| All trades | Long trades | Short trades |
Initial capital | 200000.00 | 200000.00 | 200000.00 |
Ending capital | 1542912.50 | 1097372.50 | 645540.00 |
Net Profit | 1342912.50 | 897372.50 | 445540.00 |
Net Profit % | 671.46 % | 448.69 % | 222.77 % |
Exposure % | 10.47 % | 5.22 % | 5.25 % |
Net Risk Adjusted Return % | 6416.05 % | 8599.04 % | 4245.35 % |
Annual Return % | 49.61 % | 39.89 % | 25.99 % |
Risk Adjusted Return % | 474.07 % | 764.50 % | 495.37 % |
Total transaction costs | 223400.00 | 111800.00 | 111600.00 |
|
All trades | 1117 | 559 (50.04 %) | 558 (49.96 %) |
Avg. Profit/Loss | 1202.25 | 1605.32 | 798.46 |
Avg. Profit/Loss % | 0.27 % | 0.40 % | 0.14 % |
Avg. Bars Held | 86.49 | 85.52 | 87.46 |
|
Winners | 496 (44.40 %) | 255 (22.83 %) | 241 (21.58 %) |
Total Profit | 4242527.50 | 2288572.50 | 1953955.00 |
Avg. Profit | 8553.48 | 8974.79 | 8107.70 |
Avg. Profit % | 1.79 % | 1.96 % | 1.61 % |
Avg. Bars Held | 128.64 | 127.74 | 129.59 |
Max. Consecutive | 7 | 7 | 9 |
Largest win | 84237.50 | 84237.50 | 46230.00 |
# bars in largest win | 135 | 135 | 274 |
|
Losers | 621 (55.60 %) | 304 (27.22 %) | 317 (28.38 %) |
Total Loss | -2899615.00 | -1391200.00 | -1508415.00 |
Avg. Loss | -4669.27 | -4576.32 | -4758.41 |
Avg. Loss % | -0.94 % | -0.91 % | -0.98 % |
Avg. Bars Held | 52.82 | 50.11 | 55.43 |
Max. Consecutive | 11 | 7 | 10 |
Largest loss | -26177.50 | -18827.50 | -26177.50 |
# bars in largest loss | 29 | 18 | 29 |
|
Max. trade drawdown | -26177.50 | -19392.50 | -26177.50 |
Max. trade % drawdown | -5.99 % | -4.33 % | -5.99 % |
Max. system drawdown | -140780.00 | -87572.50 | -130247.50 |
Max. system % drawdown | -16.77 % | -12.63 % | -43.68 % |
Recovery Factor | 9.54 | 10.25 | 3.42 |
CAR/MaxDD | 2.96 | 3.16 | 0.60 |
RAR/MaxDD | 28.26 | 60.53 | 11.34 |
Profit Factor | 1.46 | 1.65 | 1.30 |
Payoff Ratio | 1.83 | 1.96 | 1.70 |
Standard Error | 66712.52 | 41088.38 | 51735.54 |
Risk-Reward Ratio | 3.44 | 3.21 | 1.89 |
Ulcer Index | 4.95 | 3.36 | 13.25 |
Ulcer Performance Index | 8.93 | 10.25 | 1.55 |
Sharpe Ratio of trades | 1.74 | 2.39 | 0.95 |
K-Ratio | 0.0163 | 0.0152 | 0.0089 |