Posts Tagged ‘QUIK’

Закончился торговый день.

День получился интересный, поэтому решил выложить результат.

График

Таблица

All trades             Long trades           Short trades

Net Profit %                          3.06 %                   3.47 %                     -0.41 %

Exposure %                           84.58 %                69.71 %                   14.86 %


All trades                               8                             4 (50.00 %)             4 (50.00 %)

Avg. Profit/Loss %                    0.38 %                   0.87 %                     -0.10 %

Avg. Bars Held                    12.25                     19.50                        5.00


Winners                              3 (37.50 %)           2 (25.00 %)             1 (12.50 %)

Avg. Profit %                         1.26 %                   1.84 %                     0.10 %

Max. Consecutive                 2                             1                               1

# bars in largest win            35                          35                             11


Losers                                  5 (62.50 %)           2 (25.00 %)             3 (37.50 %)

Avg. Loss %                           -0.14 %                 -0.10 %                    -0.17 %

Avg. Bars Held                       3.20                       3.50                          3.00

Max. Consecutive                   4                             2                               3

# bars in largest loss              2                             5                               2


Max. trade % drawdown             -0.37 %                 -0.37 %                    -0.30 %

Max. system % drawdown          -0.84 %                 -0.56 %                    -0.62 %

Recovery Factor                           3.55                       6.04                          -0.66

CAR/MaxDD                                   N/A                        N/A                           -160.47

RAR/MaxDD                               N/A                        N/A                           -1079.77

Profit Factor                                 5.25                       17.93                        0.20

Payoff Ratio                                  8.75                       17.93                        0.61

Risk-Reward Ratio                    N/A                        N/A                           N/A

Ulcer Index                                0.37                       0.23                          0.33

Sharpe Ratio of trades              N/A                        N/A                           N/A

K-Ratio                                      0.1710                   0.2125                     -0.1456

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Закончился месяц .

Подводим итоги за январь 2012

График

Цена, объемы и сигналы

Прибыль и убыток

верхний график

Красный цвет — весь депозит

синий цвет -стратегия «купил и держи»

нижний график

зеленый цвет — прибыль в сделках не участвует

голубой цвет — деньги в сделках

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Таблица

……………           All trades                  Long trades          Short trades

Net Profit %           91.14 %                     51.83 %                   39.31 %

Exposure %            70.56 %                     38.74 %                   31.82 %


All trades             173                             86 (49.71 %)           87 (50.29 %)

Avg. Profit/Loss %        0.53 %                       0.60 %                     0.45 %


Winners               155 (89.60 %)           81 (46.82 %)           74 (42.77 %)

Avg. Profit %             0.60 %                       0.65 %                     0.55 %

# bars in largest win       112                             112                          32


Losers                  18 (10.40 %)             5 (2.89 %)               13 (7.51 %)

Avg. Loss %              -0.09 %                      -0.08 %                    -0.10 %

# bars in largest loss          4                                 4                               8


Max. trade % drawdown        -1.22 %                      -0.93 %                    -1.22 %

Max. system % drawdown      -1.55 %                      -0.69 %                    -1.50 %

Recovery Factor                56.57                          53.63                       26.25

Profit Factor                     54.92                          123.25                     32.05

Payoff Ratio                      6.38                            7.61                         5.63

Risk-Reward Ratio        574.92                       563.35                     377.40

Ulcer Index                       0.18                            0.16                         0.14

Sharpe Ratio of trades         37.82                          35.58                       43.44

K-Ratio                       0.2711                       0.2657                     0.1780

 

 

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Период с 23.01.2012 по 27.01.2012

График

Таблица

 

…………………………All trades                       Long trades             Short trades

Net Profit %                         20.53 %                           13.58 %                      6.95 %

Exposure %                            91.27 %                           62.15 %                      29.12 %


All trades                           36                                     18 (50.00 %)              18 (50.00 %)

Avg. Profit/Loss %                0.57 %                             0.75 %                        0.39 %


Winners                                    31 (86.11 %)                   16 (44.44 %)              15 (41.67 %)

Avg. Profit %                                   0.68 %                             0.85 %                        0.49 %

# bars in largest win                      125                                  125                             15


Losers                                          5 (13.89 %)                     2 (5.56 %)                  3 (8.33 %)

Avg. Loss %                                         -0.09 %                            -0.04 %                       -0.12 %

# bars in largest loss                           8                                       3                                  8


Max. trade % drawdown                -0.96 %                            -0.96 %                       -0.61 %

Max. system % drawdown            -0.85 %                            -0.90 %                       -0.61 %

Recovery Factor                                   20.51                               13.57                          11.39

Profit Factor                                          48.52                               168.62                        20.79

Payoff Ratio                                           7.83                                 21.08                          4.16

Sharpe Ratio of trades                         35.72                               30.99                          71.27

K-Ratio                                                   0.3728                             0.2774                        0.2042

 

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