30
Дек

Результаты робота с 26.12.2011 по 30.12.2011

Posted by: Kamynin   in QUIK и Amibroker, QUIK и QPILE, торговые роботы (МТС), Фондовый рынок

График

                                    All trades                Long trades          Short trades
Net Profit %               14.77 %                   6.69 %                     8.08 %
Exposure %                   45.57 %                   23.33 %                   22.24 %
Net Risk Adjusted Return %      32.41 %                   28.68 %                   36.32 %

All trades      45          22 (48.89 %)           23 (51.11 %)
Avg. Profit/Loss %       0.33 %                  0.30 %                     0.35 %

Winners      38 (84.44 %)           17 (37.78 %)           21 (46.67 %)
Avg. Profit %            0.43 %                     0.46 %                     0.40 %
Max. Consecutive           18                             9                               16
# bars in largest win        27                             36                             27

Losers        7 (15.56 %)             5 (11.11 %)             2 (4.44 %)
Avg. Loss %             -0.20 %                    -0.23 %                    -0.13 %
Max. Consecutive       1                               3                               1
# bars in largest loss    6                               6                               6

Max. trade % drawdown    -0.52 %                    -0.49 %                    -0.52 %
Max. system % drawdown     -0.63 %                    -0.66 %                    -0.49 %
Recovery Factor       22.30                        9.88                          15.34
Profit Factor         11.36                        6.78                          31.07
Payoff Ratio          2.09                          2.00                          2.96
Ulcer Index           0.17                          0.20                          0.13
Sharpe Ratio of trades    32.45                        28.63                       38.31
K-Ratio                   0.4008                     0.1084                     0.2896

Tags: , , ,

This entry was posted on Пятница, 30 декабря, 2011 at 19:20 and is filed under QUIK и Amibroker, QUIK и QPILE, торговые роботы (МТС), 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.

Back to top