Автор: Николай Камынин

Предлагаю результаты работы
алгоритма торговли на двух индикаторах. EMA + TRIX ,
сбербанк обычка,
сигнал на закрытии свечи, сделка на открытии следующей.
Комиссия 0.035%.
Без реинвестирования прибыли, без плеч.

Тайм 30 минут

Оптимизация произведена по периоду 2007-2011

Исторические данные за период 1999-2006

All trades                  Long trades             Short trades
Initial capital                                           100000.00                100000.00                 100000.00
Ending capital                                        481268.64                527675.76                 53592.88
Net Profit                                                381268.64                427675.76                 -46407.12
Net Profit %                                            381.27 %                   427.68 %                   -46.41 %
Exposure %                                            24.00 %                     11.94 %                     12.06 %
Net Risk Adjusted Return %                 1588.60 %                3581.10 %                 -384.87 %
Annual Return %                                    23.02 %                     24.52 %                     -7.90 %
Risk Adjusted Return %                        95.92 %                     205.35 %                   -65.48 %


All trades 3114                          1573 (50.51 %)         1541 (49.49 %)
Avg. Profit/Loss                                    122.44                       271.89                        -30.11
Avg. Profit/Loss %                                0.13 %                       0.29 %                        -0.04 %
Avg. Bars Held                                      10.33                         10.16                          10.50


Winners 1181 (37.93 %)        638 (20.49 %)           543 (17.44 %)
Total Profit                                             2524177.11              1411796.49               1112380.62
Avg. Profit                                              2137.32                     2212.85                     2048.58
Avg. Profit %                                         2.25 %                       2.34 %                        2.15 %
Avg. Bars Held                                      15.08                         14.65                          15.59
Max. Consecutive                                 9                                 9                                  6
Largest win                                            22412.88                   13269.87                   22412.88
# bars in largest win                             3                                 3                                  3


Losers 1933 (62.07 %)        935 (30.03 %)           998 (32.05 %)
Total Loss                                              -2142908.47             -984120.74                -1158787.74
Avg. Loss                                              -1108.59                    -1052.54                    -1161.11
Avg. Loss %                                          -1.17 %                      -1.11 %                      -1.23 %
Avg. Bars Held                                      7.42                            7.10                            7.73
Max. Consecutive                                 20                               12                               12
Largest loss                                          -15180.97                 -10001.53                  -15180.97
# bars in largest loss                            8                                 24                               8


Max. trade drawdown                            -15766.38                 -15766.38                  -15180.97
Max. trade % drawdown                       -15.66 %                    -15.66 %                    -15.24 %
Max. system drawdown                        -55657.16                 -50537.27                  -193132.27
Max. system % drawdown                    -19.04 %                    -17.75 %                    -78.28 %
Recovery Factor                                    6.85                            8.46                            -0.24
CAR/MaxDD                                          1.21                            1.38                            -0.10
RAR/MaxDD                                          5.04                            11.57                          -0.84
Profit Factor                                           1.18                            1.43                            0.96
Payoff Ratio                                           1.93                            2.10                            1.76
Standard Error                                       49360.82                   30526.68                   28210.22
Risk-Reward Ratio                                0.57                            1.40                            -0.52
Ulcer Index                                              5.33                            4.01                            42.86
Ulcer Performance Index                      3.30                            4.77                            -0.31
Sharpe Ratio of trades                         0.94                            2.29                            -0.45
K-Ratio                                                   0.0073                       0.0179                        -0.0066

Исторические данные за период 2007-2011

All trades                   Long trades           Short trades
Initial capital                                             100000.00                  100000.00               100000.00
Ending capital                                          596425.63                  358785.61               337640.03
Net Profit                                                  496425.63                  258785.61               237640.03
Net Profit %                                              496.43 %                    258.79 %                  237.64 %
Exposure %                                              39.72 %                      19.00 %                    20.72 %
Net Risk Adjusted Return %                   1249.78 %                  1362.31 %               1146.65 %
Annual Return %                                      46.40 %                      31.35 %                    29.66 %

Risk Adjusted Return %                          116.82 %                    165.03 %                  143.10 %


All trades 1874                            936 (49.95 %)          938 (50.05 %)
Avg. Profit/Loss                                      264.90                        276.48                      253.35
Avg. Profit/Loss %                                  0.27 %                        0.28 %                      0.25 %
Avg. Bars Held                                        10.93                           10.55                        11.31


Winners 792 (42.26 %)            390 (20.81 %)          402 (21.45 %)
Total Profit                                               2021075.78               1001699.26             1019376.52
Avg. Profit                                                2551.86                      2568.46                    2535.76
Avg. Profit %                                           2.55 %                        2.57 %                      2.54 %
Avg. Bars Held                                        15.34                           15.03                        15.63
Max. Consecutive                                   10                                9                                7
Largest win                                              18284.77                    16039.05                  18284.77
# bars in largest win                               15                                9                                15


Losers 1082 (57.74 %)          546 (29.14 %)          536 (28.60 %)
Total Loss                                                -1524650.14              -742913.65              -781736.49
Avg. Loss                                                -1409.10                     -1360.65                   -1458.46
Avg. Loss %                                            -1.41 %                       -1.36 %                     -1.46 %
Avg. Bars Held                                        7.70                             7.34                           8.07
Max. Consecutive                                   14                                11                              17
Largest loss                                            -16639.71                   -16639.71                -16118.48
# bars in largest loss                              9                                  9                                11


Max. trade drawdown                              -20540.57                   -20540.57                -16621.66
Max. trade % drawdown                         -19.76 %                     -19.76 %                   -16.54 %
Max. system drawdown                          -44982.69                   -46477.80                -42505.22
Max. system % drawdown                      -20.88 %                     -33.44 %                   -15.58 %
Recovery Factor                                      11.04                           5.57                           5.59
CAR/MaxDD                                            2.22                             0.94                           1.90
RAR/MaxDD                                            5.59                             4.93                           9.19
Profit Factor                                             1.33                             1.35                           1.30
Payoff Ratio                                             1.81                             1.89                           1.74
Standard Error                                         49556.83                    32377.38                  42413.85
Risk-Reward Ratio                                  2.62                             2.21                           1.38
Ulcer Index                                                4.71                             5.99                           5.51
Ulcer Performance Index                        8.71                             4.33                           4.40
Sharpe Ratio of trades                           1.78                             1.91                           1.57
K-Ratio                                                     0.0258                        0.0217                      0.0136

Результат:

1999-2006  Прибыль  % Всего  381.27 % лонг      427.68 % шорт (убыток) -46.41 %
2007-2011  Прибыль % Всего 496.43 % лонг        258.79 % шорт 237.64 %



Tags: , ,

This entry was posted on Суббота, 17 сентября, 2011 at 09:51 and is filed under Amibroker, Фондовый рынок. 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.