| All trades | Long trades | Short trades |
Initial capital | 1000000.00 | 1000000.00 | 1000000.00 |
Ending capital | 7192387.43 | 4553828.06 | 3638559.37 |
Net Profit | 6192387.43 | 3553828.06 | 2638559.37 |
Net Profit % | 619.24% | 355.38% | 263.86% |
Exposure % | 5.97% | 3.05% | 2.92% |
Net Risk Adjusted Return % | 10377.69% | 11656.57% | 9041.61% |
Annual Return % | 28.74% | 21.42% | 17.98% |
Risk Adjusted Return % | 481.59% | 702.56% | 616.17% |
Total transaction costs | 4397176.19 | 2222873.60 | 2174302.59 |
|
All trades | 3890 | 1966 (50.54 %) | 1924 (49.46 %) |
Avg. Profit/Loss | 1591.87 | 1807.64 | 1371.39 |
Avg. Profit/Loss % | 0.56% | 0.64% | 0.48% |
Avg. Bars Held | 30.70 | 31.17 | 30.21 |
|
Winners | 1666 (42.83 %) | 867 (22.29 %) | 799 (20.54 %) |
Total Profit | 30916781.72 | 15898260.98 | 15018520.73 |
Avg. Profit | 18557.49 | 18337.09 | 18796.65 |
Avg. Profit % | 6.53% | 6.45% | 6.62% |
Avg. Bars Held | 38.58 | 38.84 | 38.30 |
Max. Consecutive | 10 | 8 | 14 |
Largest win | 164040.85 | 164040.85 | 145884.20 |
# bars in largest win | 70 | 70 | 74 |
|
Losers | 2224 (57.17 %) | 1099 (28.25 %) | 1125 (28.92 %) |
Total Loss | -24724394.29 | -12344432.93 | -12379961.36 |
Avg. Loss | -11117.08 | -11232.42 | -11004.41 |
Avg. Loss % | -3.91% | -3.95% | -3.87% |
Avg. Bars Held | 24.79 | 25.12 | 24.47 |
Max. Consecutive | 13 | 14 | 11 |
Largest loss | -83174.38 | -67232.26 | -83174.38 |
# bars in largest loss | 7 | 27 | 7 |
|
Max. trade drawdown | -99920.01 | -99920.01 | -94818.96 |
Max. trade % drawdown | -31.93 | -30.78 | -31.93 |
Max. system drawdown | -444116.48 | -334551.97 | -650552.28 |
Max. system % drawdown | -25.58% | -24.43% | -21.58% |
Recovery Factor | 13.94 | 10.62 | 4.06 |
CAR/MaxDD | 1.12 | 0.88 | 0.83 |
RAR/MaxDD | 18.82 | 28.76 | 28.55 |
Profit Factor | 1.25 | 1.29 | 1.21 |
Payoff Ratio | 1.67 | 1.63 | 1.71 |
Standard Error | 761688.46 | 271730.41 | 513137.19 |
Risk-Reward Ratio | 0.95 | 1.65 | 0.54 |
Ulcer Index | 3.07 | 4.07 | 7.31 |
Ulcer Performance Index | 7.61 | 3.94 | 1.72 |
Sharpe Ratio of trades | 1.84 | 2.11 | 1.57 |
K-Ratio | 0.01 | 0.01 | 0.00 |