Archive for the ‘Фондовый рынок’ Category
| All trades | Long trades | Short trades | |
| Net Profit % | 2581.06% | 1319.91% | 1261.15% |
| Exposure % | 15.65% | 8.56% | 7.09% |
| Net Risk Adjusted Return % | 16493.76% | 15415.89% | 17796.01% |
| Annual Return % | 79.40% | 60.24% | 59.04% |
| Risk Adjusted Return % | 507.36% | 703.52% | 833.06% |
| All trades | 3689 | 1845 (50.01%) | 1844 (49.99%) |
| Avg. Profit/Loss % | 0.70% | 0.72% | 0.68% |
| Avg. Bars Held | 37.46 | 40.37 | 34.54 |
| Winners | 2069 (56.09 %) | 990 (26.84%) | 1079 (29.25%) |
| Avg. Profit % | 1.79% | 1.95% | 1.65% |
| Avg. Bars Held | 45.69 | 50.93 | 40.89 |
| Max. Consecutive | 32 | 21 | 26 |
| # bars in largest win | 87 | 2 | 87 |
| Losers | 1620 (43.91 %) | 855 (23.18%) | 765 (20.74%) |
| Avg. Loss % | -0.70% | -0.72% | -0.67% |
| Avg. Bars Held | 26.94 | 28.15 | 25.59 |
| Max. Consecutive | 10 | 7 | 12 |
| # bars in largest loss | 64 | 64 | 28 |
| Max. trade % drawdown | -9.07% | -8.70% | -9.07% |
| Max. system % drawdown | -4.99% | -5.70% | -5.73% |
| Recovery Factor | 201.97 | 112.08 | 93.86 |
| CAR/MaxDD | 15.9 | 10.57 | 10.31 |
| RAR/MaxDD | 101.58 | 123.41 | 145.44 |
| Profit Factor | 3.29 | 3.16 | 3.45 |
| Payoff Ratio | 2.57 | 2.72 | 2.44 |
| Risk-Reward Ratio | 1.96 | 2.12 | 1.75 |
| Ulcer Index | 0.72 | 0.83 | 1.1 |
| Ulcer Performance Index | 103.21 | 65.68 | 48.68 |
| Sharpe Ratio of trades | 7.19 | 6.84 | 7.6 |
| K-Ratio | 0.0087 | 0.0094 | 0.0077 |