Робот Вова продолжает обучение.
Он уже превзошел своего предшественника и чувствует себя уверенно.
Для любознательных, как всегда — картинка и таблица.
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crossT3_2015 — Backtest Report
| All trades | Long trades | Short trades | |
|---|---|---|---|
| Initial capital | 100000.00 | 100000.00 | 100000.00 |
| Ending capital | 3413482.31 | 1834878.19 | 1678604.13 |
| Net Profit | 3313482.31 | 1734878.19 | 1578604.13 |
| Net Profit % | 3313.48 % | 1734.88 % | 1578.60 % |
| Exposure % | 10.40 % | 4.66 % | 5.74 % |
| Net Risk Adjusted Return % | 31861.20 % | 37258.10 % | 27485.71 % |
| Annual Return % | 59.37 % | 46.83 % | 45.11 % |
| Risk Adjusted Return % | 570.83 % | 1005.65 % | 785.46 % |
| Total transaction costs | 173393.78 | 87119.43 | 86274.34 |
|
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| All trades | 3469 | 1734 (49.99 %) | 1735 (50.01 %) |
| Avg. Profit/Loss | 955.17 | 1000.51 | 909.86 |
| Avg. Profit/Loss % | 0.96 % | 1.00 % | 0.91 % |
| Avg. Bars Held | 55.01 | 52.86 | 57.16 |
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| Winners | 2010 (57.94 %) | 980 (28.25 %) | 1030 (29.69 %) |
| Total Profit | 4247416.29 | 2183456.36 | 2063959.94 |
| Avg. Profit | 2113.14 | 2228.02 | 2003.84 |
| Avg. Profit % | 2.11 % | 2.23 % | 2.00 % |
| Avg. Bars Held | 67.20 | 67.93 | 66.50 |
| Max. Consecutive | 61 | 30 | 65 |
| Largest win | 78280.22 | 78280.22 | 37486.42 |
| # bars in largest win | 303 | 303 | 162 |
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| Losers | 1459 (42.06 %) | 754 (21.74 %) | 705 (20.32 %) |
| Total Loss | -933933.98 | -448578.17 | -485355.81 |
| Avg. Loss | -640.12 | -594.93 | -688.45 |
| Avg. Loss % | -0.64 % | -0.60 % | -0.69 % |
| Avg. Bars Held | 38.21 | 33.27 | 43.50 |
| Max. Consecutive | 17 | 8 | 10 |
| Largest loss | -2791.21 | -2740.32 | -2791.21 |
| # bars in largest loss | 23 | 34 | 23 |
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| Max. trade drawdown | -20985.48 | -20985.48 | -11598.26 |
| Max. trade % drawdown | -13.51 % | -13.51 % | -10.32 % |
| Max. system drawdown | -22543.73 | -23476.77 | -11598.26 |
| Max. system % drawdown | -10.11 % | -6.50 % | -5.26 % |
| Recovery Factor | 146.98 | 73.90 | 136.11 |
| CAR/MaxDD | 5.87 | 7.21 | 8.58 |
| RAR/MaxDD | 56.45 | 154.83 | 149.44 |
| Profit Factor | 4.55 | 4.87 | 4.25 |
| Payoff Ratio | 3.30 | 3.74 | 2.91 |
| Standard Error | 354438.44 | 193104.57 | 163001.06 |
| Risk-Reward Ratio | 1.05 | 1.03 | 1.05 |
| Ulcer Index | 0.67 | 0.71 | 0.58 |
| Ulcer Performance Index | 80.31 | 58.50 | 69.02 |
| Sharpe Ratio of trades | 5.96 | 5.66 | 6.51 |
| K-Ratio | 0.0053 | 0.0052 | 0.0053 |
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on Суббота, 14 февраля, 2015 at 21:01 and is filed under Amibroker, торговые роботы (МТС).
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