Автор: Николай Камынин
Испытания торгового робота продолжаются.
Ниже приведены результаты его работы за период с 18.07.2011 по 15.08.2011.
| Statistics |
|---|
| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 174331.64 | 129197.19 | 145134.45 |
| Net Profit | 74331.64 | 29197.19 | 45134.45 |
| Net Profit % | 74.33 % | 29.20 % | 45.13 % |
| Exposure % | 87.92 % | 40.64 % | 47.28 % |
| Net Risk Adjusted Return % | 84.55 % | 71.84 % | 95.47 % |
| Annual Return % | 140023.61 % | 2720.09 % | 12746.78 % |
| Risk Adjusted Return % | 159264.40 % | 6692.63 % | 26962.54 % |
|
|
|||
| All trades | 88 | 44 (50.00 %) | 44 (50.00 %) |
| Avg. Profit/Loss | 844.68 | 663.57 | 1025.78 |
| Avg. Profit/Loss % | 0.85 % | 0.66 % | 1.03 % |
| Avg. Bars Held | 25.07 | 23.34 | 26.80 |
|
|
|||
| Winners | 51 (57.95 %) | 24 (27.27 %) | 27 (30.68 %) |
| Total Profit | 87421.98 | 37152.38 | 50269.61 |
| Avg. Profit | 1714.16 | 1548.02 | 1861.84 |
| Avg. Profit % | 1.72 % | 1.55 % | 1.86 % |
| Avg. Bars Held | 29.27 | 27.33 | 31.00 |
| Max. Consecutive | 9 | 5 | 8 |
| Largest win | 6279.57 | 4543.96 | 6279.57 |
| # bars in largest win | 100 | 17 | 100 |
|
|
|||
| Losers | 37 (42.05 %) | 20 (22.73 %) | 17 (19.32 %) |
| Total Loss | -13090.34 | -7955.19 | -5135.16 |
| Avg. Loss | -353.79 | -397.76 | -302.07 |
| Avg. Loss % | -0.35 % | -0.40 % | -0.30 % |
| Avg. Bars Held | 19.27 | 18.55 | 20.12 |
| Max. Consecutive | 8 | 6 | 5 |
| Largest loss | -1551.43 | -1551.43 | -1160.08 |
| # bars in largest loss | 20 | 20 | 16 |
|
|
|||
| Max. trade drawdown | -3061.97 | -2239.50 | -3061.97 |
| Max. trade % drawdown | -2.80 % | -2.19 % | -2.80 % |
| Max. system drawdown | -5263.84 | -4107.28 | -4346.15 |
| Max. system % drawdown | -3.72 % | -3.98 % | -3.19 % |
| Recovery Factor | 14.12 | 7.11 | 10.38 |
| CAR/MaxDD | 37633.79 | 683.38 | 3998.13 |
| RAR/MaxDD | 42805.09 | 1681.41 | 8457.02 |
| Profit Factor | 6.68 | 4.67 | 9.79 |
| Payoff Ratio | 4.85 | 3.89 | 6.16 |
| Standard Error | 13303.76 | 5415.31 | 8137.59 |
| Risk-Reward Ratio | 58.65 | 48.76 | 63.43 |
| Ulcer Index | 1.38 | 1.23 | 0.86 |
| Ulcer Performance Index | 101420.37 | 2203.11 | 14806.01 |
| Sharpe Ratio of trades | 17.39 | 16.62 | 18.60 |
| K-Ratio | 0.0282 | 0.0235 | 0.0305 |
Tags: AMIBROKER, QUIK, МТС, торговый робот
This entry was posted
on Понедельник, 15 августа, 2011 at 23:33 and is filed under QUIK и Amibroker, торговые роботы (МТС), Фондовый рынок.
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