Temat: System transakcyjny na fundusze inwestycyjne
Statystyki wygladaja tak.Oczywiscie przy grze jednym kontraktem. MM każdy stosuje własne. Moje daje mi max. Draw systemu - 42%
Net Profit (pkt)
od 04.07.2006 5030
Exposure % 9.29 %
Net Risk Adjusted Return % 216.61 %
Annual Return % 6.42 %
Risk Adjusted Return % 69.07 %
All trades 628
Avg. Profit/Loss 8.01
Avg. Profit/Loss % 0.32 %
Avg. Bars Held 3.34
Winners 278 (44.27 %)
Avg. Profit 52.44
Avg. Profit % 2.18 %
Max. Consecutive 6
Largest win (pkt) 255
Losers 350 (55.73 %)
Avg. Loss -27.28
Avg. Loss % -1.16 %
Max. Consecutive 6
Largest loss (pkt) -179
Max. trade drawdown (pkt) -179
Max. trade % drawdown -6.13 %
Max. system drawdown (pkt) -441
Max. system % drawdown -1.61 %
Recovery Factor 11.41
CAR/MaxDD 3.98
RAR/MaxDD 42.85
Profit Factor 1.53
Payoff Ratio 1.92
Standard Error 300.94
Risk-Reward Ratio 5.50
Ulcer Index 0.50
Ulcer Performance Index 2.05
Sharpe Ratio of trades 1.61
K-Ratio 0.1221