| |
All trades |
Long trades |
Short trades |
| Initial capital |
200000.00 |
200000.00 |
200000.00 |
| Ending capital |
998020.42 |
1239740.35 |
-41719.93 |
| Net Profit |
798020.42 |
1039740.35 |
-241719.93 |
| Net Profit % |
399.01% |
519.87% |
-120.86% |
| Exposure
% |
2.57% |
1.71% |
0.85% |
| Net Risk Adjusted Return
% |
15550.38% |
30329.34% |
-14188.17% |
| Annual Return % |
9.14% |
10.43% |
N/A |
| Risk Adjusted Return
% |
356.12% |
608.66% |
N/A |
| Total transaction costs |
19800.00 |
10200.00 |
9600.00 |
|
| All trades |
198 |
102 (51.52 %) |
96 (48.48 %) |
| Avg.
Profit/Loss |
4030.41 |
10193.53 |
-2517.92 |
| Avg.
Profit/Loss % |
10.72% |
21.40% |
-0.63% |
| Avg. Bars Held |
14.74 |
17.32 |
12.00 |
|
| Winners |
84 (42.42 %) |
52 (26.26 %) |
32 (16.16 %) |
| Total Profit |
2519643.39 |
1659867.92 |
859775.47 |
| Avg. Profit |
29995.75 |
31920.54 |
26867.98 |
| Avg.
Profit % |
56.50% |
60.05% |
50.72% |
| Avg. Bars Held |
23.75 |
25.83 |
20.38 |
| Max. Consecutive |
4 |
4 |
4 |
| Largest win |
232708.70 |
232708.70 |
126383.90 |
| # bars in
largest win |
55 |
55 |
25 |
|
| Losers |
114 (57.58 %) |
50 (25.25 %) |
64 (32.32 %) |
| Total Loss |
-1721622.97 |
-620127.57 |
-1101495.40 |
| Avg. Loss |
-15101.96 |
-12402.55 |
-17210.87 |
| Avg. Loss
% |
-23.01% |
-18.80% |
-26.30% |
| Avg. Bars Held |
8.11 |
8.48 |
7.81 |
| Max. Consecutive |
4 |
4 |
6 |
| Largest loss |
-59781.85 |
-37306.00 |
-59781.85 |
| # bars in largest
loss |
20 |
5 |
20 |
|
| Max.
trade drawdown |
-91030.05 |
-74086.50 |
-91030.05 |
| Max.
trade % drawdown |
-87.55 |
-57.33 |
-87.55 |
| Max.
system drawdown |
-211071.30 |
-201744.80 |
-531897.80 |
| Max.
system % drawdown |
-29.49% |
-30.45% |
-98.45% |
| Recovery Factor |
3.78 |
5.15 |
-0.45 |
| CAR/MaxDD |
0.31 |
0.34 |
N/A |
| RAR/MaxDD |
12.07 |
19.99 |
N/A |
| Profit Factor |
1.46 |
2.68 |
0.78 |
| Payoff Ratio |
1.99 |
2.57 |
1.56 |
| Standard
Error |
74157.78 |
53285.82 |
68098.22 |
| Risk-Reward
Ratio |
0.72 |
1.10 |
-0.07 |
| Ulcer
Index |
8.73 |
9.24 |
41.23 |
| Ulcer
Performance Index |
0.43 |
0.54 |
N/A |
| Sharpe
Ratio of trades |
0.67 |
1.09 |
-0.08 |
| K-Ratio |
0.06 |
0.09 |
-0.01 |