| |
All trades |
Long trades |
Short trades |
Buy&Hold (NSENIFTY) |
| Initial capital |
200000.00 |
200000.00 |
200000.00 |
200000.00 |
| Ending capital |
1311059.26 |
926575.23 |
584484.02 |
918399.78 |
| Net Profit |
1111059.26 |
726575.23 |
384484.02 |
718399.78 |
| Net Profit % |
555.53% |
363.29% |
192.24% |
359.20% |
| Exposure
% |
6.38% |
3.94% |
2.44% |
100.00% |
| Net Risk Adjusted Return
% |
8708.67% |
9226.27% |
7873.91% |
359.20% |
| Annual Return % |
15.45% |
12.43% |
8.54% |
12.35% |
| Risk Adjusted Return
% |
242.15% |
315.57% |
349.67% |
12.35% |
| Total transaction costs |
111200.00 |
55600.00 |
55600.00 |
200.00 |
|
| All trades |
556 |
278 (50.00 %) |
278 (50.00 %) |
1 |
| Avg.
Profit/Loss |
1998.31 |
2613.58 |
1383.04 |
719204.16 |
| Avg.
Profit/Loss % |
0.37% |
0.54% |
0.20% |
359.60% |
| Avg. Bars Held |
4.33 |
5.05 |
3.62 |
3178.00 |
|
| Winners |
191 (34.35 %) |
105 (18.88 %) |
86 (15.47 %) |
1 (100.00 %) |
| Total Profit |
4304798.63 |
2316518.77 |
1988279.86 |
719204.16 |
| Avg. Profit |
22538.21 |
22062.08 |
23119.53 |
719204.16 |
| Avg.
Profit % |
3.40% |
3.45% |
3.34% |
359.60% |
| Avg. Bars Held |
6.68 |
7.75 |
5.37 |
3178.00 |
| Max. Consecutive |
4 |
3 |
4 |
1 |
| Largest win |
71592.52 |
71592.52 |
58650.14 |
719204.16 |
| # bars in
largest win |
2 |
2 |
3 |
3178 |
|
| Losers |
365 (65.65 %) |
173 (31.12 %) |
192 (34.53 %) |
0 (0.00 %) |
| Total Loss |
-3193739.38 |
-1589943.54 |
-1603795.84 |
0.00 |
| Avg. Loss |
-8749.97 |
-9190.43 |
-8353.10 |
N/A |
| Avg. Loss
% |
-1.22% |
-1.23% |
-1.21% |
N/A |
| Avg. Bars Held |
3.10 |
3.41 |
2.83 |
N/A |
| Max. Consecutive |
14 |
8 |
11 |
0 |
| Largest loss |
-42713.19 |
-42713.19 |
-28348.54 |
0.00 |
| # bars in largest
loss |
2 |
2 |
2 |
0 |
|
| Max.
trade drawdown |
-43112.76 |
-43112.76 |
-38794.72 |
-400441.54 |
| Max.
trade % drawdown |
-5.98 |
-5.98 |
-5.29 |
-59.86 |
| Max.
system drawdown |
-190247.81 |
-129676.52 |
-188438.34 |
-400441.54 |
| Max.
system % drawdown |
-22.18% |
-16.72% |
-42.37% |
-59.86% |
| Recovery Factor |
5.84 |
5.60 |
2.04 |
1.79 |
| CAR/MaxDD |
0.70 |
0.74 |
0.20 |
0.21 |
| RAR/MaxDD |
10.92 |
18.88 |
8.25 |
0.21 |
| Profit Factor |
1.35 |
1.46 |
1.24 |
N/A |
| Payoff Ratio |
2.58 |
2.40 |
2.77 |
N/A |
| Standard
Error |
59227.52 |
44921.44 |
57822.10 |
76630.41 |
| Risk-Reward
Ratio |
1.35 |
1.08 |
0.54 |
0.70 |
| Ulcer
Index |
5.92 |
5.53 |
17.95 |
17.38 |
| Ulcer
Performance Index |
1.70 |
1.27 |
0.17 |
0.40 |
| Sharpe
Ratio of trades |
0.83 |
1.15 |
0.42 |
N/A |
| K-Ratio |
0.09 |
0.07 |
0.04 |
0.05 |