20 декабря, 2012
Posted in QUIK и Amibroker, торговые роботы (МТС) | Comments Closed
19 декабря, 2012
| |
All trades |
Long trades |
Short trades |
| Initial capital |
100000 |
100000 |
100000 |
| Net Profit % |
71.95% |
39.76% |
32.19% |
| Exposure % |
75.50% |
38.05% |
37.45% |
| Net Risk Adjusted Return % |
95.30% |
104.50% |
85.95% |
| Annual Return % |
11013.53% |
1734.49% |
1030.64% |
| Risk Adjusted Return % |
14586.69% |
4558.57% |
2751.67% |
| All trades |
153 |
76 (49.67%) |
77 (50.33%) |
| Avg. Profit/Loss % |
0.47% |
0.52% |
0.42% |
| Avg. Bars Held |
21.43 |
21.79 |
21.08 |
| Winners |
140(91.50%) |
70(45.75%) |
70(45.75%) |
| Avg. Profit % |
0.54% |
0.59% |
0.49% |
| Avg. Bars Held |
21.86 |
22.29 |
21.44 |
| Max. Consecutive |
45 |
47 |
27 |
| # bars in largest win |
116 |
30 |
116 |
| Losers |
13(8.50%) |
6 (3.92%) |
7 (4.58%) |
| Avg. Loss % |
-0.31% |
-0.29% |
-0.33% |
| Avg. Bars Held |
16.77 |
16 |
17.43 |
| Max. Consecutive |
4 |
2 |
2 |
| # bars in largest loss |
18 |
18 |
4 |
| Max. trade % drawdown |
-1.51% |
-1.51% |
-1.04% |
| Max. system % drawdown |
-2.97% |
-1.98% |
-1.66% |
| Recovery Factor |
23.32 |
19.99 |
18.62 |
| CAR/MaxDD |
3711.06 |
874.44 |
619.56 |
| RAR/MaxDD |
4915.06 |
2298.2 |
1654.14 |
| Profit Factor |
19.44 |
23.58 |
16.04 |
| Payoff Ratio |
1.81 |
2.02 |
1.6 |
| Standard Error |
1962.77 |
1449.69 |
922.76 |
| Risk-Reward Ratio |
343.54 |
269.88 |
306.74 |
| Ulcer Index |
0.53 |
0.34 |
0.32 |
| Ulcer Performance Index |
20607.16 |
5014.36 |
3166.68 |
| Sharpe Ratio of trades |
26.99 |
30.1 |
24.1 |
| K-Ratio |
0.2039 |
0.1602 |
0.1821 |
Posted in QUIK и Amibroker, торговые роботы (МТС) | Comments Closed
