| |
All trades |
Long trades |
Short trades |
| Initial capital |
200000.00 |
200000.00 |
200000.00 |
| Ending capital |
538807.42 |
212684.50 |
526122.92 |
| Net Profit |
338807.42 |
12684.50 |
326122.92 |
| Net Profit % |
169.40% |
6.34% |
163.06% |
| Exposure
% |
1.19% |
0.21% |
0.98% |
| Net Risk Adjusted Return
% |
14249.44% |
3039.90% |
16635.34% |
| Annual Return % |
111.15% |
4.75% |
107.39% |
| Risk Adjusted Return
% |
9349.01% |
2275.06% |
10955.36% |
| Total transaction costs |
26000.00 |
5200.00 |
20800.00 |
|
| All trades |
130 |
26 (20.00 %) |
104 (80.00 %) |
| Avg.
Profit/Loss |
2606.21 |
487.87 |
3135.80 |
| Avg.
Profit/Loss % |
2.22% |
0.08% |
2.75% |
| Avg. Bars Held |
48.95 |
42.65 |
50.53 |
|
| Winners |
63 (48.46 %) |
10 (7.69 %) |
53 (40.77 %) |
| Total Profit |
764443.35 |
121733.50 |
642709.85 |
| Avg. Profit |
12134.02 |
12173.35 |
12126.60 |
| Avg.
Profit % |
9.46% |
7.98% |
9.74% |
| Avg. Bars Held |
65.92 |
67.00 |
65.72 |
| Max. Consecutive |
5 |
2 |
6 |
| Largest win |
47266.00 |
36262.00 |
47266.00 |
| # bars in
largest win |
67 |
67 |
67 |
|
| Losers |
67 (51.54 %) |
16 (12.31 %) |
51 (39.23 %) |
| Total Loss |
-425635.93 |
-109049.00 |
-316586.93 |
| Avg. Loss |
-6352.78 |
-6815.56 |
-6207.59 |
| Avg. Loss
% |
-4.59% |
-4.86% |
-4.51% |
| Avg. Bars Held |
33.00 |
27.44 |
34.75 |
| Max. Consecutive |
8 |
7 |
5 |
| Largest loss |
-14382.12 |
-11966.00 |
-14382.12 |
| # bars in largest
loss |
24 |
6 |
24 |
|
| Max.
trade drawdown |
-25650.37 |
-15397.50 |
-25650.37 |
| Max.
trade % drawdown |
-11.64 |
-8.53 |
-11.64 |
| Max.
system drawdown |
-75157.58 |
-57885.70 |
-60256.73 |
| Max.
system % drawdown |
-16.20% |
-26.49% |
-12.79% |
| Recovery Factor |
4.51 |
0.22 |
5.41 |
| CAR/MaxDD |
6.86 |
0.18 |
8.40 |
| RAR/MaxDD |
577.09 |
85.89 |
856.53 |
| Profit Factor |
1.80 |
1.12 |
2.03 |
| Payoff Ratio |
1.91 |
1.79 |
1.95 |
| Standard
Error |
42017.02 |
15035.62 |
30967.52 |
| Risk-Reward
Ratio |
5.77 |
-0.56 |
8.10 |
| Ulcer
Index |
5.86 |
13.91 |
5.61 |
| Ulcer
Performance Index |
18.04 |
-0.05 |
18.17 |
| Sharpe
Ratio of trades |
5.03 |
0.19 |
5.98 |
| K-Ratio |
0.01 |
-0.00 |
0.02 |