| All trades | Long trades | Short trades |
Initial capital | 200000.00 | 200000.00 | 200000.00 |
Ending capital | 1356045.00 | 906120.00 | 649925.00 |
Net Profit | 1156045.00 | 706120.00 | 449925.00 |
Net Profit % | 578.02 % | 353.06 % | 224.96 % |
Exposure % | 0.88 % | 0.43 % | 0.45 % |
Net Risk Adjusted Return % | 65328.81 % | 81581.77 % | 49768.11 % |
Annual Return % | 33.51 % | 25.63 % | 19.48 % |
Risk Adjusted Return % | 3787.88 % | 5922.01 % | 4309.45 % |
Total transaction costs | 357000.00 | 183800.00 | 173200.00 |
|
All trades | 1785 | 919 (51.48 %) | 866 (48.52 %) |
Avg. Profit/Loss | 647.64 | 768.36 | 519.54 |
Avg. Profit/Loss % | 1.39 % | 1.71 % | 1.05 % |
Avg. Bars Held | 52.52 | 53.13 | 51.86 |
|
Winners | 727 (40.73 %) | 395 (22.13 %) | 332 (18.60 %) |
Total Profit | 4401445.00 | 2212480.00 | 2188965.00 |
Avg. Profit | 6054.26 | 5601.22 | 6593.27 |
Avg. Profit % | 12.49 % | 11.59 % | 13.57 % |
Avg. Bars Held | 84.42 | 83.86 | 85.08 |
Max. Consecutive | 10 | 7 | 5 |
Largest win | 112815.00 | 74890.00 | 112815.00 |
# bars in largest win | 156 | 123 | 156 |
|
Losers | 1058 (59.27 %) | 524 (29.36 %) | 534 (29.92 %) |
Total Loss | -3245400.00 | -1506360.00 | -1739040.00 |
Avg. Loss | -3067.49 | -2874.73 | -3256.63 |
Avg. Loss % | -6.24 % | -5.73 % | -6.74 % |
Avg. Bars Held | 30.60 | 29.96 | 31.22 |
Max. Consecutive | 12 | 10 | 11 |
Largest loss | -27510.00 | -20740.00 | -27510.00 |
# bars in largest loss | 10 | 4 | 10 |
|
Max. trade drawdown | -33250.00 | -22750.00 | -33250.00 |
Max. trade % drawdown | -65.19 % | -44.29 % | -65.19 % |
Max. system drawdown | -105425.00 | -66765.00 | -113360.00 |
Max. system % drawdown | -29.14 % | -30.47 % | -25.86 % |
Recovery Factor | 10.97 | 10.58 | 3.97 |
CAR/MaxDD | 1.15 | 0.84 | 0.75 |
RAR/MaxDD | 130.01 | 194.38 | 166.65 |
Profit Factor | 1.36 | 1.47 | 1.26 |
Payoff Ratio | 1.97 | 1.95 | 2.02 |
Standard Error | 97702.14 | 62112.86 | 57992.77 |
Risk-Reward Ratio | 1.52 | 1.53 | 0.91 |
Ulcer Index | 5.67 | 4.73 | 7.96 |
Ulcer Performance Index | 4.96 | 4.28 | 1.77 |
Sharpe Ratio of trades | 1.66 | 2.23 | 1.16 |
K-Ratio | 0.0084 | 0.0085 | 0.0051 |