| All trades | Long trades | Short trades | |
| Initial capital | 2000 | 2000 | 2000 |
| Ending capital | 9719320.06 | 5595923.89 | 4125396.17 |
| Net Profit % | 485866.00% | 279696.19% | 206169.81% |
| Exposure % | 94.69% | 46.50% | 48.19% |
| Net Risk Adjusted Return % | 513125.12% | 601516.54% | 427834.73% |
| Annual Return % | 328.00% | 289.38% | 269.57% |
| Risk Adjusted Return % | 346.40% | 622.35% | 559.41% |
| All trades | 3201 | 1614 (50.42 %) | 1587 (49.58 %) |
| Avg. Profit/Loss % | 0.29% | 0.30% | 0.28% |
| Avg. Bars Held | 44.06 | 42.79 | 45.35 |
| Winners | 1184 (36.99 %) | 592 (18.49 %) | 592 (18.49 %) |
| Avg. Profit % | 2.06% | 2.14% | 1.97% |
| Losers | 2017 (63.01 %) | 1022 (31.93 %) | 995 (31.08 %) |
| Avg. Loss % | -0.74% | -0.76% | -0.73% |
| Max. trade % drawdown | -22.03% | -14.30% | -22.03% |
| Recovery Factor | 8.01 | 7.12 | 2.77 |
| CAR/MaxDD | 10.31 | 4 | 2.95 |
| RAR/MaxDD | 10.88 | 8.61 | 6.11 |
| Profit Factor | 1.37 | 1.43 | 1.31 |
| Payoff Ratio | 2.33 | 2.46 | 2.21 |
| Risk-Reward Ratio | 1.17 | 1.42 | 0.85 |
| Ulcer Index | 7.11 | 9.93 | 24.31 |
| Ulcer Performance Index | 45.37 | 28.6 | 10.87 |
| Sharpe Ratio of trades | 2.72 | 2.87 | 2.61 |
| K-Ratio | 0.0052 | 0.0064 | 0.0038 |
В данном варианте применен более сложный адаптивный фильтр на основе LinerReg и MA.
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on Воскресенье, 11 ноября, 2012 at 15:29 and is filed under Amibroker, торговые роботы (МТС).
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