Автор: Николай Камынин
Испытания торгового робота продолжаются.
Ниже приведены результаты его работы за прошедшую неделю.
В пятницу робот завершил неделю с открытой короткой позицией.
| Statistics |
|---|
| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 1000000.00 | 1000000.00 | 1000000.00 |
| Ending capital | 1066880.47 | 1056094.17 | 1010786.29 |
| Net Profit | 66880.47 | 56094.17 | 10786.29 |
| Net Profit % | 6.69 % | 5.61 % | 1.08 % |
| Exposure % | 94.04 % | 29.77 % | 64.27 % |
| Net Risk Adjusted Return % | 7.11 % | 18.84 % | 1.68 % |
| Annual Return % | 2824.40 % | 1621.57 % | 74.97 % |
| Risk Adjusted Return % | 3003.40 % | 5446.97 % | 116.64 % |
|
|
|||
| All trades | 25 | 12 (48.00 %) | 13 (52.00 %) |
| Avg. Profit/Loss | 2675.22 | 4674.51 | 829.71 |
| Avg. Profit/Loss % | 0.27 % | 0.47 % | 0.08 % |
| Avg. Bars Held | 24.92 | 16.67 | 32.54 |
|
|
|||
| Winners | 12 (48.00 %) | 6 (24.00 %) | 6 (24.00 %) |
| Total Profit | 109033.10 | 73035.27 | 35997.84 |
| Avg. Profit | 9086.09 | 12172.54 | 5999.64 |
| Avg. Profit % | 0.91 % | 1.22 % | 0.60 % |
| Avg. Bars Held | 20.42 | 24.00 | 16.83 |
| Max. Consecutive | 6 | 3 | 3 |
| Largest win | 36514.95 | 36514.95 | 19169.26 |
| # bars in largest win | 36 | 36 | 29 |
|
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| Losers | 13 (52.00 %) | 6 (24.00 %) | 7 (28.00 %) |
| Total Loss | -42152.64 | -16941.09 | -25211.54 |
| Avg. Loss | -3242.51 | -2823.52 | -3601.65 |
| Avg. Loss % | -0.32 % | -0.28 % | -0.36 % |
| Avg. Bars Held | 29.08 | 9.33 | 46.00 |
| Max. Consecutive | 5 | 2 | 3 |
| Largest loss | -5947.87 | -5638.91 | -5947.87 |
| # bars in largest loss | 59 | 19 | 59 |
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| Max. trade drawdown | -14004.84 | -8852.80 | -14004.84 |
| Max. trade % drawdown | -1.39 % | -0.88 % | -1.39 % |
| Max. system drawdown | -23904.29 | -9624.47 | -24884.69 |
| Max. system % drawdown | -2.25 % | -0.92 % | -2.45 % |
| Recovery Factor | 2.80 | 5.83 | 0.43 |
| CAR/MaxDD | 1257.81 | 1771.92 | 30.62 |
| RAR/MaxDD | 1337.52 | 5952.02 | 47.64 |
| Profit Factor | 2.59 | 4.31 | 1.43 |
| Payoff Ratio | 2.80 | 4.31 | 1.67 |
| Standard Error | 11322.95 | 9003.43 | 4919.60 |
| Risk-Reward Ratio | 102.78 | 172.37 | -78.89 |
| Ulcer Index | 1.00 | 0.54 | 1.13 |
| Ulcer Performance Index | 2811.48 | 3015.16 | 61.81 |
| Sharpe Ratio of trades | 10.45 | 18.77 | 3.76 |
| K-Ratio | 0.0231 | 0.0388 | -0.0177 |
This entry was posted
on Суббота, 9 июля, 2011 at 23:45 and is filed under Интеллект, торговые роботы (МТС).
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