| All trades | Long trades | Short trades | |
| Initial capital | 100000 | 100000 | 100000 |
| Net Profit % | 2593.82% | 1326.49% | 1267.34% |
| Exposure % | 15.60% | 8.53% | 7.07% |
| Net Risk Adjusted Return % | 16629.07% | 15553.71% | 17926.32% |
| Annual Return % | 79.19% | 60.11% | 58.91% |
| Risk Adjusted Return % | 507.70% | 704.82% | 833.33% |
| All trades | 3724 | 1862 (50.00 %) | 1862 (50.00 %) |
| Avg. Profit/Loss % | 0.70% | 0.71% | 0.68% |
| Avg. Bars Held | 37.26 | 40.07 | 34.44 |
| Winners | 2098 (56.34 %) | 1006 (27.01 %) | 1092 (29.32 %) |
| Avg. Profit % | 1.77% | 1.93% | 1.63% |
| Max. Consecutive | 32 | 21 | 26 |
| # bars in largest win | 87 | 2 | 87 |
| Losers | 1626 (43.66 %) | 856 (22.99 %) | 770 (20.68 %) |
| Avg. Loss % | -0.69% | -0.72% | -0.67% |
| Avg. Bars Held | 26.83 | 28 | 25.53 |
| 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% | -5.73% |
| Recovery Factor | 202.97 | 112.64 | 94.32 |
| CAR/MaxDD | 15.85 | 10.54 | 10.29 |
| RAR/MaxDD | 101.64 | 123.64 | 145.48 |
| Profit Factor | 3.3 | 3.17 | 3.45 |
| Payoff Ratio | 2.56 | 2.69 | 2.43 |
| Risk-Reward Ratio | 1.96 | 2.13 | 1.76 |
| Ulcer Index | 0.72 | 0.83 | 1.1 |
| Ulcer Performance Index | 103.13 | 65.7 | 48.67 |
| Sharpe Ratio of trades | 7.19 | 6.85 | 7.6 |
| K-Ratio | 0.0087 | 0.0094 | 0.0078 |
This entry was posted
on Пятница, 31 августа, 2012 at 23:52 and is filed under QUIK и Amibroker, торговые роботы (МТС), Фондовый рынок.
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