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| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 3387446.67 | 1798731.06 | 1688715.61 |
| Net Profit | 3287446.67 | 1698731.06 | 1588715.61 |
| Net Profit % | 3287.45 % | 1698.73 % | 1588.72 % |
| Exposure % | 8.42 % | 4.05 % | 4.37 % |
| Net Risk Adjusted Return % | 39042.42 % | 41893.39 % | 36394.18 % |
| Annual Return % | 68.19 % | 53.19 % | 51.77 % |
| Risk Adjusted Return % | 809.84 % | 1311.71 % | 1185.90 % |
| Total transaction costs | 457098.71 | 229182.01 | 227916.70 |
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| All trades | 6533 | 3266 (49.99 %) | 3267 (50.01 %) |
| Avg. Profit/Loss | 503.21 | 520.13 | 486.29 |
| Avg. Profit/Loss % | 0.50 % | 0.52 % | 0.49 % |
| Avg. Bars Held | 26.84 | 26.37 | 27.31 |
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| Winners | 3689 (56.47 %) | 1829 (28.00 %) | 1860 (28.47 %) |
| Total Profit | 4767700.57 | 2476198.91 | 2291501.66 |
| Avg. Profit | 1292.41 | 1353.85 | 1231.99 |
| Avg. Profit % | 1.29 % | 1.35 % | 1.23 % |
| Avg. Bars Held | 31.30 | 30.53 | 32.05 |
| Max. Consecutive | 33 | 48 | 30 |
| Largest win | 59895.82 | 59895.82 | 26835.79 |
| # bars in largest win | 9 | 9 | 20 |
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| Losers | 2844 (43.53 %) | 1437 (22.00 %) | 1407 (21.54 %) |
| Total Loss | -1480253.90 | -777467.85 | -702786.05 |
| Avg. Loss | -520.48 | -541.04 | -499.49 |
| Avg. Loss % | -0.52 % | -0.54 % | -0.50 % |
| Avg. Bars Held | 21.06 | 21.07 | 21.05 |
| Max. Consecutive | 13 | 10 | 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 | -10682.69 | -11720.42 |
| Max. system % drawdown | -5.98 % | -5.39 % | -6.87 % |
| Recovery Factor | 280.49 | 159.02 | 135.55 |
| CAR/MaxDD | 11.40 | 9.87 | 7.53 |
| RAR/MaxDD | 135.36 | 243.48 | 172.51 |
| Profit Factor | 3.22 | 3.18 | 3.26 |
| Payoff Ratio | 2.48 | 2.50 | 2.47 |
| Standard Error | 375231.19 | 201046.08 | 175791.82 |
| Risk-Reward Ratio | 0.94 | 0.95 | 0.93 |
| Ulcer Index | 0.43 | 0.48 | 0.53 |
| Ulcer Performance Index | 145.17 | 100.35 | 87.86 |
| Sharpe Ratio of trades | 7.26 | 6.98 | 7.68 |
| K-Ratio | 0.0045 | 0.0045 | 0.0044 |
This entry was posted
on Пятница, 17 октября, 2014 at 21:24 and is filed under торговые роботы (МТС).
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