Автор: Николай Камынин

Система на основе уровней сопротивления и поддержки и исторических данных.

Ниже приведены исходные данные, сделки и результаты торговли.
14.05.2010. Обыкновенные акции Сбербанка.
Интервал 5 минут. Торговля в лонг без плеча. Прибыль 2.1%

Settings
 
Initial Equity: 10000   Periodicity/Positions: 5-minute/Long
Commissions: 0.03 %   Annual interest rate: 0.00%
Range: 14.05.2010 00:00:00 — 14.05.2010   Apply to: Current Symbol
Account margin: 100   Futures mode: No
Def. round lot size: 1   Def. Tick Size 0.01
Drawdowns based on: High/Low prices      
Long trades
Buy price: Open   Sell price: Open
Buy delay: 0   Sell delay: 0
Short trades
Short price: Open   Cover price: Open
Short delay: 0   Cover delay: 0
Stops
Maximum loss: disabled   Profit target: disabled
Value: 5.00   Value: 5.00
Exit at stop? yes   Exit at stop? yes
 
Trailing stop: disabled      
Value: 2.00      
Exit at stop? yes      
Statistics
  All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 10209.87 10209.87 10000.00
Net Profit 209.87 209.87 0.00
Net Profit % 2.10 % 2.10 % 0.00 %
Exposure % 52.93 % 52.93 % 0.00 %
Net Risk Adjusted Return % 3.97 % 3.97 % N/A
Annual Return % N/A N/A N/A
Risk Adjusted Return % N/A N/A N/A

 
All trades 13 13 (100.00 %) 0 (0.00 %)
 Avg. Profit/Loss 16.14 16.14 N/A
 Avg. Profit/Loss % 0.16 % 0.16 % N/A
 Avg. Bars Held 5.15 5.15 N/A

 
Winners 11 (84.62 %) 11 (84.62 %) 0 (0.00 %)
 Total Profit 226.90 226.90 0.00
 Avg. Profit 20.63 20.63 N/A
 Avg. Profit % 0.21 % 0.21 % N/A
 Avg. Bars Held 5.36 5.36 N/A
 Max. Consecutive 6 6 0
 Largest win 63.13 63.13 0.00
 # bars in largest win 13 13 0

 
Losers 2 (15.38 %) 2 (15.38 %) 0 (0.00 %)
 Total Loss -17.03 -17.03 0.00
 Avg. Loss -8.51 -8.51 N/A
 Avg. Loss % -0.09 % -0.09 % N/A
 Avg. Bars Held 4.00 4.00 N/A
 Max. Consecutive 2 2 0
 Largest loss -14.87 -14.87 0.00
 # bars in largest loss 2 2 0

 
Max. trade drawdown -60.46 -60.46 0.00
Max. trade % drawdown -0.60 % -0.60 % 0.00 %
Max. system drawdown -62.08 -62.08 0.00
Max. system % drawdown -0.61 % -0.61 % 0.00 %
Recovery Factor 3.38 3.38 N/A
CAR/MaxDD N/A N/A N/A
RAR/MaxDD N/A N/A N/A
Profit Factor 13.33 13.33 N/A
Payoff Ratio 2.42 2.42 N/A
Standard Error 20.86 20.86 0.00
Risk-Reward Ratio N/A N/A N/A
Ulcer Index 0.31 0.31 0.00
Ulcer Performance Index N/A N/A N/A
Sharpe Ratio of trades N/A N/A 0.00
K-Ratio 0.2487 0.2487 -1.#IND

 

Trades
Ticker Trade Entry Exit % change Profit Shares Pos. value Cum. profit # bars Profit/bar MAE/MFE Scale In/Out
SBER Long 14.05.2010 10:34:00
79.79
14.05.2010 11:19:00
79.99
0.25% 19.01
0.19%
125 9973.75 19.01 10 1.90 -0.26%
0.95%
0/0
SBER Long 14.05.2010 11:34:00
79.79
14.05.2010 11:49:00
79.93
0.18% 11.51
0.12%
125 9973.75 30.52 4 2.88 -0.09%
0.51%
0/0
SBER Long 14.05.2010 11:54:00
79.79
14.05.2010 11:59:00
79.93
0.18% 11.51
0.12%
125 9973.75 42.03 2 5.76 -0.14%
0.19%
0/0
SBER Long 14.05.2010 12:29:00
78.92
14.05.2010 13:04:00
79.07
0.19% 12.93
0.13%
126 9943.92 54.96 8 1.62 -0.09%
0.89%
0/0
SBER Long 14.05.2010 13:24:00
78.9
14.05.2010 13:39:00
79.07
0.22% 15.45
0.16%
126 9941.40 70.41 4 3.86 -0.10%
0.35%
0/0
SBER Long 14.05.2010 13:59:00
78.5
14.05.2010 14:04:00
78.43
-0.09% -14.87
-0.15%
127 9969.50 55.54 2 -7.43 -0.33%
0.03%
0/0
SBER Long 14.05.2010 14:14:00
78.08
14.05.2010 14:39:00
78.11
0.04% -2.16
-0.02%
128 9994.24 53.38 6 -0.36 -0.20%
0.28%
0/0
SBER Long 14.05.2010 14:54:00
77.7
14.05.2010 15:54:00
78.24
0.69% 63.13
0.63%
128 9945.60 116.51 13 4.86 -0.06%
0.90%
0/0
SBER Long 14.05.2010 16:04:00
77.92
14.05.2010 16:09:00
78
0.10% 4.25
0.04%
128 9973.76 120.76 2 2.13 -0.03%
0.17%
0/0
SBER Long 14.05.2010 16:44:00
78.1
14.05.2010 16:54:00
78.5
0.51% 45.19
0.45%
128 9996.80 165.95 3 15.06 -0.13%
0.51%
0/0
SBER Long 14.05.2010 17:14:00
77.95
14.05.2010 17:39:00
78
0.06% 0.41
0.00%
128 9977.60 166.36 6 0.07 -0.05%
0.38%
0/0
SBER Long 14.05.2010 18:19:00
77.28
14.05.2010 18:29:00
77.49
0.27% 21.10
0.21%
129 9969.12 187.46 3 7.03 -0.10%
0.38%
0/0
SBER Open Long 14.05.2010 18:39:00
77.03
14.05.2010 18:49:00
77.25
0.29% 22.41
0.23%
129 9936.87 209.87 4 5.60 -0.04%
0.55%
0/0

18.05.2010. Обыкновенные акции Сбербанка.
Интервал 5 минут. Торговля в лонг без плеча. Прибыль 5.5%
 

Statistics
  All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 10551.84 10551.84 10000.00
Net Profit 551.84 551.84 0.00
Net Profit % 5.52 % 5.52 % 0.00 %
Exposure % 42.84 % 42.84 % 0.00 %
Net Risk Adjusted Return % 12.88 % 12.88 % N/A
Annual Return % N/A N/A N/A
Risk Adjusted Return % N/A N/A N/A

 
All trades 16 16 (100.00 %) 0 (0.00 %)
 Avg. Profit/Loss 34.49 34.49 N/A
 Avg. Profit/Loss % 0.35 % 0.35 % N/A
 Avg. Bars Held 3.81 3.81 N/A

 
Winners 13 (81.25 %) 13 (81.25 %) 0 (0.00 %)
 Total Profit 574.87 574.87 0.00
 Avg. Profit 44.22 44.22 N/A
 Avg. Profit % 0.44 % 0.44 % N/A
 Avg. Bars Held 4.08 4.08 N/A
 Max. Consecutive 6 6 0
 Largest win 119.12 119.12 0.00
 # bars in largest win 2 2 0

 
Losers 3 (18.75 %) 3 (18.75 %) 0 (0.00 %)
 Total Loss -23.03 -23.03 0.00
 Avg. Loss -7.68 -7.68 N/A
 Avg. Loss % -0.08 % -0.08 % N/A
 Avg. Bars Held 2.67 2.67 N/A
 Max. Consecutive 1 1 0
 Largest loss -11.09 -11.09 0.00
 # bars in largest loss 3 3 0

 
Max. trade drawdown -44.53 -44.53 0.00
Max. trade % drawdown -0.44 % -0.44 % 0.00 %
Max. system drawdown -44.53 -44.53 0.00
Max. system % drawdown -0.43 % -0.43 % 0.00 %
Recovery Factor 12.39 12.39 N/A
CAR/MaxDD N/A N/A N/A
RAR/MaxDD N/A N/A N/A
Profit Factor 24.96 24.96 N/A
Payoff Ratio 5.76 5.76 N/A
Standard Error 27.10 27.10 0.00
Risk-Reward Ratio N/A N/A N/A
Ulcer Index 0.10 0.10 0.00
Ulcer Performance Index N/A N/A N/A
Sharpe Ratio of trades N/A N/A 0.00
K-Ratio 0.5634 0.5634 -1.#IND

Trade list

Ticker Trade Entry Exit % change Profit Shares Pos. value Cum. profit # bars Profit/bar MAE/MFE Scale In/Out
SBER Long 18.05.2010 10:49:00
77.2
18.05.2010 10:54:00
78.17
1.26% 119.12
1.20%
129 9958.80 119.12 2 59.56 -0.08%
1.26%
0/0
SBER Long 18.05.2010 11:14:00
77.8
18.05.2010 11:19:00
77.92
0.15% 9.38
0.09%
128 9958.40 128.50 2 4.69 0.00%
0.21%
0/0
SBER Long 18.05.2010 11:24:00
77.8
18.05.2010 11:34:00
77.76
-0.05% -11.09
-0.11%
128 9958.40 117.40 3 -3.70 -0.12%
0.32%
0/0
SBER Long 18.05.2010 12:34:00
76.63
18.05.2010 12:39:00
76.86
0.30% 23.91
0.24%
130 9961.90 141.32 2 11.96 0.00%
0.39%
0/0
SBER Long 18.05.2010 12:44:00
76.63
18.05.2010 12:49:00
76.63
0.00% -5.98
-0.06%
130 9961.90 135.34 2 -2.99 0.00%
0.33%
0/0
SBER Long 18.05.2010 13:04:00
75.93
18.05.2010 13:24:00
76.28
0.46% 39.87
0.40%
131 9946.83 175.21 5 7.97 -0.11%
0.63%
0/0
SBER Long 18.05.2010 13:44:00
76
18.05.2010 13:59:00
76.32
0.42% 35.93
0.36%
131 9956.00 211.14 4 8.98 -0.12%
0.42%
0/0
SBER Long 18.05.2010 14:09:00
76.16
18.05.2010 14:19:00
76.42
0.34% 28.06
0.28%
131 9976.96 239.21 3 9.35 -0.08%
0.39%
0/0
SBER Long 18.05.2010 14:29:00
76.32
18.05.2010 14:54:00
76.76
0.58% 51.62
0.52%
131 9997.92 290.83 6 8.60 -0.12%
0.60%
0/0
SBER Long 18.05.2010 15:14:00
76.23
18.05.2010 16:19:00
77.1
1.14% 107.94
1.08%
131 9986.13 398.77 14 7.71 -0.17%
1.30%
0/0
SBER Long 18.05.2010 16:29:00
76.75
18.05.2010 16:34:00
76.95
0.26% 20.01
0.20%
130 9977.50 418.78 2 10.00 -0.08%
0.26%
0/0
SBER Long 18.05.2010 16:44:00
76.99
18.05.2010 16:54:00
76.99
0.00% -5.96
-0.06%
129 9931.71 412.82 3 -1.99 -0.18%
0.39%
0/0
SBER Long 18.05.2010 17:14:00
76.91
18.05.2010 17:39:00
77.52
0.79% 73.28
0.73%
130 9998.30 486.10 6 12.21 -0.08%
0.96%
0/0
SBER Long 18.05.2010 17:49:00
77.65
18.05.2010 17:54:00
77.82
0.22% 15.79
0.16%
128 9939.20 501.89 2 7.89 -0.08%
0.39%
0/0
SBER Long 18.05.2010 18:14:00
77.35
18.05.2010 18:19:00
77.6
0.32% 26.25
0.26%
129 9978.15 528.14 2 13.13 -0.14%
0.32%
0/0
SBER Long 18.05.2010 18:34:00
77.02
18.05.2010 18:44:00
77.25
0.30% 23.70
0.24%
129 9935.58 551.84 3 7.90 -0.06%
0.31%
0/0

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This entry was posted on Среда, 19 мая, 2010 at 10:21 and is filed under Amibroker, торговые роботы (МТС), Фондовый рынок. You can follow any responses to this entry through the RSS 2.0 feed. Both comments and pings are currently closed.

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