| |
All trades |
Long trades |
Short trades |
| Initial capital |
200000.00 |
200000.00 |
200000.00 |
| Ending capital |
36656201.64 |
52087297.68 |
-15231096.03 |
| Net Profit |
36456201.64 |
51887297.68 |
-15431096.03 |
| Net Profit % |
18228.10% |
25943.65% |
-7715.55% |
| Exposure
% |
3.41% |
2.14% |
1.27% |
| Net Risk Adjusted Return
% |
534593.27% |
1213105.58% |
-606997.91% |
| Annual Return % |
35.78% |
38.61% |
N/A |
| Risk Adjusted Return
% |
1049.25% |
1805.16% |
N/A |
| Total transaction costs |
67000.00 |
33600.00 |
33400.00 |
|
| All trades |
335 |
168 (50.15 %) |
167 (49.85 %) |
| Avg.
Profit/Loss |
108824.48 |
308852.96 |
-92401.77 |
| Avg.
Profit/Loss % |
4.73% |
5.99% |
3.46% |
| Avg. Bars Held |
5.32 |
6.15 |
4.48 |
|
| Winners |
98 (29.25 %) |
55 (16.42 %) |
43 (12.84 %) |
| Total Profit |
328257044.11 |
178065239.89 |
150191804.22 |
| Avg. Profit |
3349561.67 |
3237549.82 |
3492832.66 |
| Avg.
Profit % |
42.99% |
39.55% |
47.38% |
| Avg. Bars Held |
9.03 |
10.75 |
6.84 |
| Max. Consecutive |
5 |
8 |
4 |
| Largest win |
12904296.25 |
12904296.25 |
11441072.50 |
| # bars in
largest win |
13 |
13 |
3 |
|
| Losers |
237 (70.75 %) |
113 (33.73 %) |
124 (37.01 %) |
| Total Loss |
-291800842.46 |
-126177942.21 |
-165622900.25 |
| Avg. Loss |
-1231227.18 |
-1116618.96 |
-1335668.55 |
| Avg. Loss
% |
-11.09% |
-10.35% |
-11.77% |
| Avg. Bars Held |
3.78 |
3.92 |
3.66 |
| Max. Consecutive |
11 |
12 |
14 |
| Largest loss |
-4752436.25 |
-4542320.00 |
-4752436.25 |
| # bars in largest
loss |
4 |
2 |
4 |
|
| Max.
trade drawdown |
-9792864.00 |
-7360745.85 |
-9792864.00 |
| Max.
trade % drawdown |
-39.33 |
-39.33 |
-33.92 |
| Max.
system drawdown |
-40242607.45 |
-21254782.20 |
-45912175.50 |
| Max.
system % drawdown |
-70.78% |
-98.65% |
-98.29% |
| Recovery Factor |
0.91 |
2.44 |
-0.34 |
| CAR/MaxDD |
0.51 |
0.39 |
N/A |
| RAR/MaxDD |
14.82 |
18.30 |
N/A |
| Profit Factor |
1.12 |
1.41 |
0.91 |
| Payoff Ratio |
2.72 |
2.90 |
2.62 |
| Standard
Error |
7673027.69 |
7588605.34 |
6964632.85 |
| Risk-Reward
Ratio |
0.39 |
0.46 |
-0.08 |
| Ulcer
Index |
30.47 |
44.09 |
106.71 |
| Ulcer
Performance Index |
1.00 |
0.75 |
N/A |
| Sharpe
Ratio of trades |
1.18 |
1.41 |
0.93 |
| K-Ratio |
0.03 |
0.04 |
-0.01 |