Posts Tagged ‘торговый робот’

График

Таблица

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

Net Profit %                                                    3.10 %                   2.74 %                     0.37 %

Exposure %                                                    99.12 %                58.55 %                   40.57 %

Net Risk Adjusted Return %                         3.13 %                   4.67 %                     0.90 %

Annual Return %                                            N/A                        N/A                           N/A

Risk Adjusted Return %                                N/A                        N/A                           N/A


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

Avg. Profit/Loss %                                        0.39 %                   0.68 %                     0.09 %

Avg. Bars Held                                              14.13                     16.50                        11.75


Winners                                                         7 (87.50 %)           4 (50.00 %)             3 (37.50 %)

Avg. Profit %                                                 0.46 %                   0.68 %                     0.15 %

Max. Consecutive                                         7                             4                               3

# bars in largest win                                     20                          20                             15


Losers                                                           1 (12.50 %)           0 (0.00 %)                1 (12.50 %)

Avg. Loss %                                                  -0.09 %                 N/A                           -0.09 %

Max. Consecutive                                         1                             0                               1

# bars in largest loss                                    4                             0                               4


Max. trade % drawdown                               -0.30 %                 -0.29 %                    -0.30 %

Max. system % drawdown                            -0.45 %                 -0.28 %                    -0.30 %

Recovery Factor                                            6.92                       9.44                          1.23

CAR/MaxDD                                                  N/A                        N/A                           N/A

RAR/MaxDD                                                  N/A                        N/A                           N/A

Profit Factor                                                   35.04                     N/A                           5.02

Payoff Ratio                                                   5.01                       N/A                           1.67

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

Ulcer Index                                                      0.20                       0.11                          0.12

Ulcer Performance Index                              N/A                        N/A                           N/A

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

K-Ratio                                                           0.2186                   0.2263                     0.0948

 

 

Tags: , , ,

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

Tags: , , ,

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

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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

 

 

Tags: , , , , ,

Страница 1 из 261234567891011121314151617181920...Last »