Фев

Хроники робота 3.02.12

График

Таблица

…………………………. All trades Long trades Short trades

Net Profit % 3.10 % 2.74 % 0.37 %

Exposure % 99.12 % 58.55 % 40.57 %

Net Risk Adjusted Return % 3.13 % 4.67 % 0.90 %

Annual Return % N/A N/A N/A

Risk Adjusted Return % N/A N/A N/A

All trades 8 4 (50.00 %) 4 (50.00 %)

Avg. Profit/Loss % 0.39 % 0.68 % 0.09 %

Avg. Bars Held 14.13 16.50 11.75

Winners 7 (87.50 %) 4 (50.00 %) 3 (37.50 %)

Avg. Profit % 0.46 % 0.68 % 0.15 %

Max. Consecutive 7 4 3

# bars in largest win 20 20 15

Losers 1 (12.50 %) 0 (0.00 %) 1 (12.50 %)

Avg. Loss % -0.09 % N/A -0.09 %

Max. Consecutive 1 0 1

# bars in largest loss 4 0 4

Max. trade % drawdown -0.30 % -0.29 % -0.30 %

Max. system % drawdown -0.45 % -0.28 % -0.30 %

Recovery Factor 6.92 9.44 1.23

CAR/MaxDD N/A N/A N/A

RAR/MaxDD N/A N/A N/A

Profit Factor 35.04 N/A 5.02

Payoff Ratio 5.01 N/A 1.67

Risk-Reward Ratio N/A N/A N/A

Ulcer Index 0.20 0.11 0.12

Ulcer Performance Index N/A N/A N/A

Sharpe Ratio of trades N/A N/A N/A

K-Ratio 0.2186 0.2263 0.0948

This entry was posted on Пятница, 3 февраля, 2012 at 19:01 and is filed under QUIK и Amibroker, Интеллект, 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.

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Николай Камынин