Автор: Николай Камынин

Ниже представлены результаты тестирования стратегии на индикаторах EMA + TRIX на периоде с января 2007 по 16 сентября 2011
сбербанк обычка,
сигнал на закрытии свечи, сделка на открытии следующей.
Комиссия 0.035%.
Без реинвестирования прибыли, без плеч.
Тайм 1 час

Параметры оптимизированы на 2011 году
All trades                 Long trades            Short trades
Initial capital                                               100000.00               100000.00                100000.00
Ending capital                                           507103.84               316789.00                290314.84
Net Profit                                                    407103.84               216789.00                190314.84
Net Profit %                                               407.10 %                  216.79 %                  190.31 %
Exposure %                                               40.06 %                    19.25 %                    20.80 %
Net Risk Adjusted Return %                    1016.35 %               1125.91 %                914.93 %
Annual Return %                                       41.42 %                    27.91 %                    25.55 %
Risk Adjusted Return %                           103.40 %                  144.93 %                  122.81 %


All trades 1302                         649 (49.85 %)          653 (50.15 %)
Avg. Profit/Loss                                       312.68                      334.04                       291.45
Avg. Profit/Loss %                                   0.31 %                      0.33 %                       0.29 %
Avg. Bars Held                                         8.53                           8.23                           8.84


Winners 543 (41.71 %)          268 (20.58 %)          275 (21.12 %)
Total Profit                                                1700539.80             835433.19                865106.61
Avg. Profit                                                 3131.75                    3117.29                    3145.84
Avg. Profit %                                            3.13 %                      3.12 %                       3.15 %
Avg. Bars Held                                         11.08                        10.90                         11.25
Max. Consecutive                                    10                              8                                 7

Largest win                                               18375.66                  16039.05                  18375.66
# bars in largest win                                9                                6                                 9


Losers 759 (58.29 %)          381 (29.26 %)          378 (29.03 %)
Total Loss                                                 -1293435.96            -618644.20               -674791.77
Avg. Loss                                                  -1704.13                   -1623.74                   -1785.16
Avg. Loss %                                             -1.70 %                     -1.62 %                     -1.79 %
Avg. Bars Held                                         6.72                           6.35                           7.08
Max. Consecutive                                    11                              12                              11
Largest loss                                              -16182.22                -13374.62                 -16182.22
# bars in largest loss                               3                                15                              3


Max. trade drawdown                               -20712.39                -20712.39                 -16646.78
Max. trade % drawdown                          -20.71 %                   -20.71 %                   -16.53 %
Max. system drawdown                            -62123.29                -56589.49                 -48801.71
Max. system % drawdown                       -28.49 %                   -40.57 %                   -16.19 %
Recovery Factor                                       6.55                           3.83                           3.90
CAR/MaxDD                                             1.45                           0.69                           1.58
RAR/MaxDD                                             3.63                           3.57                           7.58
Profit Factor                                              1.31                           1.35                           1.28
Payoff Ratio                                               1.84                           1.92                           1.76
Standard Error                                          46704.01                  30129.69                  36962.80
Risk-Reward Ratio                                   2.22                           1.91                           1.25
Ulcer Index                                                 6.17                           7.66                           8.67
Ulcer Performance Index                         5.84                           2.94                           2.32
Sharpe Ratio of trades                             1.46                           1.62                           1.31
K-Ratio                                                       0.0301                      0.0258                       0.0169

~~~~~~~~~~~~~~~~~~~~~~~~~

Результат:

Прибыль:  Всего 407.10 %   Лонг 216.79 %  Шорт 190.31 %

Max. просадка% Всего    -28.49 % Лонг     -40.57 % Шорт      -16.19 %

~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

Оптимизация на всех исторических данных

Результат:
Прибыль:  Всего     436.19 %   Лонг     225.71 %  Шорт     210.48 %
Max. просадка% Всего    -20.66 % Лонг     -33.93 % Шорт      -16.30 %
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

Тайм 30 минут

Результат:
Прибыль:  Всего     496.43 %   Лонг     258.79 %  Шорт     237.64 %
Max. просадка% Всего    -20.88 % Лонг     -33.44 % Шорт      -15.58 %
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

Тайм 10 минут

Результат:
Прибыль:  Всего     474.45 %   Лонг     255.51 %  Шорт     218.93 %
Max. просадка% Всего    -39.59 % Лонг     -56.43 % Шорт      -26.40 %
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~


Tags: , , ,

This entry was posted on Суббота, 17 сентября, 2011 at 09:30 and is filed under Amibroker, торговые роботы (МТС). You can follow any responses to this entry through the RSS 2.0 feed. Both comments and pings are currently closed.

Comments are closed at this time.