| |
All trades |
Long trades |
Short trades |
Buy&Hold (NIFTY) |
| Initial capital |
200000.00 |
200000.00 |
200000.00 |
200000.00 |
| Ending capital |
1342878.53 |
704946.38 |
837932.15 |
323682.24 |
| Net Profit |
1142878.53 |
504946.38 |
637932.15 |
123682.24 |
| Net Profit % |
571.44% |
252.47% |
318.97% |
61.84% |
| Exposure
% |
1.10% |
0.50% |
0.60% |
100.00% |
| Net Risk Adjusted Return
% |
52080.78% |
50499.35% |
53404.55% |
61.84% |
| Annual Return % |
62.64% |
37.96% |
44.18% |
13.09% |
| Risk Adjusted Return
% |
5709.31% |
7592.43% |
7397.84% |
13.09% |
| Total transaction costs |
53000.00 |
23600.00 |
29400.00 |
200.00 |
|
| All trades |
265 |
118 (44.53 %) |
147 (55.47 %) |
1 |
| Avg.
Profit/Loss |
4312.75 |
4279.21 |
4339.67 |
123582.24 |
| Avg.
Profit/Loss % |
0.85% |
0.94% |
0.78% |
61.79% |
| Avg. Bars Held |
31.57 |
32.24 |
31.04 |
73393.00 |
|
| Winners |
150 (56.60 %) |
71 (26.79 %) |
79 (29.81 %) |
1 (100.00 %) |
| Total Profit |
3224024.47 |
1471553.83 |
1752470.65 |
123582.24 |
| Avg. Profit |
21493.50 |
20726.11 |
22183.17 |
123582.24 |
| Avg.
Profit % |
3.62% |
3.64% |
3.60% |
61.79% |
| Avg. Bars Held |
32.36 |
32.08 |
32.61 |
73393.00 |
| Max. Consecutive |
9 |
5 |
7 |
1 |
| Largest win |
79516.00 |
72258.10 |
79516.00 |
123582.24 |
| # bars in
largest win |
7 |
53 |
7 |
73393 |
|
| Losers |
115 (43.40 %) |
47 (17.74 %) |
68 (25.66 %) |
0 (0.00 %) |
| Total Loss |
-2081145.95 |
-966607.45 |
-1114538.50 |
0.00 |
| Avg. Loss |
-18096.92 |
-20566.12 |
-16390.27 |
N/A |
| Avg. Loss
% |
-2.76% |
-3.14% |
-2.50% |
N/A |
| Avg. Bars Held |
30.55 |
32.47 |
29.22 |
N/A |
| Max. Consecutive |
5 |
3 |
5 |
0 |
| Largest loss |
-51332.00 |
-49172.00 |
-51332.00 |
0.00 |
| # bars in largest
loss |
36 |
31 |
36 |
0 |
|
| Max.
trade drawdown |
-98812.50 |
-71321.25 |
-98812.50 |
-70211.66 |
| Max.
trade % drawdown |
-9.32 |
-8.92 |
-9.32 |
-24.41 |
| Max.
system drawdown |
-171689.88 |
-165569.92 |
-184953.32 |
-70211.66 |
| Max.
system % drawdown |
-22.90% |
-27.07% |
-39.25% |
-24.41% |
| Recovery Factor |
6.66 |
3.05 |
3.45 |
1.76 |
| CAR/MaxDD |
2.74 |
1.40 |
1.13 |
0.54 |
| RAR/MaxDD |
249.35 |
280.52 |
188.47 |
0.54 |
| Profit Factor |
1.55 |
1.52 |
1.57 |
N/A |
| Payoff Ratio |
1.19 |
1.01 |
1.35 |
N/A |
| Standard
Error |
69041.02 |
57118.24 |
77754.20 |
18833.06 |
| Risk-Reward
Ratio |
3.19 |
2.05 |
1.33 |
1.12 |
| Ulcer
Index |
8.68 |
10.67 |
16.04 |
8.03 |
| Ulcer
Performance Index |
6.59 |
3.05 |
2.42 |
0.96 |
| Sharpe
Ratio of trades |
4.95 |
5.18 |
4.76 |
N/A |
| K-Ratio |
0.01 |
0.01 |
0.01 |
0.00 |