| | All trades | Long trades | Short trades |
|---|
| Initial capital | 800000.00 | 800000.00 | 800000.00 |
|---|
| Ending capital | 1890001.72 | 1313736.01 | 1376265.71 |
|---|
| Net Profit | 1090001.72 | 513736.01 | 576265.71 |
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| Net Profit % | 136.25 % | 64.22 % | 72.03 % |
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| Exposure % | 2.52 % | 1.23 % | 1.29 % |
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| Net Risk Adjusted Return % | 5409.03 % | 5220.98 % | 5588.48 % |
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| Annual Return % | 14.01 % | 7.86 % | 8.62 % |
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| Risk Adjusted Return % | 556.01 % | 638.70 % | 669.00 % |
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| Total transaction costs | 77948.28 | 39113.99 | 38834.29 |
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|
| All trades | 319 | 161 (50.47 %) | 158 (49.53 %) |
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| Avg. Profit/Loss | 3416.93 | 3190.91 | 3647.25 |
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| Avg. Profit/Loss % | 3.42 % | 3.19 % | 3.65 % |
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| Avg. Bars Held | 1.80 | 1.80 | 1.79 |
|---|
|
| Winners | 281 (88.09 %) | 136 (42.63 %) | 145 (45.45 %) |
|---|
| Total Profit | 1289602.95 | 640721.17 | 648881.79 |
|---|
| Avg. Profit | 4589.33 | 4711.19 | 4475.05 |
|---|
| Avg. Profit % | 4.59 % | 4.71 % | 4.48 % |
|---|
| Avg. Bars Held | 1.59 | 1.53 | 1.65 |
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| Max. Consecutive | 49 | 24 | 42 |
|---|
| Largest win | 15423.70 | 15423.70 | 11940.79 |
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| # bars in largest win | 2 | 2 | 5 |
|---|
|
| Losers | 38 (11.91 %) | 25 (7.84 %) | 13 (4.08 %) |
|---|
| Total Loss | -199601.22 | -126985.15 | -72616.07 |
|---|
| Avg. Loss | -5252.66 | -5079.41 | -5585.85 |
|---|
| Avg. Loss % | -5.25 % | -5.08 % | -5.59 % |
|---|
| Avg. Bars Held | 3.32 | 3.28 | 3.38 |
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| Max. Consecutive | 5 | 2 | 4 |
|---|
| Largest loss | -16312.10 | -16312.10 | -10104.64 |
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| # bars in largest loss | 3 | 3 | 6 |
|---|
|
| Max. trade drawdown | -26647.85 | -26647.85 | -14276.68 |
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| Max. trade % drawdown | -26.62 % | -26.62 % | -14.27 % |
|---|
| Max. system drawdown | -26702.76 | -27201.10 | -29139.76 |
|---|
| Max. system % drawdown | -1.81 % | -2.10 % | -2.19 % |
|---|
| Recovery Factor | 40.82 | 18.89 | 19.78 |
|---|
| CAR/MaxDD | 7.75 | 3.74 | 3.93 |
|---|
| RAR/MaxDD | 307.62 | 304.40 | 304.92 |
|---|
| Profit Factor | 6.46 | 5.05 | 8.94 |
|---|
| Payoff Ratio | 0.87 | 0.93 | 0.80 |
|---|
| Standard Error | 32222.80 | 12686.37 | 28469.88 |
|---|
| Risk-Reward Ratio | 5.51 | 6.76 | 3.23 |
|---|
| Ulcer Index | 0.31 | 0.33 | 0.44 |
|---|
| Ulcer Performance Index | 27.83 | 7.34 | 7.37 |
|---|
| Sharpe Ratio of trades | 8.92 | 8.02 | 9.95 |
|---|
| K-Ratio | 0.2547 | 0.3126 | 0.1490 |
|---|
|
| Portfolio Sharpe Ratio [Rf =5.00 %] | 3.94 | | |
|---|
| Portfolio Annualized Return % | 20.45 % | | |
|---|
| Portfolio Annualized Volatility % | 3.92 % | | |
|---|
| Rē | 0.99 | | |
|---|
| DVR | 3.91 | | |
|---|
| Max % DD [-1.81 %] Date | 29/06/2009 08:00:00 | | |
|---|
| Max System DD [-26,702.75] Date | 13/03/2014 08:00:00 | | |
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