| All trades | Long trades | Short trades |
Initial capital | 200000.00 | 200000.00 | 200000.00 |
Ending capital | 1351809.23 | 830805.69 | 721003.54 |
Net Profit | 1151809.23 | 630805.69 | 521003.54 |
Net Profit % | 575.90% | 315.40% | 260.50% |
Exposure % | 13.60% | 6.67% | 6.93% |
Net Risk Adjusted Return % | 4235.45% | 4728.75% | 3760.48% |
Annual Return % | 18.23% | 13.29% | 11.89% |
Risk Adjusted Return % | 134.03% | 199.23% | 171.64% |
Transaction costs | 272295.77 | 136073.06 | 136222.71 |
|
All trades | 1317 | 658 (49.96 %) | 659 (50.04 %) |
Avg. Profit/Loss | 874.57 | 958.67 | 790.60 |
Avg. Profit/Loss % | 0.99% | 1.10% | 0.87% |
Avg. Bars Held | 45.00 | 44.75 | 45.24 |
|
Winners | 477 (36.22 %) | 240 (18.22 %) | 237 (18.00 %) |
Total Profit | 5078067.29 | 2608836.76 | 2469230.53 |
Avg. Profit | 10645.84 | 10870.15 | 10418.69 |
Avg. Profit % | 10.86% | 11.16% | 10.54% |
Avg. Bars Held | 75.77 | 77.48 | 74.03 |
Max. Consecutive | 5 | 5 | 5 |
Largest win | 49478.44 | 47512.82 | 49478.44 |
# bars in largest win | 21 | 41 | 21 |
|
Losers | 840 (63.78 %) | 418 (31.74 %) | 422 (32.04 %) |
Total Loss | -3926258.07 | -1978031.07 | -1948226.99 |
Avg. Loss | -4674.12 | -4732.13 | -4616.65 |
Avg. Loss % | -4.61% | -4.67% | -4.55% |
Avg. Bars Held | 27.52 | 25.96 | 29.07 |
Max. Consecutive | 14 | 15 | 10 |
Largest loss | -34540.30 | -34540.30 | -22652.51 |
# bars in largest loss | 11 | 11 | 38 |
|
Max. trade drawdown | -44806.04 | -44806.04 | -38517.70 |
Max. trade % drawdown | -32.98 | -32.98 | -27.06 |
Max. system drawdown | -209518.56 | -202084.09 | -120001.73 |
Max. system % drawdown | -23.14% | -26.23% | -24.52% |
Recovery Factor | 5.50 | 3.12 | 4.34 |
CAR/MaxDD | 0.79 | 0.51 | 0.48 |
RAR/MaxDD | 5.79 | 7.59 | 7.00 |
Profit Factor | 1.29 | 1.32 | 1.27 |
Payoff Ratio | 2.28 | 2.30 | 2.26 |
Standard Error | 95529.69 | 49562.75 | 74600.53 |
Risk-Reward Ratio | 1.11 | 1.24 | 0.60 |
Ulcer Index | 6.31 | 8.15 | 9.04 |
Ulcer Performance Index | 2.03 | 0.97 | 0.72 |
Sharpe Ratio of trades | 1.16 | 1.30 | 1.03 |
K-Ratio | 0.01 | 0.02 | 0.01 |