| |
All trades |
Long trades |
Short trades |
| Initial capital |
100000.00 |
100000.00 |
100000.00 |
| Ending capital |
23.03 |
46095.25 |
53927.79 |
| Net Profit |
-99976.97 |
-53904.75 |
-46072.21 |
| Net Profit % |
-99.98 % |
-53.90 % |
-46.07 % |
| Exposure
% |
32.58 % |
15.71 % |
16.87 % |
| Net Risk Adjusted Return
% |
-306.87 % |
-343.07 % |
-273.15 % |
| Annual Return % |
-48.35 % |
-5.93 % |
-4.75 % |
| Risk Adjusted Return
% |
-148.39 % |
-37.71 % |
-28.18 % |
|
| All trades |
18077 |
8735 (48.32 %) |
9342 (51.68 %) |
| Avg.
Profit/Loss |
-5.53 |
-6.17 |
-4.93 |
| Avg.
Profit/Loss % |
-2.29 % |
-2.40 % |
-2.18 % |
| Avg. Bars Held |
2.95 |
2.95 |
2.95 |
|
| Winners |
4271 (23.63 %) |
2064 (11.42 %) |
2207 (12.21 %) |
| Total Profit |
258124.97 |
106046.83 |
152078.14 |
| Avg. Profit |
60.44 |
51.38 |
68.91 |
| Avg.
Profit % |
4.76 % |
4.30 % |
5.20 % |
| Avg. Bars Held |
4.66 |
4.66 |
4.67 |
| Max. Consecutive |
14 |
13 |
15 |
| Largest win |
674.94 |
674.94 |
579.25 |
| # bars in largest win |
4 |
4 |
5 |
|
| Losers |
13806 (76.37 %) |
6671 (36.90 %) |
7135 (39.47 %) |
| Total Loss |
-358101.94 |
-159951.59 |
-198150.35 |
| Avg. Loss |
-25.94 |
-23.98 |
-27.77 |
| Avg. Loss
% |
-4.47 % |
-4.47 % |
-4.46 % |
| Avg. Bars Held |
2.42 |
2.41 |
2.43 |
| Max. Consecutive |
853 |
433 |
458 |
| Largest loss |
-937.32 |
-937.32 |
-486.22 |
| # bars in largest loss |
2 |
2 |
7 |
|
| Max.
trade drawdown |
-937.32 |
-937.32 |
-644.69 |
| Max.
trade % drawdown |
-99.64 % |
-96.33 % |
-99.64 % |
| Max.
system drawdown |
-103366.31 |
-55076.00 |
-50918.72 |
| Max.
system % drawdown |
-99.98 % |
-54.44 % |
-48.57 % |
| Recovery Factor |
-0.97 |
-0.98 |
-0.90 |
| CAR/MaxDD |
-0.48 |
-0.11 |
-0.10 |
| RAR/MaxDD |
-1.48 |
-0.69 |
-0.58 |
| Profit Factor |
0.72 |
0.66 |
0.77 |
| Payoff Ratio |
2.33 |
2.14 |
2.48 |
| Standard
Error |
12576.08 |
6744.88 |
6378.44 |
| Risk-Reward
Ratio |
-0.70 |
-0.64 |
-0.70 |
| Ulcer
Index |
78.15 |
43.48 |
37.50 |
| Ulcer
Performance Index |
-0.69 |
-0.26 |
-0.27 |
| Sharpe
Ratio of trades |
-1.74 |
-1.67 |
-1.83 |
| K-Ratio |
-0.0446 |
-0.0409 |
-0.0447 |