| |
All trades |
Long trades |
Short trades |
Buy&Hold (NSENIFTY) |
| Initial capital |
200000.00 |
200000.00 |
200000.00 |
200000.00 |
| Ending capital |
772617.80 |
517524.45 |
455093.35 |
352254.66 |
| Net Profit |
572617.80 |
317524.45 |
255093.35 |
152254.66 |
| Net Profit % |
286.31% |
158.76% |
127.55% |
76.13% |
| Exposure
% |
1.60% |
0.90% |
0.70% |
100.00% |
| Net Risk Adjusted Return
% |
17897.06% |
17699.38% |
18149.38% |
76.13% |
| Annual Return % |
20.32% |
13.90% |
11.91% |
8.05% |
| Risk Adjusted Return
% |
1270.00% |
1549.18% |
1694.71% |
8.05% |
| Total transaction costs |
19800.00 |
9800.00 |
10000.00 |
200.00 |
|
| All trades |
99 |
49 (49.49 %) |
50 (50.51 %) |
1 |
| Avg.
Profit/Loss |
5784.02 |
6480.09 |
5101.87 |
152154.65 |
| Avg.
Profit/Loss % |
6.19% |
6.87% |
5.51% |
76.08% |
| Avg. Bars Held |
7.88 |
8.20 |
7.56 |
1787.00 |
|
| Winners |
42 (42.42 %) |
21 (21.21 %) |
21 (21.21 %) |
1 (100.00 %) |
| Total Profit |
1533319.20 |
792624.00 |
740695.20 |
152154.65 |
| Avg. Profit |
36507.60 |
37744.00 |
35271.20 |
152154.65 |
| Avg.
Profit % |
37.66% |
39.18% |
36.14% |
76.08% |
| Avg. Bars Held |
10.31 |
11.57 |
9.05 |
1787.00 |
| Max. Consecutive |
4 |
3 |
3 |
1 |
| Largest win |
64441.00 |
61985.50 |
64441.00 |
152154.65 |
| # bars in
largest win |
7 |
7 |
7 |
1787 |
|
| Losers |
57 (57.58 %) |
28 (28.28 %) |
29 (29.29 %) |
0 (0.00 %) |
| Total Loss |
-960701.40 |
-475099.55 |
-485601.85 |
0.00 |
| Avg. Loss |
-16854.41 |
-16967.84 |
-16744.89 |
N/A |
| Avg. Loss
% |
-17.01% |
-17.36% |
-16.67% |
N/A |
| Avg. Bars Held |
6.09 |
5.68 |
6.48 |
N/A |
| Max. Consecutive |
6 |
7 |
4 |
0 |
| Largest loss |
-36140.00 |
-36140.00 |
-33852.50 |
0.00 |
| # bars in largest
loss |
2 |
2 |
2 |
0 |
|
| Max.
trade drawdown |
-58578.00 |
-58578.00 |
-45757.50 |
-77430.14 |
| Max.
trade % drawdown |
-37.62 |
-36.19 |
-37.62 |
-28.02 |
| Max.
system drawdown |
-136847.50 |
-104437.90 |
-130569.20 |
-77430.14 |
| Max.
system % drawdown |
-27.43% |
-44.21% |
-28.51% |
-28.02% |
| Recovery Factor |
4.18 |
3.04 |
1.95 |
1.97 |
| CAR/MaxDD |
0.74 |
0.31 |
0.42 |
0.29 |
| RAR/MaxDD |
46.30 |
35.04 |
59.45 |
0.29 |
| Profit Factor |
1.60 |
1.67 |
1.53 |
N/A |
| Payoff Ratio |
2.17 |
2.22 |
2.11 |
N/A |
| Standard
Error |
58412.84 |
67816.91 |
50208.39 |
24231.82 |
| Risk-Reward
Ratio |
1.66 |
0.95 |
0.65 |
0.90 |
| Ulcer
Index |
9.36 |
18.22 |
10.89 |
10.59 |
| Ulcer
Performance Index |
1.59 |
0.47 |
0.60 |
0.25 |
| Sharpe
Ratio of trades |
1.12 |
1.20 |
1.04 |
N/A |
| K-Ratio |
0.08 |
0.05 |
0.03 |
0.04 |