11 декабря, 2012
Posted in QUIK и Amibroker, торговые роботы (МТС) | Comments Closed
10 декабря, 2012
|
All trades |
Long trades |
Short trades |
| Initial capital |
100000 |
100000 |
100000 |
| Net Profit% |
2146.90% |
1139.69% |
1007.21% |
| Exposure% |
16.43% |
8.36% |
8.08% |
| Net Risk Adjusted Return% |
13064.90% |
13636.70% |
12473.09% |
| Annual Return% |
69.11% |
52.96% |
50.07% |
| Risk Adjusted Return% |
420.60% |
633.68% |
620.05% |
| All trades |
3268 |
1634 (50.00%) |
1634 (50.00%) |
| Avg. Profit/Loss% |
0.66% |
0.70% |
0.62% |
| Winners |
1648 (50.43%) |
820 (25.09%) |
828 (25.34%) |
| Avg. Profit% |
1.99% |
2.13% |
1.85% |
| Avg. Bars Held |
59.17 |
62.78 |
55.6 |
| Losers |
1620 (49.57%) |
814 (24.91%) |
806 (24.66%) |
| Avg. Loss% |
-0.70% |
-0.75% |
-0.65% |
| Max. trade% drawdown |
-11.92% |
-7.87% |
-11.92% |
| Max. system% drawdown |
-6.41% |
-6.57% |
-9.22% |
| Recovery Factor |
105.67 |
72.37 |
73.97 |
| CAR/MaxDD |
10.78 |
8.06 |
5.43 |
| RAR/MaxDD |
65.61 |
96.46 |
67.23 |
| Profit Factor |
2.9 |
2.88 |
2.93 |
| Payoff Ratio |
2.85 |
2.86 |
2.85 |
| Risk-Reward Ratio |
1.68 |
1.76 |
1.54 |
| Ulcer Index |
0.91 |
0.9 |
1.34 |
| Ulcer Performance Index |
70.02 |
52.83 |
33.32 |
| Sharpe Ratio of trades |
5.47 |
5.28 |
5.73 |
| K-Ratio |
0.0076 |
0.008 |
0.007 |
Posted in QUIK и Amibroker, торговые роботы (МТС) | 1 Comment »
