11
Авг
РоботВася.Хроники 2012
Решил выложить некоторые наглядные результаты робота в 2012 году.
Таблица результатов за 2012 г по н.в.
| All trades | Long trades | Short trades | |
| Initial capital | 100000 | 100000 | 100000 |
| Net Profit % | 307.14% | 162.80% | 144.33% |
| Exposure % | 61.46% | 36.13% | 25.33% |
| Net Risk Adjusted Return % | 499.75% | 450.67% | 569.74% |
| Annual Return % | 885.27% | 382.81% | 328.75% |
| Risk Adjusted Return % | 1440.42% | 1059.67% | 1297.70% |
| All trades | 557 | 279 (50.1%) | 278 (49.9%) |
| Avg. Profit/Loss % | 0.55% | 0.58% | 0.52% |
| Avg. Bars Held | 30.01 | 33.79 | 26.22 |
| Winners | 395 (70.9%) | 194 (34.8%) | 201 (36.1%) |
| Avg. Profit % | 0.97% | 1.03% | 0.91% |
| Avg. Bars Held | 32.32 | 36.65 | 28.13 |
| Max. Consecutive | 32 | 21 | 27 |
| # bars in largest win | 30 | 246 | 30 |
| Losers | 162 (29.08%) | 85 (15.26%) | 77 (13.82%) |
| Avg. Loss % | -0.46% | -0.43% | -0.49% |
| Avg. Bars Held | 24.4 | 27.27 | 21.23 |
| Max. Consecutive | 5 | 4 | 7 |
| # bars in largest loss | 19 | 14 | 19 |
| Max. trade % drawdown | -5.37% | -2.47% | -5.37% |
| Max. system % drawdown | -6.15% | -3.41% | -6.83% |
| Recovery Factor | 42.29 | 37.64 | 20.02 |
| CAR/MaxDD | 143.92 | 112.21 | 48.1 |
| RAR/MaxDD | 234.17 | 310.62 | 189.89 |
| Profit Factor | 5.13 | 5.46 | 4.81 |
| Payoff Ratio | 2.1 | 2.39 | 1.84 |
| Risk-Reward Ratio | 14.15 | 14.49 | 13.42 |
| Ulcer Index | 1.27 | 0.87 | 2.51 |
| Ulcer Performance Index | 692.47 | 433.38 | 128.95 |
| Sharpe Ratio of trades | 14.45 | 14.33 | 14.9 |
| K-Ratio | 0.0197 | 0.0202 | 0.0187 |
Так как робот совершает сделки на постоянную сумму депозита в 100 тысяч,
то для интересующихся привожу результат, который получается при реинвестировании
полученной прибыли в последующие сделки
| All trades | Long trades | Short trades | |
| Initial capital | 100000 | 100000 | 100000 |
| Net Profit % | 1959.58% | 1046.47% | 913.10% |
| Exposure % | 99.89% | 56.53% | 43.36% |
| Net Risk Adjusted Return % | 1961.67% | 1851.03% | 2105.92% |
| Annual Return % | 13727.82% | 5223.46% | 4251.89% |
| Risk Adjusted Return % | 13742.47% | 9239.41% | 9806.27% |
| All trades | 557 | 279 (50.1%) | 278 (49.9%) |
| Avg. Profit/Loss % | 0.55% | 0.58% | 0.52% |
| Avg. Bars Held | 30.01 | 33.79 | 26.22 |
| Winners | 395 (70.9%) | 194 (34.8%) | 201 (36.1%) |
| Avg. Profit % | 0.97% | 1.03% | 0.91% |
| Avg. Bars Held | 32.32 | 36.65 | 28.13 |
| Max. Consecutive | 32 | 21 | 27 |
| # bars in largest win | 62 | 246 | 62 |
| Losers | 162 (29.08%) | 85 (15.26%) | 77 (13.82%) |
| Avg. Loss % | -0.46% | -0.43% | -0.49% |
| Avg. Bars Held | 24.4 | 27.27 | 21.23 |
| Max. Consecutive | 5 | 4 | 7 |
| # bars in largest loss | 19 | 15 | 19 |
| Max. trade % drawdown | -5.37% | -2.47% | -5.37% |
| Max. system % drawdown | -7.04% | -4.40% | -11.53% |
| Recovery Factor | 21.44 | 58.11 | 9.93 |
| CAR/MaxDD | 1950.94 | 1187.31 | 368.83 |
| RAR/MaxDD | 1953.02 | 2100.15 | 850.64 |
| Profit Factor | 9.27 | 11.67 | 7.58 |
| Payoff Ratio | 3.8 | 5.11 | 2.9 |
| Risk-Reward Ratio | 8.05 | 7.78 | 8.32 |
| Ulcer Index | 1.64 | 1.16 | 3.2 |
| Ulcer Performance Index | 8377.22 | 4485.04 | 1327.32 |
| Sharpe Ratio of trades | 14.45 | 14.33 | 14.9 |
| K-Ratio | 0.0112 | 0.0108 | 0.0116 |
This entry was posted
on Суббота, 11 августа, 2012 at 17:11 and is filed under QUIK и Amibroker, торговые роботы (МТС), Фондовый рынок.
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