Николай Камынин

РоботГена.Газпром.(2)

15 февраля, 2013

сегодня 15.02.2013

	All trades	Long trades	Short trades
Initial capital	100000	100000	100000
Net Profit %	42.23%	17.51%	24.71%
Exposure %	86.97%	40.49%	46.48%
Net Risk Adjusted Return %	48.55%	43.26%	53.17%
Annual Return %	1278.92%	232.73%	418.11%
Risk Adjusted Return %	1470.60%	574.83%	899.57%
All trades	86	43(50.00%)	43(50.00%)
Avg. Profit/Loss %	0.49%	0.41%	0.57%
Avg. Bars Held	38.28	34	42.56
Winners	68(79.07%)	33(38.37%)	35(40.70%)
Avg. Profit %	0.68%	0.59%	0.76%
Avg. Bars Held	42.68	39.73	45.46
Max. Consecutive	29	14	19
# bars in largest win	177	274	177
Losers	18(20.93%)	10(11.63%)	8(9.30%)
Avg. Loss %	-0.22%	-0.21%	-0.24%
Avg. Bars Held	21.67	15.1	29.88
Max. Consecutive	5	4	3
# bars in largest loss	42	5	42
Max. trade % drawdown	-0.88%	-0.59%	-0.88%
Max. system % drawdown	-1.62%	-1.09%	-1.04%
Recovery Factor	22.23	15.44	21.79
CAR/MaxDD	787.26	212.64	402.46
RAR/MaxDD	905.25	525.21	865.89
Profit Factor	12.69	10.28	15.33
Payoff Ratio	3.36	3.12	3.5
Standard Error	3496.2	1432.4	2333.63
Risk-Reward Ratio	67.63	55.38	67.33
Ulcer Index	0.34	0.38	0.26
Ulcer Performance Index	3770.85	593.05	1571.89
Sharpe Ratio of trades	15.36	14.7	16.04
K-Ratio	0.0463	0.0379	0.0461

Posted in торговые роботы (МТС) | 18 комментариев »

РоботГена. Газпром

13 февраля, 2013

Написал нового робота для Газпрома.

Как обычно, система без плеч и без реинвестирования, торгует на постоянный депозит.

Вот его результаты за 2013 год.

Пока это черновой вариант робота .

	All trades	Long trades	Short trades
Net Profit %	29.71%	12.05%	17.67%
Exposure %	83.10%	37.25%	45.85%
Net Risk Adjusted Return %	35.76%	32.34%	38.53%
Annual Return %	654.18%	141.94%	253.72%
Risk Adjusted Return %	787.19%	381.01%	553.38%
All trades	35	18(51.43%)	17(48.57%)
Avg. Profit/Loss %	0.86%	0.66%	1.06%
Winners	32(91.4%)	16(45.7%)	16(45.7%)
Avg. Profit %	0.95%	0.76%	1.13%
Max. Consecutive	24	12	16
# bars in largest win	179	29	179
Losers	3 (8.57%)	2 (5.71%)	1 (2.86%)
Avg. Loss %	-0.09%	-0.11%	-0.06%
Avg. Bars Held	93	48.5	182
Max. Consecutive	1	1	1
# bars in largest loss	6	6	182
Max. trade % drawd	-0.89%	-0.59%	-0.89%
Max. system % drawd	-0.89%	-0.64%	-1.05%
Recovery Factor	32.68	18.15	16.76
CAR/MaxDD	736.48	220.59	242.31
RAR/MaxDD	886.23	592.13	528.5
Profit Factor	173.92	102.95	330.25
Payoff Ratio	16.31	12.87	20.64
Standard Error	1775.59	560.26	1560.59
Risk-Reward Ratio	106.99	110.85	81.93
Ulcer Index	0.27	0.34	0.26
Ulcer Performance Index	2428.06	403.8	944.7
Sharpe Ratio	15.33	15.56	15.8
K-Ratio	0.0727	0.0753	0.0556

Posted in торговые роботы (МТС) | 2 комментария »