| All trades | Long trades | Short trades |
Initial capital | 100000.00 | 100000.00 | 100000.00 |
Ending capital | 685075.00 | 354312.50 | 430762.50 |
Net Profit | 585075.00 | 254312.50 | 330762.50 |
Net Profit % | 585.07 % | 254.31 % | 330.76 % |
Exposure % | 12.65 % | 9.53 % | 3.12 % |
Net Risk Adjusted Return % | 4623.43 % | 2667.87 % | 10594.11 % |
Annual Return % | 46.15 % | 28.33 % | 33.37 % |
Risk Adjusted Return % | 364.69 % | 297.21 % | 1068.89 % |
Total transaction costs | 303400.00 | 212600.00 | 90800.00 |
|
All trades | 1517 | 1063 (70.07 %) | 454 (29.93 %) |
Avg. Profit/Loss | 385.68 | 239.24 | 728.55 |
Avg. Profit/Loss % | 0.09 % | 0.07 % | 0.15 % |
Avg. Bars Held | 40.51 | 43.46 | 33.61 |
|
Winners | 693 (45.68 %) | 471 (31.05 %) | 222 (14.63 %) |
Total Profit | 3223392.50 | 2209985.00 | 1013407.50 |
Avg. Profit | 4651.36 | 4692.11 | 4564.90 |
Avg. Profit % | 0.96 % | 0.98 % | 0.92 % |
Avg. Bars Held | 48.45 | 54.00 | 36.67 |
Max. Consecutive | 8 | 7 | 9 |
Largest win | 35172.50 | 35172.50 | 28652.50 |
# bars in largest win | 66 | 66 | 49 |
|
Losers | 824 (54.32 %) | 592 (39.02 %) | 232 (15.29 %) |
Total Loss | -2638317.50 | -1955672.50 | -682645.00 |
Avg. Loss | -3201.84 | -3303.50 | -2942.44 |
Avg. Loss % | -0.64 % | -0.66 % | -0.59 % |
Avg. Bars Held | 33.83 | 35.07 | 30.68 |
Max. Consecutive | 9 | 8 | 11 |
Largest loss | -18882.50 | -18882.50 | -17130.00 |
# bars in largest loss | 22 | 22 | 18 |
|
Max. trade drawdown | -19392.50 | -19392.50 | -17690.00 |
Max. trade % drawdown | -3.82 % | -3.82 % | -3.40 % |
Max. system drawdown | -105525.00 | -90232.50 | -61387.50 |
Max. system % drawdown | -26.44 % | -30.38 % | -31.43 % |
Recovery Factor | 5.54 | 2.82 | 5.39 |
CAR/MaxDD | 1.75 | 0.93 | 1.06 |
RAR/MaxDD | 13.80 | 9.78 | 34.01 |
Profit Factor | 1.22 | 1.13 | 1.48 |
Payoff Ratio | 1.45 | 1.42 | 1.55 |
Standard Error | 44280.03 | 27136.29 | 35007.35 |
Risk-Reward Ratio | 2.12 | 0.89 | 2.00 |
Ulcer Index | 8.64 | 11.01 | 9.29 |
Ulcer Performance Index | 4.72 | 2.08 | 3.01 |
Sharpe Ratio of trades | 1.63 | 1.10 | 3.10 |
K-Ratio | 0.0101 | 0.0042 | 0.0095 |