Испытания торгового робота продолжаются.
Ниже приведены результаты его работы за период с 16.08.2011 по 19.08.2011.
| Statistics |
|---|
| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 115651.15 | 104163.82 | 111487.33 |
| Net Profit | 15651.15 | 4163.82 | 11487.33 |
| Net Profit % | 15.65 % | 4.16 % | 11.49 % |
| Exposure % | 76.77 % | 30.17 % | 46.59 % |
| Net Risk Adjusted Return % | 20.39 % | 13.80 % | 24.65 % |
| Annual Return % | 4822206547.01 % | 14207.24 % | 55689263.17 % |
| Risk Adjusted Return % | 6281658885.89 % | 47087.16 % | 119519663.40 % |
|
|
|||
| All trades | 16 | 8 (50.00 %) | 8 (50.00 %) |
| Avg. Profit/Loss | 978.20 | 520.48 | 1435.92 |
| Avg. Profit/Loss % | 0.98 % | 0.52 % | 1.44 % |
| Avg. Bars Held | 20.44 | 16.13 | 24.75 |
|
|
|||
| Winners | 12 (75.00 %) | 5 (31.25 %) | 7 (43.75 %) |
| Total Profit | 17058.25 | 5475.29 | 11582.96 |
| Avg. Profit | 1421.52 | 1095.06 | 1654.71 |
| Avg. Profit % | 1.42 % | 1.10 % | 1.66 % |
| Avg. Bars Held | 21.58 | 17.00 | 24.86 |
| Max. Consecutive | 6 | 3 | 6 |
| Largest win | 4616.33 | 1706.31 | 4616.33 |
| # bars in largest win | 21 | 43 | 21 |
|
|
|||
| Losers | 4 (25.00 %) | 3 (18.75 %) | 1 (6.25 %) |
| Total Loss | -1407.10 | -1311.47 | -95.63 |
| Avg. Loss | -351.77 | -437.16 | -95.63 |
| Avg. Loss % | -0.35 % | -0.44 % | -0.10 % |
| Avg. Bars Held | 17.00 | 14.67 | 24.00 |
| Max. Consecutive | 1 | 3 | 1 |
| Largest loss | -992.40 | -992.40 | -95.63 |
| # bars in largest loss | 8 | 8 | 24 |
|
|
|||
| Max. trade drawdown | -1973.43 | -1106.43 | -1973.43 |
| Max. trade % drawdown | -1.94 % | -1.10 % | -1.94 % |
| Max. system drawdown | -2171.35 | -2368.30 | -1973.43 |
| Max. system % drawdown | -2.12 % | -2.29 % | -1.75 % |
| Recovery Factor | 7.21 | 1.76 | 5.82 |
| CAR/MaxDD | 2271974530.08 | 6211.92 | 31806820.77 |
| RAR/MaxDD | 2959593052.74 | 20588.20 | 68263437.07 |
| Profit Factor | 12.12 | 4.17 | 121.13 |
| Payoff Ratio | 4.04 | 2.50 | 17.30 |
| Standard Error | 1518.84 | 761.22 | 2029.62 |
| Risk-Reward Ratio | 1387.59 | 490.06 | 854.59 |
| Ulcer Index | 0.58 | 0.84 | 0.50 |
| Ulcer Performance Index | 8379649687.84 | 16841.81 | 111360051.52 |
| Sharpe Ratio of trades | 34.09 | 32.19 | 38.84 |
| K-Ratio | 0.1680 | 0.0593 | 0.1035 |
This entry was posted
on Суббота, 20 августа, 2011 at 07:56 and is filed under QUIK и Amibroker, торговые роботы (МТС), Фондовый рынок.
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