Сегодня 22.02.13

рг_2013_3_001

 

 

 

 

 

 

 

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

 

 

 

Сегодня 19.02.13

рг_2013_3_001

 

 

 

 

 

 

 

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

сегодня 15.02.2013

рг_2013_2_001

 

 

 

 

 

 

 

 

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