| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 3212621.93 | 1713690.60 | 1598931.33 |
| Net Profit | 3112621.93 | 1613690.60 | 1498931.33 |
| Net Profit % | 3112.62 % | 1613.69 % | 1498.93 % |
| Exposure % | 8.63 % | 4.13 % | 4.51 % |
| Net Risk Adjusted Return % | 36050.15 % | 39114.94 % | 33245.79 % |
| Annual Return % | 68.11 % | 53.02 % | 51.44 % |
| Risk Adjusted Return % | 788.86 % | 1285.07 % | 1140.83 % |
| Total transaction costs | 437228.11 | 219212.58 | 218015.53 |
|
|
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| All trades | 6249 | 3124 (49.99 %) | 3125 (50.01 %) |
| Avg. Profit/Loss | 498.10 | 516.55 | 479.66 |
| Avg. Profit/Loss % | 0.50 % | 0.52 % | 0.48 % |
| Avg. Bars Held | 27.60 | 26.98 | 28.21 |
|
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| Winners | 3475 (55.61 %) | 1728 (27.65 %) | 1747 (27.96 %) |
| Total Profit | 4586280.81 | 2376226.82 | 2210053.99 |
| Avg. Profit | 1319.79 | 1375.13 | 1265.06 |
| Avg. Profit % | 1.32 % | 1.38 % | 1.27 % |
| Avg. Bars Held | 32.59 | 31.40 | 33.78 |
| Max. Consecutive | 61 | 70 | 30 |
| Largest win | 59895.82 | 59895.82 | 26835.79 |
| # bars in largest win | 9 | 9 | 20 |
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|
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| Losers | 2774 (44.39 %) | 1396 (22.34 %) | 1378 (22.05 %) |
| Total Loss | -1473658.88 | -762536.22 | -711122.67 |
| Avg. Loss | -531.24 | -546.23 | -516.05 |
| Avg. Loss % | -0.53 % | -0.55 % | -0.52 % |
| Avg. Bars Held | 21.34 | 21.52 | 21.15 |
| Max. Consecutive | 11 | 11 | 10 |
| Largest loss | -3966.93 | -3685.38 | -3966.93 |
| # bars in largest loss | 27 | 25 | 27 |
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| Max. trade drawdown | -11720.42 | -10682.69 | -11720.42 |
| Max. trade % drawdown | -10.51 % | -9.72 % | -10.51 % |
| Max. system drawdown | -11720.42 | -12228.53 | -11720.42 |
| Max. system % drawdown | -5.98 % | -5.45 % | -6.87 % |
| Recovery Factor | 265.57 | 131.96 | 127.89 |
| CAR/MaxDD | 11.40 | 9.73 | 7.48 |
| RAR/MaxDD | 132.02 | 235.73 | 165.95 |
| Profit Factor | 3.11 | 3.12 | 3.11 |
| Payoff Ratio | 2.48 | 2.52 | 2.45 |
| Standard Error | 368039.45 | 197550.63 | 172099.89 |
| Risk-Reward Ratio | 0.93 | 0.94 | 0.91 |
| Ulcer Index | 0.45 | 0.50 | 0.56 |
| Ulcer Performance Index | 138.33 | 94.69 | 82.87 |
| Sharpe Ratio of trades | 6.91 | 6.72 | 7.21 |
| K-Ratio | 0.0044 | 0.0044 | 0.0043 |
This entry was posted
on Пятница, 12 сентября, 2014 at 19:49 and is filed under торговые роботы (МТС).
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