| All trades | Long trades | Short trades |
Initial capital | 200000.00 | 200000.00 | 200000.00 |
Ending capital | 1878250.98 | 1352639.14 | 725611.84 |
Net Profit | 1678250.98 | 1152639.14 | 525611.84 |
Net Profit % | 839.13% | 576.32% | 262.81% |
Exposure % | 8.82% | 4.89% | 3.93% |
Net Risk Adjusted Return % | 9513.01% | 11774.82% | 6693.47% |
Annual Return % | 21.68% | 18.23% | 11.95% |
Risk Adjusted Return % | 245.80% | 372.49% | 304.43% |
Transaction costs | 534186.52 | 284479.61 | 249706.91 |
|
All trades | 2574 | 1359 (52.80 %) | 1215 (47.20 %) |
Avg. Profit/Loss | 652.00 | 848.15 | 432.60 |
Avg. Profit/Loss % | 0.64% | 0.79% | 0.46% |
Avg. Bars Held | 15.66 | 16.51 | 14.71 |
|
Winners | 1039 (40.37 %) | 553 (21.48 %) | 486 (18.88 %) |
Total Profit | 5713809.15 | 3255778.69 | 2458030.46 |
Avg. Profit | 5499.34 | 5887.48 | 5057.68 |
Avg. Profit % | 5.48% | 5.78% | 5.13% |
Avg. Bars Held | 22.88 | 25.31 | 20.13 |
Max. Consecutive | 8 | 7 | 6 |
Largest win | 84373.61 | 84373.61 | 38155.46 |
# bars in largest win | 38 | 38 | 9 |
|
Losers | 1535 (59.63 %) | 806 (31.31 %) | 729 (28.32 %) |
Total Loss | -4035558.17 | -2103139.56 | -1932418.62 |
Avg. Loss | -2629.03 | -2609.35 | -2650.78 |
Avg. Loss % | -2.64% | -2.63% | -2.65% |
Avg. Bars Held | 10.77 | 10.48 | 11.10 |
Max. Consecutive | 12 | 11 | 9 |
Largest loss | -25604.84 | -25604.84 | -22360.37 |
# bars in largest loss | 14 | 14 | 7 |
|
Max. trade drawdown | -29516.60 | -29516.60 | -22439.14 |
Max. trade % drawdown | -29.45 | -29.45 | -14.86 |
Max. system drawdown | -77819.40 | -85236.76 | -73610.24 |
Max. system % drawdown | -14.95% | -18.63% | -15.45% |
Recovery Factor | 21.57 | 13.52 | 7.14 |
CAR/MaxDD | 1.45 | 0.98 | 0.77 |
RAR/MaxDD | 16.44 | 19.99 | 19.70 |
Profit Factor | 1.42 | 1.55 | 1.27 |
Payoff Ratio | 2.09 | 2.26 | 1.91 |
Standard Error | 148268.01 | 99800.70 | 57981.89 |
Risk-Reward Ratio | 0.87 | 0.92 | 0.65 |
Ulcer Index | 3.83 | 4.96 | 5.63 |
Ulcer Performance Index | 4.25 | 2.58 | 1.16 |
Sharpe Ratio of trades | 2.15 | 2.43 | 1.76 |
K-Ratio | 0.01 | 0.01 | 0.01 |