| |
All trades |
Long trades |
Short trades |
Buy&Hold (NSENIFTY) |
| Initial capital |
200000.00 |
200000.00 |
200000.00 |
200000.00 |
| Ending capital |
1275626.60 |
963617.05 |
512009.55 |
359821.75 |
| Net Profit |
1075626.60 |
763617.05 |
312009.55 |
159821.75 |
| Net Profit % |
537.81% |
381.81% |
156.00% |
79.91% |
| Exposure
% |
4.46% |
2.81% |
1.65% |
100.00% |
| Net Risk Adjusted Return
% |
12062.85% |
13595.11% |
9454.84% |
79.91% |
| Annual Return % |
22.48% |
18.78% |
10.84% |
6.64% |
| Risk Adjusted Return
% |
504.24% |
668.64% |
656.73% |
6.64% |
| Total transaction costs |
24300.00 |
12100.00 |
12200.00 |
100.00 |
|
| All trades |
243 |
121 (49.79 %) |
122 (50.21 %) |
1 |
| Avg.
Profit/Loss |
4426.45 |
6310.88 |
2557.46 |
159771.74 |
| Avg.
Profit/Loss % |
6.08% |
9.33% |
2.85% |
79.89% |
| Avg. Bars Held |
8.93 |
9.60 |
8.26 |
2254.00 |
|
| Winners |
101 (41.56 %) |
53 (21.81 %) |
48 (19.75 %) |
1 (100.00 %) |
| Total Profit |
3114370.00 |
1718447.50 |
1395922.50 |
159771.74 |
| Avg. Profit |
30835.35 |
32423.54 |
29081.72 |
159771.74 |
| Avg.
Profit % |
39.30% |
43.10% |
35.10% |
79.89% |
| Avg. Bars Held |
15.16 |
16.58 |
13.58 |
2254.00 |
| Max. Consecutive |
4 |
5 |
4 |
1 |
| Largest win |
210057.50 |
210057.50 |
183402.50 |
159771.74 |
| # bars in
largest win |
53 |
53 |
24 |
2254 |
|
| Losers |
142 (58.44 %) |
68 (27.98 %) |
74 (30.45 %) |
0 (0.00 %) |
| Total Loss |
-2038743.40 |
-954830.45 |
-1083912.95 |
0.00 |
| Avg. Loss |
-14357.35 |
-14041.62 |
-14647.47 |
N/A |
| Avg. Loss
% |
-17.55% |
-16.99% |
-18.07% |
N/A |
| Avg. Bars Held |
4.49 |
4.15 |
4.81 |
N/A |
| Max. Consecutive |
6 |
6 |
7 |
0 |
| Largest loss |
-27242.50 |
-26962.00 |
-27242.50 |
0.00 |
| # bars in largest
loss |
5 |
5 |
5 |
0 |
|
| Max.
trade drawdown |
-79940.70 |
-79940.70 |
-72607.50 |
-187835.01 |
| Max.
trade % drawdown |
-60.73 |
-58.17 |
-60.73 |
-59.87 |
| Max.
system drawdown |
-193748.55 |
-140392.10 |
-254236.15 |
-187835.01 |
| Max.
system % drawdown |
-28.78% |
-28.45% |
-49.01% |
-59.87% |
| Recovery Factor |
5.55 |
5.44 |
1.23 |
0.85 |
| CAR/MaxDD |
0.78 |
0.66 |
0.22 |
0.11 |
| RAR/MaxDD |
17.52 |
23.50 |
13.40 |
0.11 |
| Profit Factor |
1.53 |
1.80 |
1.29 |
N/A |
| Payoff Ratio |
2.15 |
2.31 |
1.99 |
N/A |
| Standard
Error |
113377.48 |
56102.66 |
97281.04 |
40352.75 |
| Risk-Reward
Ratio |
0.90 |
1.49 |
0.18 |
0.56 |
| Ulcer
Index |
8.58 |
8.91 |
22.13 |
19.52 |
| Ulcer
Performance Index |
1.99 |
1.50 |
0.25 |
0.06 |
| Sharpe
Ratio of trades |
0.67 |
0.91 |
0.36 |
N/A |
| K-Ratio |
0.05 |
0.08 |
0.01 |
0.03 |