2
Авг
РоботВася. Хроники
по 1.08.2012 включительно
| All trades | Long trades | Short trades | |
| Initial capital | 100000 | 100000 | 100000 |
| Ending capital | 2534553.86 | 1342895.91 | 1291657.96 |
| Net Profit | 2434553.86 | 1242895.91 | 1191657.96 |
| Net Profit % | 2434.55% | 1242.90% | 1191.66% |
| Exposure % | 16.24% | 8.83% | 7.41% |
| Net Risk Adjusted Return % | 14989.65% | 14076.32% | 16077.70% |
| Annual Return % | 78.77% | 59.49% | 58.38% |
| Risk Adjusted Return % | 485.01% | 673.72% | 787.60% |
| All trades | 3583 | 1792 (50.01 %) | 1791 (49.99 %) |
| Avg. Profit/Loss | 679.47 | 693.58 | 665.36 |
| Avg. Profit/Loss % | 0.68% | 0.69% | 0.67% |
| Avg. Bars Held | 38.04 | 40.92 | 35.15 |
| Winners | 1976 (55.15 %) | 946 (26.40 %) | 1030 (28.75 %) |
| Total Profit | 3594328.88 | 1883303.18 | 1711025.7 |
| Avg. Profit | 1818.99 | 1990.81 | 1661.19 |
| Avg. Profit % | 1.82% | 1.99% | 1.66% |
| Avg. Bars Held | 46.78 | 52.35 | 41.66 |
| Max. Consecutive | 28 | 21 | 30 |
| Largest win | 26604.04 | 26236.58 | 26604.04 |
| # bars in largest win | 87 | 2 | 87 |
| Losers | 1607 (44.85 %) | 846 (23.61 %) | 761 (21.24 %) |
| Total Loss | -1159775.02 | -640407.27 | -519367.75 |
| Avg. Loss | -721.7 | -756.98 | -682.48 |
| Avg. Loss % | -0.72% | -0.76% | -0.68% |
| Avg. Bars Held | 27.29 | 28.13 | 26.34 |
| Max. Consecutive | 10 | 7 | 12 |
| Largest loss | -7042.92 | -7042.92 | -4459.79 |
| # bars in largest loss | 50 | 50 | 28 |
| Max. trade drawdown | -10568.06 | -9154.95 | -10568.06 |
| Max. trade % drawdown | -9.07% | -8.70% | -9.07% |
| Max. system drawdown | -12997.89 | -15692.7 | -13423.66 |
| Max. system % drawdown | -4.99% | -5.70% | -5.92% |
| Recovery Factor | 187.3 | 79.2 | 88.77 |
| CAR/MaxDD | 15.77 | 10.44 | 9.85 |
| RAR/MaxDD | 97.1 | 118.18 | 132.94 |
| Profit Factor | 3.1 | 2.94 | 3.29 |
| Payoff Ratio | 2.52 | 2.63 | 2.43 |
| Standard Error | 236168.69 | 111952.03 | 128401.47 |
| Risk-Reward Ratio | 1.97 | 2.15 | 1.75 |
| Ulcer Index | 0.8 | 0.9 | 1.32 |
| Ulcer Performance Index | 91.49 | 59.82 | 40.06 |
| Sharpe Ratio of trades | 6.88 | 6.58 | 7.32 |
| K-Ratio | 0.0087 | 0.0095 | 0.0077 |
This entry was posted
on Четверг, 2 августа, 2012 at 09:56 and is filed under QUIK и Amibroker, торговые роботы (МТС), Фондовый рынок.
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