| |
All trades |
Long trades |
Short trades |
Buy&Hold (NIFTY) |
| Initial capital |
200000.00 |
200000.00 |
200000.00 |
200000.00 |
| Ending capital |
736893.90 |
389639.55 |
547254.35 |
310307.63 |
| Net Profit |
536893.90 |
189639.55 |
347254.35 |
110307.63 |
| Net Profit % |
268.45% |
94.82% |
173.63% |
55.15% |
| Exposure
% |
0.15% |
0.06% |
0.09% |
100.00% |
| Net Risk Adjusted Return
% |
184594.95% |
159971.89% |
201535.65% |
55.15% |
| Annual Return % |
14.71% |
7.27% |
11.18% |
4.73% |
| Risk Adjusted Return
% |
10116.74% |
12267.42% |
12972.13% |
4.73% |
| Total transaction costs |
27200.00 |
11600.00 |
15600.00 |
200.00 |
|
| All trades |
136 |
58 (42.65 %) |
78 (57.35 %) |
1 |
| Avg.
Profit/Loss |
3947.75 |
3269.65 |
4451.98 |
110207.62 |
| Avg.
Profit/Loss % |
1.18% |
1.13% |
1.21% |
55.10% |
| Avg. Bars Held |
3.05 |
2.95 |
3.13 |
17851.00 |
|
| Winners |
76 (55.88 %) |
29 (21.32 %) |
47 (34.56 %) |
1 (100.00 %) |
| Total Profit |
1378842.03 |
589723.18 |
789118.85 |
110207.62 |
| Avg. Profit |
18142.66 |
20335.28 |
16789.76 |
110207.62 |
| Avg.
Profit % |
4.97% |
5.99% |
4.35% |
55.10% |
| Avg. Bars Held |
2.93 |
3.03 |
2.87 |
17851.00 |
| Max. Consecutive |
5 |
4 |
6 |
1 |
| Largest win |
89875.00 |
89875.00 |
59942.50 |
110207.62 |
| # bars in
largest win |
2 |
2 |
2 |
17851 |
|
| Losers |
60 (44.12 %) |
29 (21.32 %) |
31 (22.79 %) |
0 (0.00 %) |
| Total Loss |
-841948.13 |
-400083.62 |
-441864.50 |
0.00 |
| Avg. Loss |
-14032.47 |
-13795.99 |
-14253.69 |
N/A |
| Avg. Loss
% |
-3.63% |
-3.73% |
-3.54% |
N/A |
| Avg. Bars Held |
3.20 |
2.86 |
3.52 |
N/A |
| Max. Consecutive |
4 |
6 |
5 |
0 |
| Largest loss |
-39788.75 |
-35712.50 |
-39788.75 |
0.00 |
| # bars in largest
loss |
2 |
3 |
2 |
0 |
|
| Max.
trade drawdown |
-39788.75 |
-35712.50 |
-39788.75 |
-131050.06 |
| Max.
trade % drawdown |
-13.86 |
-13.86 |
-13.65 |
-63.40 |
| Max.
system drawdown |
-92367.25 |
-73807.43 |
-66621.25 |
-131050.06 |
| Max.
system % drawdown |
-13.37% |
-22.31% |
-21.78% |
-63.40% |
| Recovery Factor |
5.81 |
2.57 |
5.21 |
0.84 |
| CAR/MaxDD |
1.10 |
0.33 |
0.51 |
0.07 |
| RAR/MaxDD |
756.49 |
549.87 |
595.54 |
0.07 |
| Profit Factor |
1.64 |
1.47 |
1.79 |
N/A |
| Payoff Ratio |
1.29 |
1.47 |
1.18 |
N/A |
| Standard
Error |
44267.61 |
32126.59 |
39453.91 |
22796.27 |
| Risk-Reward
Ratio |
1.08 |
0.30 |
0.97 |
0.78 |
| Ulcer
Index |
5.53 |
9.11 |
7.80 |
18.75 |
| Ulcer
Performance Index |
1.68 |
0.21 |
0.74 |
-0.04 |
| Sharpe
Ratio of trades |
5.12 |
4.12 |
6.48 |
N/A |
| K-Ratio |
0.02 |
0.01 |
0.02 |
0.02 |