0.88% |
-0.52% |
-0.88% |
| Max. system % drawdown |
-0.90% |
-0.70% |
-0.84% |
| Recovery Factor |
54.1 |
30.25 |
31.62 |
| CAR/MaxDD |
3549.06 |
634.74 |
899.56 |
| RAR/MaxDD |
4108.2 |
1858.76 |
1721.95 |
| Profit Factor |
24.35 |
17.93 |
34 |
| Payoff Ratio |
4.87 |
3.84 |
6.33 |
| Standard Error |
4525.63 |
2197.4 |
2504.58 |
| Risk-Reward Ratio |
83.5 |
63.02 |
95.6 |
| Ulcer Index |
0.23 |
0.27 |
0.19 |
| Ulcer Performance Index |
13967.73 |
1646.25 |
4002.57 |
| Sharpe Ratio of trades |
19.75 |
22.41 |
18.22 |
| K-Ratio |
0.0489 |
0.0369 |
0.056 |
Posted in торговые роботы (МТС) | Comments Closed
