В настоящее время добавил в алгоритм работы робота анализ объемов.
Вот результаты его работы за период с 01.01.2011 по 14.12.2001 включительно

Пример графика

                             All trades Long trades Short trades
Net Profit             % 517.92 % 251.61 % 266.31 %
Exposure                % 23.96 % 12.04 % 11.92 %
Annual Return     % 618.87 % 290.33 % 308.04 %
Risk Adjusted Return % 2582.58 % 2410.65 % 2584.28 %
________________________________________
All trades                  1064 532 (50.00 %) 532 (50.00 %)
Avg. Profit/Loss     % 0.49 % 0.47 % 0.50 %
Avg. Bars Held            23.34 23.55 23.12
________________________________________
Winners                       615 (57.80 %) 300 (28.20 %) 315 (29.61 %)
Avg. Profit                    % 1.13 % 1.14 % 1.12 %
# bars in largest win          114 63 114
________________________________________
Losers                               449 (42.20 %) 232 (21.80 %) 217 (20.39 %)
Avg. Loss                           % -0.39 % -0.39 % -0.39 %
# bars in largest loss             16 16 26
________________________________________
Max. trade % drawdown           -4.45 % -4.45 % -3.93 %
Max. system % drawdown           -2.84 % -3.36 % -3.73 %
Recovery Factor                             92.41 41.32 53.59
CAR/MaxDD                                    217.76 86.29 82.50
RAR/MaxDD                                  908.74 716.48 692.13
Profit Factor                                      3.96 3.79 4.13
Payoff Ratio                                    2.89 2.93 2.85
Risk-Reward Ratio                        10.13 9.42 10.58
Ulcer Index                                       0.66 0.74 1.08
Ulcer Performance Index           926.51 386.42 280.21
Sharpe Ratio of trades                   12.38 12.10 12.66
K-Ratio                                                0.0175 0.0163 0.0183