| All trades | Long trades | Short trades | |
| Initial capital | 100000 | 100000 | 100000 |
| Ending capital | 2553125.36 | 1352153.23 | 1300972.13 |
| Net Profit | 2453125.36 | 1252153.23 | 1200972.13 |
| Net Profit % | 2453.13% | 1252.15% | 1200.97% |
| Exposure % | 16.14% | 8.80% | 7.34% |
| Net Risk Adjusted Return % | 15198.09% | 14227.30% | 16362.14% |
| Annual Return % | 78.96% | 59.65% | 58.54% |
| Risk Adjusted Return % | 489.17% | 677.73% | 797.62% |
| All trades | 3561 | 1781 (50.01 %) | 1780 (49.99 %) |
| Avg. Profit/Loss | 688.89 | 703.06 | 674.7 |
| Avg. Profit/Loss % | 0.69% | 0.70% | 0.67% |
| Avg. Bars Held | 38.3 | 41.37 | 35.22 |
| Winners | 1964 (55.15 %) | 938 (26.34 %) | 1026 (28.81 %) |
| Total Profit | 3601435.69 | 1887975.83 | 1713459.86 |
| Avg. Profit | 1833.72 | 2012.77 | 1670.04 |
| Avg. Profit % | 1.83% | 2.01% | 1.67% |
| Avg. Bars Held | 47.12 | 53.06 | 41.7 |
| Max. Consecutive | 28 | 21 | 30 |
| Largest win | 26604.04 | 26236.58 | 26604.04 |
| # bars in largest win | 87 | 2 | 87 |
| Losers | 1597 (44.85 %) | 843 (23.67 %) | 754 (21.17 %) |
| Total Loss | -1148310.33 | -635822.6 | -512487.73 |
| Avg. Loss | -719.04 | -754.24 | -679.69 |
| Avg. Loss % | -0.72% | -0.75% | -0.68% |
| Avg. Bars Held | 27.44 | 28.36 | 26.41 |
| 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% | -5.89% |
| Recovery Factor | 188.73 | 79.79 | 89.47 |
| CAR/MaxDD | 15.81 | 10.46 | 9.94 |
| RAR/MaxDD | 97.93 | 118.89 | 135.47 |
| Profit Factor | 3.14 | 2.97 | 3.34 |
| Payoff Ratio | 2.55 | 2.67 | 2.46 |
| Standard Error | 237900.36 | 112868.05 | 129190.33 |
| Risk-Reward Ratio | 1.97 | 2.14 | 1.75 |
| Ulcer Index | 0.79 | 0.9 | 1.29 |
| Ulcer Performance Index | 92.63 | 60.4 | 41.06 |
| Sharpe Ratio of trades | 6.94 | 6.54 | 7.41 |
| K-Ratio | 0.0087 | 0.0094 | 0.0077 |
This entry was posted
on Четверг, 2 августа, 2012 at 19:21 and is filed under QUIK и Amibroker, торговые роботы (МТС), Фондовый рынок.
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