| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 3273398.59 | 1744209.94 | 1629188.66 |
| Net Profit | 3173398.59 | 1644209.94 | 1529188.66 |
| Net Profit % | 3173.40 % | 1644.21 % | 1529.19 % |
| Exposure % | 8.57 % | 4.12 % | 4.45 % |
| Net Risk Adjusted Return % | 37046.60 % | 39902.92 % | 34399.04 % |
| Annual Return % | 68.19 % | 53.13 % | 51.58 % |
| Risk Adjusted Return % | 796.04 % | 1289.30 % | 1160.22 % |
| Total transaction costs | 447514.19 | 224333.04 | 223181.15 |
|
|
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| All trades | 6396 | 3197 (49.98 %) | 3199 (50.02 %) |
| Avg. Profit/Loss | 496.15 | 514.30 | 478.02 |
| Avg. Profit/Loss % | 0.50 % | 0.51 % | 0.48 % |
| Avg. Bars Held | 27.10 | 26.63 | 27.57 |
|
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| Winners | 3592 (56.16 %) | 1781 (27.85 %) | 1811 (28.31 %) |
| Total Profit | 4647766.20 | 2413085.63 | 2234680.57 |
| Avg. Profit | 1293.92 | 1354.90 | 1233.95 |
| Avg. Profit % | 1.29 % | 1.36 % | 1.23 % |
| Avg. Bars Held | 31.69 | 30.85 | 32.51 |
| Max. Consecutive | 32 | 48 | 30 |
| Largest win | 59895.82 | 59895.82 | 26835.79 |
| # bars in largest win | 9 | 9 | 20 |
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| Losers | 2804 (43.84 %) | 1416 (22.14 %) | 1388 (21.70 %) |
| Total Loss | -1474367.61 | -768875.69 | -705491.92 |
| Avg. Loss | -525.81 | -542.99 | -508.28 |
| Avg. Loss % | -0.53 % | -0.54 % | -0.51 % |
| Avg. Bars Held | 21.22 | 21.32 | 21.13 |
| 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 | -12257.25 | -13254.74 | -11720.42 |
| Max. system % drawdown | -5.98 % | -5.44 % | -6.87 % |
| Recovery Factor | 258.90 | 124.05 | 130.47 |
| CAR/MaxDD | 11.40 | 9.76 | 7.50 |
| RAR/MaxDD | 133.05 | 236.85 | 168.77 |
| Profit Factor | 3.15 | 3.14 | 3.17 |
| Payoff Ratio | 2.46 | 2.50 | 2.43 |
| Standard Error | 371428.93 | 199269.90 | 173742.58 |
| Risk-Reward Ratio | 0.94 | 0.94 | 0.92 |
| Ulcer Index | 0.44 | 0.49 | 0.55 |
| Ulcer Performance Index | 141.71 | 97.78 | 84.48 |
| Sharpe Ratio of trades | 7.05 | 6.84 | 7.37 |
| K-Ratio | 0.0044 | 0.0045 | 0.0044 |
This entry was posted
on Вторник, 23 сентября, 2014 at 19:10 and is filed under торговые роботы (МТС).
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