| |
All trades |
Long trades |
Short trades |
Buy&Hold (NSENIFTY) |
| Initial capital |
200000.00 |
200000.00 |
200000.00 |
200000.00 |
| Ending capital |
708740.00 |
695352.50 |
213387.50 |
364186.17 |
| Net Profit |
508740.00 |
495352.50 |
13387.50 |
164186.17 |
| Net Profit % |
254.37% |
247.68% |
6.69% |
82.09% |
| Exposure
% |
29.13% |
18.25% |
10.88% |
100.00% |
| Net Risk Adjusted Return
% |
873.28% |
1357.29% |
61.52% |
82.09% |
| Annual Return % |
14.90% |
14.66% |
0.71% |
6.80% |
| Risk Adjusted Return
% |
51.15% |
80.33% |
6.56% |
6.80% |
| Total transaction costs |
3600.00 |
1800.00 |
1800.00 |
100.00 |
|
| All trades |
36 |
18 (50.00 %) |
18 (50.00 %) |
1 |
| Avg.
Profit/Loss |
14131.67 |
27519.58 |
743.75 |
164136.17 |
| Avg.
Profit/Loss % |
2.62% |
5.18% |
0.07% |
82.07% |
| Avg. Bars Held |
61.28 |
74.61 |
47.94 |
2246.00 |
|
| Winners |
8 (22.22 %) |
5 (13.89 %) |
3 (8.33 %) |
1 (100.00 %) |
| Total Profit |
1338527.50 |
869530.00 |
468997.50 |
164136.17 |
| Avg. Profit |
167315.94 |
173906.00 |
156332.50 |
164136.17 |
| Avg.
Profit % |
23.36% |
26.27% |
18.50% |
82.07% |
| Avg. Bars Held |
163.38 |
177.80 |
139.33 |
2246.00 |
| Max. Consecutive |
3 |
2 |
1 |
1 |
| Largest win |
344772.50 |
344772.50 |
301580.00 |
164136.17 |
| # bars in
largest win |
263 |
263 |
288 |
2246 |
|
| Losers |
28 (77.78 %) |
13 (36.11 %) |
15 (41.67 %) |
0 (0.00 %) |
| Total Loss |
-829787.50 |
-374177.50 |
-455610.00 |
0.00 |
| Avg. Loss |
-29635.27 |
-28782.88 |
-30374.00 |
N/A |
| Avg. Loss
% |
-3.30% |
-2.93% |
-3.62% |
N/A |
| Avg. Bars Held |
32.11 |
34.92 |
29.67 |
N/A |
| Max. Consecutive |
9 |
4 |
10 |
0 |
| Largest loss |
-94615.00 |
-94615.00 |
-54542.50 |
0.00 |
| # bars in largest
loss |
36 |
36 |
39 |
0 |
|
| Max.
trade drawdown |
-208282.50 |
-208282.50 |
-120555.00 |
-187835.01 |
| Max.
trade % drawdown |
-22.08 |
-22.08 |
-13.03 |
-59.87 |
| Max.
system drawdown |
-407242.50 |
-246907.50 |
-436747.50 |
-187835.01 |
| Max.
system % drawdown |
-59.29% |
-43.35% |
-82.92% |
-59.87% |
| Recovery Factor |
1.25 |
2.01 |
0.03 |
0.87 |
| CAR/MaxDD |
0.25 |
0.34 |
0.01 |
0.11 |
| RAR/MaxDD |
0.86 |
1.85 |
0.08 |
0.11 |
| Profit Factor |
1.61 |
2.32 |
1.03 |
N/A |
| Payoff Ratio |
5.65 |
6.04 |
5.15 |
N/A |
| Standard
Error |
164165.00 |
95719.59 |
108170.33 |
40381.13 |
| Risk-Reward
Ratio |
0.27 |
0.58 |
-0.11 |
0.56 |
| Ulcer
Index |
21.05 |
21.32 |
40.34 |
19.51 |
| Ulcer
Performance Index |
0.45 |
0.43 |
-0.12 |
0.07 |
| Sharpe
Ratio of trades |
0.20 |
0.40 |
-0.20 |
N/A |
| K-Ratio |
0.01 |
0.03 |
-0.01 |
0.03 |