| All trades | Long trades | Short trades | |
| Net Profit % | 2569.76% | 1313.85% | 1255.92% |
| Exposure % | 15.58% | 8.54% | 7.04% |
| Net Risk Adjusted Return % | 16497.48% | 15392.65% | 17836.80% |
| Annual Return % | 79.62% | 60.37% | 59.18% |
| Risk Adjusted Return % | 511.15% | 707.30% | 840.49% |
| All trades | 3696 | 1848 (50.0%) | 1848 (50.0%) |
| Avg. Profit/Loss | 695.28 | 710.96 | 679.61 |
| Avg. Profit/Loss % | 0.70% | 0.71% | 0.68% |
| Avg. Bars Held | 37.25 | 40.17 | 34.32 |
| Winners | 2070 (56.01%) | 988 (26.73%) | 1082 (29.27%) |
| Avg. Profit % | 1.79% | 1.95% | 1.64% |
| Avg. Bars Held | 45.43 | 50.68 | 40.63 |
| Max. Consecutive | 32 | 21 | 26 |
| # bars in largest win | 87 | 2 | 87 |
| Losers | 1626 (43.99%) | 860 (23.27%) | 766 (20.73%) |
| Avg. Loss % | -0.70% | -0.72% | -0.68% |
| Avg. Bars Held | 26.83 | 28.1 | 25.4 |
| Max. Consecutive | 10 | 7 | 12 |
| # bars in largest loss | 64 | 64 | 28 |
| Max. trade % drawdown | -9.07% | -8.70% | -9.07% |
| Max. system % drawdown | -4.99% | -5.70% | -5.69% |
| Recovery Factor | 201.09 | 104.59 | 93.47 |
| CAR/MaxDD | 15.94 | 10.59 | 10.4 |
| RAR/MaxDD | 102.34 | 124.07 | 147.72 |
| Profit Factor | 3.26 | 3.13 | 3.42 |
| Payoff Ratio | 2.56 | 2.73 | 2.42 |
| Risk-Reward Ratio | 1.95 | 2.12 | 1.75 |
| Ulcer Index | 0.71 | 0.83 | 1.1 |
| Ulcer Performance Index | 103.96 | 65.91 | 48.73 |
| Sharpe Ratio of trades | 7.15 | 6.8 | 7.56 |
| K-Ratio | 0.0086 | 0.0094 | 0.0077 |
This entry was posted
on Суббота, 18 августа, 2012 at 10:04 and is filed under QUIK и Amibroker, торговые роботы (МТС), Фондовый рынок.
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