| All trades | Long trades | Short trades |
Initial capital | 1000000.00 | 1000000.00 | 1000000.00 |
Ending capital | 4395461.94 | 3021969.43 | 2373492.51 |
Net Profit | 3395461.94 | 2021969.43 | 1373492.51 |
Net Profit % | 339.55% | 202.20% | 137.35% |
Exposure % | 4.75% | 2.36% | 2.39% |
Net Risk Adjusted Return % | 7150.23% | 8554.10% | 5758.88% |
Annual Return % | 25.99% | 18.84% | 14.44% |
Risk Adjusted Return % | 547.33% | 796.88% | 605.46% |
Total transaction costs | 1482238.06 | 718408.57 | 763829.49 |
|
All trades | 908 | 443 (48.79 %) | 465 (51.21 %) |
Avg. Profit/Loss | 3739.50 | 4564.27 | 2953.75 |
Avg. Profit/Loss % | 1.29% | 1.44% | 1.15% |
Avg. Bars Held | 42.77 | 43.26 | 42.30 |
|
Winners | 342 (37.67 %) | 177 (19.49 %) | 165 (18.17 %) |
Total Profit | 16572693.33 | 8613395.75 | 7959297.58 |
Avg. Profit | 48458.17 | 48663.25 | 48238.17 |
Avg. Profit % | 12.81% | 12.82% | 12.80% |
Avg. Bars Held | 70.90 | 70.32 | 71.53 |
Max. Consecutive | 7 | 6 | 5 |
Largest win | 376349.57 | 376349.57 | 326108.96 |
# bars in largest win | 150 | 150 | 103 |
|
Losers | 566 (62.33 %) | 266 (29.30 %) | 300 (33.04 %) |
Total Loss | -13177231.38 | -6591426.31 | -6585805.07 |
Avg. Loss | -23281.33 | -24779.80 | -21952.68 |
Avg. Loss % | -5.67% | -6.13% | -5.26% |
Avg. Bars Held | 25.77 | 25.25 | 26.23 |
Max. Consecutive | 12 | 12 | 14 |
Largest loss | -356455.24 | -265048.77 | -356455.24 |
# bars in largest loss | 49 | 12 | 49 |
|
Max. trade drawdown | -357951.58 | -297640.46 | -357951.58 |
Max. trade % drawdown | -62.41 | -40.75 | -62.41 |
Max. system drawdown | -1359109.85 | -1199849.42 | -685612.18 |
Max. system % drawdown | -27.34% | -33.06% | -27.68% |
Recovery Factor | 2.50 | 1.69 | 2.00 |
CAR/MaxDD | 0.95 | 0.57 | 0.52 |
RAR/MaxDD | 20.02 | 24.11 | 21.87 |
Profit Factor | 1.26 | 1.31 | 1.21 |
Payoff Ratio | 2.08 | 1.96 | 2.20 |
Standard Error | 468965.83 | 395982.41 | 213440.63 |
Risk-Reward Ratio | 1.26 | 0.97 | 0.96 |
Ulcer Index | 10.86 | 11.95 | 13.93 |
Ulcer Performance Index | 1.90 | 1.12 | 0.65 |
Sharpe Ratio of trades | 2.03 | 2.13 | 1.94 |
K-Ratio | 0.01 | 0.01 | 0.01 |