| |
All trades |
Long trades |
Short trades |
Buy&Hold (CRUDEOIL-I) |
| Initial capital |
200000.00 |
200000.00 |
200000.00 |
200000.00 |
| Ending capital |
581072.00 |
462632.00 |
318440.00 |
191252.94 |
| Net Profit |
381072.00 |
262632.00 |
118440.00 |
-8747.06 |
| Net Profit % |
190.54% |
131.32% |
59.22% |
-4.37% |
| Exposure
% |
15.55% |
6.68% |
8.87% |
100.00% |
| Net Risk Adjusted Return
% |
1225.65% |
1966.99% |
667.66% |
-4.37% |
| Annual Return % |
111.72% |
80.36% |
38.69% |
-3.10% |
| Risk Adjusted Return
% |
718.64% |
1203.70% |
436.26% |
-3.10% |
| Total transaction costs |
1600.00 |
800.00 |
800.00 |
200.00 |
|
| All trades |
8 |
4 (50.00 %) |
4 (50.00 %) |
1 |
| Avg.
Profit/Loss |
47634.00 |
65658.00 |
29610.00 |
-8847.06 |
| Avg.
Profit/Loss % |
44.84% |
43.82% |
45.85% |
-4.42% |
| Avg. Bars Held |
27.50 |
19.00 |
36.00 |
364.00 |
|
| Winners |
3 (37.50 %) |
1 (12.50 %) |
2 (25.00 %) |
0 (0.00 %) |
| Total Profit |
414300.00 |
286300.00 |
128000.00 |
0.00 |
| Avg. Profit |
138100.00 |
286300.00 |
64000.00 |
N/A |
| Avg.
Profit % |
134.12% |
207.64% |
97.35% |
N/A |
| Avg. Bars Held |
68.67 |
70.00 |
68.00 |
N/A |
| Max. Consecutive |
2 |
1 |
1 |
0 |
| Largest win |
286300.00 |
286300.00 |
64100.00 |
0.00 |
| # bars in
largest win |
70 |
70 |
58 |
0 |
|
| Losers |
5 (62.50 %) |
3 (37.50 %) |
2 (25.00 %) |
1 (100.00 %) |
| Total Loss |
-33228.00 |
-23668.00 |
-9560.00 |
-8847.06 |
| Avg. Loss |
-6645.60 |
-7889.33 |
-4780.00 |
-8847.06 |
| Avg. Loss
% |
-8.73% |
-10.79% |
-5.65% |
-4.42% |
| Avg. Bars Held |
2.80 |
2.00 |
4.00 |
364.00 |
| Max. Consecutive |
3 |
3 |
1 |
1 |
| Largest loss |
-9100.00 |
-9100.00 |
-6060.00 |
-8847.06 |
| # bars in largest
loss |
2 |
2 |
3 |
364 |
|
| Max.
trade drawdown |
-117900.00 |
-117900.00 |
-62300.00 |
-122000.00 |
| Max.
trade % drawdown |
-42.07 |
-42.07 |
-33.42 |
-52.96 |
| Max.
system drawdown |
-117900.00 |
-117900.00 |
-62300.00 |
-122000.00 |
| Max.
system % drawdown |
-26.97% |
-37.00% |
-20.21% |
-52.96% |
| Recovery Factor |
3.23 |
2.23 |
1.90 |
-0.07 |
| CAR/MaxDD |
4.14 |
2.17 |
1.91 |
-0.06 |
| RAR/MaxDD |
26.64 |
32.53 |
21.59 |
-0.06 |
| Profit Factor |
12.47 |
12.10 |
13.39 |
0.00 |
| Payoff Ratio |
20.78 |
36.29 |
13.39 |
N/A |
| Standard
Error |
56592.58 |
61071.81 |
21290.97 |
24258.39 |
| Risk-Reward
Ratio |
3.69 |
1.49 |
5.54 |
-1.51 |
| Ulcer
Index |
10.99 |
8.16 |
9.83 |
25.78 |
| Ulcer
Performance Index |
9.68 |
9.19 |
3.39 |
-0.33 |
| Sharpe
Ratio of trades |
1.77 |
1.68 |
2.31 |
N/A |
| K-Ratio |
0.08 |
0.03 |
0.12 |
-0.03 |