Archive for the ‘QUIK и Amibroker’ Category
31
Июл
РоботВася. Хроники
С 01.01.2007 по 31.07.2012 включительно.
| All trades | Long trades | Short trades | |
| Initial capital | 100000 | 100000 | 100000 |
| Ending capital | 2467463.07 | 1308881.25 | 1258581.82 |
| Net Profit | 2367463.07 | 1208881.25 | 1158581.82 |
| Net Profit % | 2367.46% | 1208.88% | 1158.58% |
| Exposure % | 16.88% | 9.27% | 7.61% |
| Net Risk Adjusted Return % | 14021.80% | 13034.30% | 15225.38% |
| Annual Return % | 77.96% | 58.79% | 57.67% |
| Risk Adjusted Return % | 461.75% | 633.88% | 757.93% |
| All trades | 3530 | 1765 (50.00 %) | 1765 (50.00 %) |
| Avg. Profit/Loss | 670.67 | 684.92 | 656.42 |
| Avg. Profit/Loss % | 0.67% | 0.68% | 0.66% |
| Avg. Bars Held | 38.56 | 41.79 | 35.34 |
| Winners | 1922 (54.45 %) | 918 (26.01 %) | 1004 (28.44 %) |
| Total Profit | 3522935.44 | 1846396.63 | 1676538.82 |
| Avg. Profit | 1832.95 | 2011.33 | 1669.86 |
| Avg. Profit % | 1.83% | 2.01% | 1.67% |
| Avg. Bars Held | 47.5 | 54.11 | 41.45 |
| Max. Consecutive | 30 | 19 | 31 |
| Largest win | 26604.04 | 26236.58 | 26604.04 |
| # bars in largest win | 87 | 2 | 87 |
| Losers | 1608 (45.55 %) | 847 (23.99 %) | 761 (21.56 %) |
| Total Loss | -1155472.38 | -637515.38 | -517957 |
| Avg. Loss | -718.58 | -752.67 | -680.63 |
| Avg. Loss % | -0.72% | -0.75% | -0.68% |
| Avg. Bars Held | 27.89 | 28.43 | 27.28 |
| Max. Consecutive | 10 | 7 | 17 |
| Largest loss | -5074.75 | -5074.75 | -4459.79 |
| # bars in largest loss | 91 | 91 | 28 |
| Max. trade drawdown | -15340.94 | -15340.94 | -10568.06 |
| Max. trade % drawdown | -13.25% | -13.25% | -9.07% |
| Max. system drawdown | -15650.06 | -15580.06 | -16010.4 |
| Max. system % drawdown | -5.87% | -5.70% | -7.36% |
| Recovery Factor | 151.28 | 77.59 | 72.36 |
| CAR/MaxDD | 13.29 | 10.31 | 7.84 |
| RAR/MaxDD | 78.73 | 111.19 | 102.98 |
| Profit Factor | 3.05 | 2.9 | 3.24 |
| Payoff Ratio | 2.55 | 2.67 | 2.45 |
| Standard Error | 232991.77 | 110579.36 | 126680.68 |
| Risk-Reward Ratio | 1.95 | 2.12 | 1.73 |
| Ulcer Index | 0.98 | 1.01 | 1.55 |
| Ulcer Performance Index | 74.12 | 53 | 33.82 |
| Sharpe Ratio of trades | 6.77 | 6.41 | 7.19 |
| K-Ratio | 0.0086 | 0.0094 | 0.0076 |