| |
All trades |
Long trades |
Short trades |
Buy&Hold (NSENIFTY) |
| Initial capital |
200000.00 |
200000.00 |
200000.00 |
200000.00 |
| Ending capital |
1743095.50 |
1463352.00 |
479743.50 |
905545.20 |
| Net Profit |
1543095.50 |
1263352.00 |
279743.50 |
705545.20 |
| Net Profit % |
771.55% |
631.68% |
139.87% |
352.77% |
| Exposure
% |
6.53% |
5.30% |
1.23% |
100.00% |
| Net Risk Adjusted Return
% |
11811.00% |
11919.03% |
11346.52% |
352.77% |
| Annual Return % |
18.42% |
16.81% |
7.07% |
12.51% |
| Risk Adjusted Return
% |
281.93% |
317.19% |
573.50% |
12.51% |
| Total transaction costs |
25600.00 |
12800.00 |
12800.00 |
200.00 |
|
| All trades |
128 |
64 (50.00 %) |
64 (50.00 %) |
1 |
| Avg.
Profit/Loss |
12055.43 |
19739.88 |
4370.99 |
705445.19 |
| Avg.
Profit/Loss % |
21.33% |
36.12% |
6.55% |
352.72% |
| Avg. Bars Held |
23.43 |
31.39 |
15.47 |
3115.00 |
|
| Winners |
47 (36.72 %) |
25 (19.53 %) |
22 (17.19 %) |
1 (100.00 %) |
| Total Profit |
2550183.50 |
1827872.50 |
722311.00 |
705445.19 |
| Avg. Profit |
54259.22 |
73114.90 |
32832.32 |
705445.19 |
| Avg.
Profit % |
88.03% |
123.39% |
47.85% |
352.72% |
| Avg. Bars Held |
50.38 |
67.44 |
31.00 |
3115.00 |
| Max. Consecutive |
5 |
4 |
3 |
1 |
| Largest win |
263702.50 |
263702.50 |
253636.00 |
705445.19 |
| # bars in
largest win |
153 |
153 |
38 |
3115 |
|
| Losers |
81 (63.28 %) |
39 (30.47 %) |
42 (32.81 %) |
0 (0.00 %) |
| Total Loss |
-1007088.00 |
-564520.50 |
-442567.50 |
0.00 |
| Avg. Loss |
-12433.19 |
-14474.88 |
-10537.32 |
N/A |
| Avg. Loss
% |
-17.37% |
-19.83% |
-15.09% |
N/A |
| Avg. Bars Held |
7.79 |
8.28 |
7.33 |
N/A |
| Max. Consecutive |
9 |
10 |
5 |
0 |
| Largest loss |
-71382.50 |
-71382.50 |
-40257.50 |
0.00 |
| # bars in largest
loss |
6 |
6 |
12 |
0 |
|
| Max.
trade drawdown |
-93247.50 |
-72960.00 |
-93247.50 |
-393635.78 |
| Max.
trade % drawdown |
-70.97 |
-66.55 |
-70.97 |
-59.87 |
| Max.
system drawdown |
-224415.00 |
-181980.00 |
-193177.50 |
-393635.78 |
| Max.
system % drawdown |
-17.90% |
-17.64% |
-55.33% |
-59.87% |
| Recovery Factor |
6.88 |
6.94 |
1.45 |
1.79 |
| CAR/MaxDD |
1.03 |
0.95 |
0.13 |
0.21 |
| RAR/MaxDD |
15.75 |
17.98 |
10.37 |
0.21 |
| Profit Factor |
2.53 |
3.24 |
1.63 |
N/A |
| Payoff Ratio |
4.36 |
5.05 |
3.12 |
N/A |
| Standard
Error |
138083.66 |
100238.73 |
84070.24 |
75993.48 |
| Risk-Reward
Ratio |
0.89 |
0.95 |
0.33 |
0.70 |
| Ulcer
Index |
5.49 |
6.61 |
20.08 |
17.52 |
| Ulcer
Performance Index |
2.37 |
1.73 |
0.08 |
0.41 |
| Sharpe
Ratio of trades |
0.76 |
0.92 |
0.42 |
N/A |
| K-Ratio |
0.06 |
0.06 |
0.02 |
0.05 |