Продолжается тестирование робота в реале.
Пока результаты средние.
Процесс адаптации сходится очень медленно.
Остаются некоторые проблемы.
Картинки выкладываю для желающих изучать работу робота.
| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 2585427.31 | 1402273.65 | 1283153.66 |
| Net Profit | 2485427.31 | 1302273.65 | 1183153.66 |
| Net Profit % | 2485.43 % | 1302.27 % | 1183.15 % |
| Exposure % | 9.68 % | 4.72 % | 4.96 % |
| Net Risk Adjusted Return % | 25674.26 % | 27561.79 % | 23874.63 % |
| Annual Return % | 64.61 % | 49.88 % | 47.85 % |
| Risk Adjusted Return % | 667.38 % | 1055.59 % | 965.58 % |
| Total transaction costs | 0.00 | 0.00 | 0.00 |
|
|
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| All trades | 6576 | 3289 (50.02 %) | 3287 (49.98 %) |
| Avg. Profit/Loss | 377.95 | 395.95 | 359.95 |
| Avg. Profit/Loss % | 0.38 % | 0.40 % | 0.36 % |
| Avg. Bars Held | 25.65 | 25.66 | 25.64 |
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| Winners | 3635 (55.28 %) | 1796 (27.31 %) | 1839 (27.97 %) |
| Total Profit | 4212802.73 | 2181245.02 | 2031557.71 |
| Avg. Profit | 1158.96 | 1214.50 | 1104.71 |
| Avg. Profit % | 1.16 % | 1.21 % | 1.11 % |
| Avg. Bars Held | 29.27 | 29.42 | 29.13 |
| Max. Consecutive | 45 | 26 | 54 |
| Largest win | 59986.80 | 59986.80 | 22877.40 |
| # bars in largest win | 9 | 9 | 96 |
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| Losers | 2941 (44.72 %) | 1493 (22.70 %) | 1448 (22.02 %) |
| Total Loss | -1727375.42 | -878971.37 | -848404.05 |
| Avg. Loss | -587.34 | -588.73 | -585.91 |
| Avg. Loss % | -0.59 % | -0.59 % | -0.59 % |
| Avg. Bars Held | 21.17 | 21.13 | 21.21 |
| Max. Consecutive | 9 | 12 | 11 |
| Largest loss | -6994.09 | -6994.09 | -6941.99 |
| # bars in largest loss | 28 | 28 | 9 |
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| Max. trade drawdown | -13020.00 | -10686.43 | -13020.00 |
| Max. trade % drawdown | -12.80 % | -9.72 % | -12.80 % |
| Max. system drawdown | -17335.82 | -15854.30 | -18195.34 |
| Max. system % drawdown | -6.99 % | -6.47 % | -5.74 % |
| Recovery Factor | 143.37 | 82.14 | 65.03 |
| CAR/MaxDD | 9.25 | 7.70 | 8.33 |
| RAR/MaxDD | 95.52 | 163.03 | 168.07 |
| Profit Factor | 2.44 | 2.48 | 2.39 |
| Payoff Ratio | 1.97 | 2.06 | 1.89 |
| Standard Error | 280324.36 | 152763.83 | 129558.40 |
| Risk-Reward Ratio | 1.03 | 1.04 | 1.00 |
| Ulcer Index | 0.54 | 0.63 | 0.66 |
| Ulcer Performance Index | 109.84 | 70.61 | 64.64 |
| Sharpe Ratio of trades | 5.95 | 5.74 | 6.27 |
| K-Ratio | 0.0048 | 0.0049 | 0.0047 |
This entry was posted
on Пятница, 18 июля, 2014 at 21:39 and is filed under торговые роботы (МТС).
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