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Net Profit of 228,277.57 from 10,000 in 80 days?
Annual % Return of 5610.37%
Percent Profitable 89.9% ???
Maybe you missed what I said in the first one - the system was SIMILAR to
the system I posted, but definitely not the same - my point was that it is
very basic - no look back, no over optimization.....but the little I've
learned so far is that when I get the kind of results as above, somethings
not right.
Thanks,
Stewart
----- Original Message -----
From: "nkis22" <nkishor@xxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Saturday, April 19, 2003 6:33 PM
Subject: [amibroker] Re: Help - Unrealistic Results
> Not to me, not unrealistic, cos most systems lose a
> a lot and so does what u have coded.
>
> For unrelaistic means an outrageously high profit, which is
> typical of forward looking codes.
>
>
> nand
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, Stewart <stewart@xxxx> wrote:
> > this doesn't look unrealistic?
> >
> >
> > ----- Original Message -----
> > From: "nkis22" <nkishor@xxxx>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Saturday, April 19, 2003 4:31 PM
> > Subject: [amibroker] Re: Help - Unrealistic Results
> >
> >
> > > Results are very poor on DOW30 from Jan 02 till now, so I don't
> > > see the problem. Tested both weekly and daily bars
> > > nand
> > >
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, Stewart <stewart@xxxx> wrote:
> > > > Hi All,
> > > >
> > > > I was experimenting with a system, similiar to the one below.
> I'm
> > > getting very unrealistic results, and I can't figure out why.
> > > > I don't believe the system is forward looking, does anyone else
> > > have an idea?
> > > > Thanks,
> > > >
> > > > Stewart
> > > >
> > > > System:
> > > >
> > > > Buy = C > Ref(C,-1) ;
> > > >
> > > > Sell= C < Ref(C,-1) ;
> > > >
> > > > Short= C < Ref(C,-1) ;
> > > >
> > > > Cover = C > Ref(C,-1);
> > > >
> > > > ApplyStop(Optimize( "Type", 1, 0, 3, 1 ),Optimize( "Mode", 1,0,
> 1,
> > > 1 ) ,Optimize( "Amount", 0, 0, 3, 1 ),1,1);
> > > >
> > > > Equity(1);
> > > >
> > > >
> > > >
> > > > The system settings are:
> > > >
> > > > Settings
> > > >
> > > > Initial Equity: 10000 Periodicity/Positions: Daily/Long
> > > Short
> > > > Commissions: 0.01 per share Annual interest rate: 5.00%
> > > > Range: 99 days Apply to: Filter
> > > > Include Filter Exclude Filter
> > > > Market - Market -
> > > > Group - Group Indicies
> > > > Sector - Sector -
> > > > Industry - Industry -
> > > > Watch list Main Universe Watch list -
> > > > Index - Index Yes
> > > > Favourite - Favourite -
> > > > Margin requirement: 75 Futures mode: No
> > > > Def. round lot size: 1 Def. Tick Size 1
> > > > Drawdowns based on: Close prices
> > > > Long trades
> > > > Buy price: Open Sell price: Close
> > > > Buy delay: 1 Sell delay: 0
> > > > Short trades
> > > > Short price: Open Cover price: Close
> > > > Short delay: 1 Cover delay: 0
> > > > Stops
> > > > Maximum loss: disabled Profit target: disabled
> > > > Value: 15.00 Value: 0.00
> > > > Exit at stop? yes Exit at stop? no
> > > >
> > > > Trailing stop: disabled
> > > > Value: 10.00
> > > > Exit at stop? yes
> > >
> > >
> > >
> > > Send BUG REPORTS to bugs@xxxx
> > > Send SUGGESTIONS to suggest@xxxx
> > > -----------------------------------------
> > > Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> > > (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> > > --------------------------------------------
> > > Check group FAQ at:
> > http://groups.yahoo.com/group/amibroker/files/groupfaq.html
> > >
> > > Your use of Yahoo! Groups is subject to
> http://docs.yahoo.com/info/terms/
> > >
> > >
>
>
>
> Send BUG REPORTS to bugs@xxxxxxxxxxxxx
> Send SUGGESTIONS to suggest@xxxxxxxxxxxxx
> -----------------------------------------
> Post AmiQuote-related messages ONLY to: amiquote@xxxxxxxxxxxxxxx
> (Web page: http://groups.yahoo.com/group/amiquote/messages/)
> --------------------------------------------
> Check group FAQ at:
http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
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-----------------------------------------
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(Web page: http://groups.yahoo.com/group/amiquote/messages/)
--------------------------------------------
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Title: AmiBroker System Test Report
Overall performance summary
Total net profit:
228277.57
Total commissions paid:
25799.09
Return on account:
142.67 %
Open position gain/loss
0.00
Buy&Hold profit:
37276.14
Bars (avg. days) in test:
874 (80)
Buy&Hold % return:
23.30%
System to Buy&Hold index:
512.40%
Annual system % return:
5610.37%
Annual B&H % return:
160.00%
System drawdown:
-896.52
B&H drawdown:
-6096.38
Max. system drawdown:
-5890.24
B&H max. drawdown:
-5950.14
Max. system % drawdown:
-25.96%
B&H max. % drawdown:
-60.16%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-4787.40
Total number of trades:
700
Percent profitable:
89.9%
Number winning trades:
629
Number losing trades:
71
Profit of winners:
226833.42
Loss of losers:
-1469.53
Total # of bars in winners:
629
Total # of bars in losers:
71
Commissions paid in winners:
23669.78
Commissions paid in losers:
2129.30
Largest winning trade:
2534.00
Largest losing trade:
-77.62
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
125.14
Commission paid in largest loser:
77.62
Average winning trade:
360.63
Average losing trade:
-20.70
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
37.63
Avg. commission paid in loser:
29.99
Max consec. winners:
47
Max consec. losers:
2
Bars out of the market:
198
Interest earned:
2913.68
Exposure:
77.3%
Risk adjusted ann. return:
7004.23%
Ratio avg win/avg loss:
17.42
Avg. trade (win & loss):
321.95
Profit factor:
154.36
Performance for ADRX
Total net profit:
10561.46
Total commissions paid:
1277.93
Return on account:
105.61 %
Open position gain/loss
0.00
Buy&Hold profit:
106.02
Bars (days) in test:
56 (80)
Buy&Hold % return:
1.06%
System to Buy&Hold index:
9861.43%
Annual system % return:
2581.07%
Annual B&H % return:
4.93%
System drawdown:
0.00
B&H drawdown:
-6096.38
Max. system drawdown:
-1456.65
B&H max. drawdown:
-5950.14
Max. system % drawdown:
-9.68%
B&H max. % drawdown:
-60.16%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1700.16
Total number of trades:
32
Percent profitable:
93.8%
Number winning trades:
30
Number losing trades:
2
Profit of winners:
10434.53
Loss of losers:
-48.53
Total # of bars in winners:
30
Total # of bars in losers:
2
Commissions paid in winners:
1185.24
Commissions paid in losers:
92.69
Largest winning trade:
1075.28
Largest losing trade:
-39.70
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
54.22
Commission paid in largest loser:
39.70
Average winning trade:
347.82
Average losing trade:
-24.26
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
39.51
Avg. commission paid in loser:
46.34
Max consec. winners:
15
Max consec. losers:
1
Bars out of the market:
25
Interest earned:
175.45
Exposure:
55.4%
Risk adjusted ann. return:
4476.87%
Ratio avg win/avg loss:
14.34
Avg. trade (win & loss):
324.56
Profit factor:
215.03
Performance for ALTR
Total net profit:
22549.35
Total commissions paid:
2415.77
Return on account:
225.49 %
Open position gain/loss
0.00
Buy&Hold profit:
4699.73
Bars (days) in test:
54 (80)
Buy&Hold % return:
47.00%
System to Buy&Hold index:
379.80%
Annual system % return:
21700.89%
Annual B&H % return:
479.89%
System drawdown:
-321.69
B&H drawdown:
-439.56
Max. system drawdown:
-2507.54
B&H max. drawdown:
-1972.08
Max. system % drawdown:
-12.45%
B&H max. % drawdown:
-14.54%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-2176.38
Total number of trades:
52
Percent profitable:
94.2%
Number winning trades:
49
Number losing trades:
3
Profit of winners:
22426.11
Loss of losers:
-89.39
Total # of bars in winners:
49
Total # of bars in losers:
3
Commissions paid in winners:
2295.55
Commissions paid in losers:
120.22
Largest winning trade:
1740.00
Largest losing trade:
-46.22
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
60.00
Commission paid in largest loser:
46.22
Average winning trade:
457.68
Average losing trade:
-29.80
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
46.85
Avg. commission paid in loser:
40.07
Max consec. winners:
19
Max consec. losers:
1
Bars out of the market:
4
Interest earned:
212.62
Exposure:
92.6%
Risk adjusted ann. return:
22743.36%
Ratio avg win/avg loss:
15.36
Avg. trade (win & loss):
429.55
Profit factor:
250.89
Performance for BRCM
Total net profit:
22830.40
Total commissions paid:
2242.10
Return on account:
228.30 %
Open position gain/loss
0.00
Buy&Hold profit:
-461.66
Bars (days) in test:
56 (80)
Buy&Hold % return:
-4.62%
System to Buy&Hold index:
5045.25%
Annual system % return:
22573.06%
Annual B&H % return:
-19.40%
System drawdown:
0.00
B&H drawdown:
-1996.88
Max. system drawdown:
-1642.08
B&H max. drawdown:
-3471.64
Max. system % drawdown:
-13.50%
B&H max. % drawdown:
-31.25%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1705.54
Total number of trades:
51
Percent profitable:
98.0%
Number winning trades:
50
Number losing trades:
1
Profit of winners:
22692.99
Loss of losers:
-77.62
Total # of bars in winners:
50
Total # of bars in losers:
1
Commissions paid in winners:
2164.49
Commissions paid in losers:
77.62
Largest winning trade:
1800.10
Largest losing trade:
-77.62
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
52.94
Commission paid in largest loser:
77.62
Average winning trade:
453.86
Average losing trade:
-77.62
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
43.29
Avg. commission paid in loser:
77.62
Max consec. winners:
47
Max consec. losers:
1
Bars out of the market:
7
Interest earned:
215.03
Exposure:
87.5%
Risk adjusted ann. return:
25032.43%
Ratio avg win/avg loss:
5.85
Avg. trade (win & loss):
443.44
Profit factor:
292.38
Performance for CCU
Total net profit:
5154.31
Total commissions paid:
462.22
Return on account:
51.54 %
Open position gain/loss
0.00
Buy&Hold profit:
-81.01
Bars (days) in test:
56 (80)
Buy&Hold % return:
-0.81%
System to Buy&Hold index:
6462.69%
Annual system % return:
566.34%
Annual B&H % return:
-3.64%
System drawdown:
-358.56
B&H drawdown:
-2576.32
Max. system drawdown:
-1358.62
B&H max. drawdown:
-2576.32
Max. system % drawdown:
-9.86%
B&H max. % drawdown:
-25.76%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-959.20
Total number of trades:
43
Percent profitable:
69.8%
Number winning trades:
30
Number losing trades:
13
Profit of winners:
5140.03
Loss of losers:
-121.12
Total # of bars in winners:
30
Total # of bars in losers:
13
Commissions paid in winners:
328.08
Commissions paid in losers:
134.14
Largest winning trade:
431.44
Largest losing trade:
-12.36
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
11.30
Commission paid in largest loser:
12.36
Average winning trade:
171.33
Average losing trade:
-9.32
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
10.94
Avg. commission paid in loser:
10.32
Max consec. winners:
6
Max consec. losers:
2
Bars out of the market:
15
Interest earned:
135.41
Exposure:
73.2%
Risk adjusted ann. return:
737.02%
Ratio avg win/avg loss:
18.39
Avg. trade (win & loss):
116.72
Profit factor:
42.44
Performance for CMVT
Total net profit:
24476.23
Total commissions paid:
3496.94
Return on account:
244.76 %
Open position gain/loss
0.00
Buy&Hold profit:
3251.69
Bars (days) in test:
56 (80)
Buy&Hold % return:
32.52%
System to Buy&Hold index:
652.72%
Annual system % return:
28242.22%
Annual B&H % return:
261.30%
System drawdown:
-91.49
B&H drawdown:
-1778.88
Max. system drawdown:
-3095.84
B&H max. drawdown:
-1870.44
Max. system % drawdown:
-8.82%
B&H max. % drawdown:
-18.58%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-2318.22
Total number of trades:
56
Percent profitable:
94.6%
Number winning trades:
53
Number losing trades:
3
Profit of winners:
24383.09
Loss of losers:
-138.48
Total # of bars in winners:
53
Total # of bars in losers:
3
Commissions paid in winners:
3300.38
Commissions paid in losers:
196.56
Largest winning trade:
1559.06
Largest losing trade:
-57.17
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
71.14
Commission paid in largest loser:
57.17
Average winning trade:
460.06
Average losing trade:
-46.16
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
62.27
Avg. commission paid in loser:
65.52
Max consec. winners:
22
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
231.62
Exposure:
96.4%
Risk adjusted ann. return:
28398.04%
Ratio avg win/avg loss:
9.97
Avg. trade (win & loss):
432.94
Profit factor:
176.08
Performance for DCLK
Total net profit:
28788.83
Total commissions paid:
4676.04
Return on account:
287.89 %
Open position gain/loss
0.00
Buy&Hold profit:
4245.06
Bars (days) in test:
56 (80)
Buy&Hold % return:
42.45%
System to Buy&Hold index:
578.17%
Annual system % return:
48425.99%
Annual B&H % return:
402.45%
System drawdown:
0.00
B&H drawdown:
-792.30
Max. system drawdown:
-2016.12
B&H max. drawdown:
-2105.85
Max. system % drawdown:
-7.30%
B&H max. % drawdown:
-16.09%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-2598.96
Total number of trades:
49
Percent profitable:
93.9%
Number winning trades:
46
Number losing trades:
3
Profit of winners:
28651.80
Loss of losers:
-109.26
Total # of bars in winners:
46
Total # of bars in losers:
3
Commissions paid in winners:
4371.98
Commissions paid in losers:
304.06
Largest winning trade:
2534.00
Largest losing trade:
-70.30
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
125.14
Commission paid in largest loser:
70.30
Average winning trade:
622.87
Average losing trade:
-36.42
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
95.04
Avg. commission paid in loser:
101.35
Max consec. winners:
20
Max consec. losers:
1
Bars out of the market:
9
Interest earned:
246.30
Exposure:
83.9%
Risk adjusted ann. return:
56042.89%
Ratio avg win/avg loss:
17.10
Avg. trade (win & loss):
582.50
Profit factor:
262.24
Performance for FD
Total net profit:
10328.76
Total commissions paid:
950.66
Return on account:
103.29 %
Open position gain/loss
0.00
Buy&Hold profit:
2245.19
Bars (days) in test:
54 (80)
Buy&Hold % return:
22.45%
System to Buy&Hold index:
360.04%
Annual system % return:
2445.40%
Annual B&H % return:
151.97%
System drawdown:
-134.94
B&H drawdown:
-903.06
Max. system drawdown:
-1784.76
B&H max. drawdown:
-1307.88
Max. system % drawdown:
-8.91%
B&H max. % drawdown:
-12.69%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1765.80
Total number of trades:
52
Percent profitable:
82.7%
Number winning trades:
43
Number losing trades:
9
Profit of winners:
10302.25
Loss of losers:
-142.63
Total # of bars in winners:
43
Total # of bars in losers:
9
Commissions paid in winners:
772.03
Commissions paid in losers:
178.63
Largest winning trade:
700.33
Largest losing trade:
-23.54
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
21.38
Commission paid in largest loser:
23.54
Average winning trade:
239.59
Average losing trade:
-15.85
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
17.95
Avg. commission paid in loser:
19.85
Max consec. winners:
30
Max consec. losers:
2
Bars out of the market:
4
Interest earned:
169.14
Exposure:
92.6%
Risk adjusted ann. return:
2538.21%
Ratio avg win/avg loss:
15.12
Avg. trade (win & loss):
195.38
Profit factor:
72.23
Performance for GLG
Total net profit:
1784.43
Total commissions paid:
376.90
Return on account:
17.84 %
Open position gain/loss
0.00
Buy&Hold profit:
-2556.81
Bars (days) in test:
54 (80)
Buy&Hold % return:
-25.57%
System to Buy&Hold index:
169.79%
Annual system % return:
111.52%
Annual B&H % return:
-74.00%
System drawdown:
-896.52
B&H drawdown:
-4062.13
Max. system drawdown:
-896.52
B&H max. drawdown:
-3859.53
Max. system % drawdown:
-8.97%
B&H max. % drawdown:
-39.19%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-917.07
Total number of trades:
12
Percent profitable:
83.3%
Number winning trades:
10
Number losing trades:
2
Profit of winners:
1725.41
Loss of losers:
-60.29
Total # of bars in winners:
10
Total # of bars in losers:
2
Commissions paid in winners:
316.61
Commissions paid in losers:
60.29
Largest winning trade:
373.63
Largest losing trade:
-31.42
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
29.30
Commission paid in largest loser:
31.42
Average winning trade:
172.54
Average losing trade:
-30.14
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
31.66
Avg. commission paid in loser:
30.14
Max consec. winners:
7
Max consec. losers:
1
Bars out of the market:
42
Interest earned:
119.31
Exposure:
22.2%
Risk adjusted ann. return:
458.65%
Ratio avg win/avg loss:
5.72
Avg. trade (win & loss):
138.76
Profit factor:
28.62
Performance for GSF
Total net profit:
11554.74
Total commissions paid:
1139.69
Return on account:
115.55 %
Open position gain/loss
0.00
Buy&Hold profit:
-896.29
Bars (days) in test:
54 (80)
Buy&Hold % return:
-8.96%
System to Buy&Hold index:
1389.18%
Annual system % return:
3224.98%
Annual B&H % return:
-34.85%
System drawdown:
-457.35
B&H drawdown:
-1450.40
Max. system drawdown:
-972.94
B&H max. drawdown:
-1562.88
Max. system % drawdown:
-7.76%
B&H max. % drawdown:
-15.43%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-948.48
Total number of trades:
49
Percent profitable:
79.6%
Number winning trades:
39
Number losing trades:
10
Profit of winners:
11570.93
Loss of losers:
-186.88
Total # of bars in winners:
39
Total # of bars in losers:
10
Commissions paid in winners:
889.20
Commissions paid in losers:
250.49
Largest winning trade:
699.14
Largest losing trade:
-32.81
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
23.11
Commission paid in largest loser:
32.81
Average winning trade:
296.69
Average losing trade:
-18.69
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
22.80
Avg. commission paid in loser:
25.05
Max consec. winners:
8
Max consec. losers:
2
Bars out of the market:
6
Interest earned:
170.69
Exposure:
88.9%
Risk adjusted ann. return:
3494.85%
Ratio avg win/avg loss:
15.88
Avg. trade (win & loss):
232.33
Profit factor:
61.92
Performance for MCD
Total net profit:
8924.59
Total commissions paid:
1096.97
Return on account:
89.25 %
Open position gain/loss
0.00
Buy&Hold profit:
988.26
Bars (days) in test:
54 (80)
Buy&Hold % return:
9.88%
System to Buy&Hold index:
803.06%
Annual system % return:
1736.26%
Annual B&H % return:
53.72%
System drawdown:
-54.60
B&H drawdown:
-2056.60
Max. system drawdown:
-1404.89
B&H max. drawdown:
-2111.20
Max. system % drawdown:
-8.05%
B&H max. % drawdown:
-21.03%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1404.00
Total number of trades:
36
Percent profitable:
86.1%
Number winning trades:
31
Number losing trades:
5
Profit of winners:
8877.55
Loss of losers:
-107.57
Total # of bars in winners:
31
Total # of bars in losers:
5
Commissions paid in winners:
952.51
Commissions paid in losers:
144.46
Largest winning trade:
858.06
Largest losing trade:
-39.50
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
36.38
Commission paid in largest loser:
39.50
Average winning trade:
286.37
Average losing trade:
-21.51
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
30.73
Avg. commission paid in loser:
28.89
Max consec. winners:
16
Max consec. losers:
1
Bars out of the market:
19
Interest earned:
154.62
Exposure:
64.8%
Risk adjusted ann. return:
2574.72%
Ratio avg win/avg loss:
13.31
Avg. trade (win & loss):
243.61
Profit factor:
82.53
Performance for MXIM
Total net profit:
10169.11
Total commissions paid:
692.47
Return on account:
101.69 %
Open position gain/loss
0.00
Buy&Hold profit:
3175.04
Bars (days) in test:
54 (80)
Buy&Hold % return:
31.75%
System to Buy&Hold index:
220.28%
Annual system % return:
2355.46%
Annual B&H % return:
251.86%
System drawdown:
-524.47
B&H drawdown:
-562.59
Max. system drawdown:
-1667.82
B&H max. drawdown:
-2115.00
Max. system % drawdown:
-11.98%
B&H max. % drawdown:
-16.43%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1169.28
Total number of trades:
54
Percent profitable:
98.1%
Number winning trades:
53
Number losing trades:
1
Profit of winners:
10023.45
Loss of losers:
-8.88
Total # of bars in winners:
53
Total # of bars in losers:
1
Commissions paid in winners:
677.26
Commissions paid in losers:
15.22
Largest winning trade:
647.61
Largest losing trade:
-8.88
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
16.97
Commission paid in largest loser:
15.22
Average winning trade:
189.12
Average losing trade:
-8.88
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
12.78
Avg. commission paid in loser:
15.22
Max consec. winners:
44
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
154.54
Exposure:
96.3%
Risk adjusted ann. return:
2358.12%
Ratio avg win/avg loss:
21.30
Avg. trade (win & loss):
185.45
Profit factor:
1129.14
Performance for NTAP
Total net profit:
22709.08
Total commissions paid:
2263.20
Return on account:
227.09 %
Open position gain/loss
0.00
Buy&Hold profit:
3126.49
Bars (days) in test:
54 (80)
Buy&Hold % return:
31.26%
System to Buy&Hold index:
626.34%
Annual system % return:
22193.29%
Annual B&H % return:
245.98%
System drawdown:
-442.08
B&H drawdown:
-1768.32
Max. system drawdown:
-1863.18
B&H max. drawdown:
-3143.68
Max. system % drawdown:
-8.25%
B&H max. % drawdown:
-28.49%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-2032.50
Total number of trades:
42
Percent profitable:
92.9%
Number winning trades:
39
Number losing trades:
3
Profit of winners:
22579.66
Loss of losers:
-102.07
Total # of bars in winners:
39
Total # of bars in losers:
3
Commissions paid in winners:
2123.35
Commissions paid in losers:
139.85
Largest winning trade:
1590.86
Largest losing trade:
-65.04
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
75.46
Commission paid in largest loser:
65.04
Average winning trade:
578.97
Average losing trade:
-34.02
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
54.44
Avg. commission paid in loser:
46.62
Max consec. winners:
15
Max consec. losers:
1
Bars out of the market:
13
Interest earned:
231.48
Exposure:
75.9%
Risk adjusted ann. return:
28294.00%
Ratio avg win/avg loss:
17.02
Avg. trade (win & loss):
535.18
Profit factor:
221.22
Performance for NTES
Total net profit:
15788.85
Total commissions paid:
1293.31
Return on account:
157.89 %
Open position gain/loss
0.00
Buy&Hold profit:
3579.01
Bars (days) in test:
54 (80)
Buy&Hold % return:
35.79%
System to Buy&Hold index:
341.15%
Annual system % return:
7436.31%
Annual B&H % return:
303.84%
System drawdown:
-105.62
B&H drawdown:
-4770.90
Max. system drawdown:
-5890.24
B&H max. drawdown:
-4678.83
Max. system % drawdown:
-25.96%
B&H max. % drawdown:
-47.11%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-4787.40
Total number of trades:
34
Percent profitable:
97.1%
Number winning trades:
33
Number losing trades:
1
Profit of winners:
15594.32
Loss of losers:
-7.11
Total # of bars in winners:
33
Total # of bars in losers:
1
Commissions paid in winners:
1250.64
Commissions paid in losers:
42.67
Largest winning trade:
1420.72
Largest losing trade:
-7.11
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
41.28
Commission paid in largest loser:
42.67
Average winning trade:
472.56
Average losing trade:
-7.11
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
37.90
Avg. commission paid in loser:
42.67
Max consec. winners:
23
Max consec. losers:
1
Bars out of the market:
21
Interest earned:
201.65
Exposure:
61.1%
Risk adjusted ann. return:
11734.64%
Ratio avg win/avg loss:
66.45
Avg. trade (win & loss):
458.45
Profit factor:
2192.93
Performance for OVTI
Total net profit:
13971.44
Total commissions paid:
1343.33
Return on account:
139.71 %
Open position gain/loss
0.00
Buy&Hold profit:
12327.33
Bars (days) in test:
54 (80)
Buy&Hold % return:
123.27%
System to Buy&Hold index:
13.34%
Annual system % return:
5299.51%
Annual B&H % return:
3804.52%
System drawdown:
-234.97
B&H drawdown:
-311.55
Max. system drawdown:
-2277.09
B&H max. drawdown:
-2834.10
Max. system % drawdown:
-14.46%
B&H max. % drawdown:
-15.95%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-2514.50
Total number of trades:
49
Percent profitable:
89.8%
Number winning trades:
44
Number losing trades:
5
Profit of winners:
13924.16
Loss of losers:
-132.00
Total # of bars in winners:
44
Total # of bars in losers:
5
Commissions paid in winners:
1199.98
Commissions paid in losers:
143.35
Largest winning trade:
874.74
Largest losing trade:
-33.10
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
31.06
Commission paid in largest loser:
33.10
Average winning trade:
316.46
Average losing trade:
-26.40
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
27.27
Avg. commission paid in loser:
28.67
Max consec. winners:
12
Max consec. losers:
1
Bars out of the market:
7
Interest earned:
179.28
Exposure:
87.0%
Risk adjusted ann. return:
5879.91%
Ratio avg win/avg loss:
11.99
Avg. trade (win & loss):
281.47
Profit factor:
105.48
Performance for SKM
Total net profit:
4065.02
Total commissions paid:
828.74
Return on account:
40.65 %
Open position gain/loss
0.00
Buy&Hold profit:
137.81
Bars (days) in test:
54 (80)
Buy&Hold % return:
1.38%
System to Buy&Hold index:
2849.76%
Annual system % return:
374.12%
Annual B&H % return:
6.44%
System drawdown:
-164.43
B&H drawdown:
-3265.11
Max. system drawdown:
-1749.78
B&H max. drawdown:
-3429.54
Max. system % drawdown:
-15.03%
B&H max. % drawdown:
-33.88%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-443.96
Total number of trades:
35
Percent profitable:
85.7%
Number winning trades:
30
Number losing trades:
5
Profit of winners:
4024.52
Loss of losers:
-92.90
Total # of bars in winners:
30
Total # of bars in losers:
5
Commissions paid in winners:
710.09
Commissions paid in losers:
118.66
Largest winning trade:
337.02
Largest losing trade:
-25.15
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
30.41
Commission paid in largest loser:
25.15
Average winning trade:
134.15
Average losing trade:
-18.58
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
23.67
Avg. commission paid in loser:
23.73
Max consec. winners:
17
Max consec. losers:
1
Bars out of the market:
20
Interest earned:
133.39
Exposure:
63.0%
Risk adjusted ann. return:
562.16%
Ratio avg win/avg loss:
7.22
Avg. trade (win & loss):
112.33
Profit factor:
43.32
Performance for XLNX
Total net profit:
14620.96
Total commissions paid:
1242.82
Return on account:
146.21 %
Open position gain/loss
0.00
Buy&Hold profit:
3390.28
Bars (days) in test:
54 (80)
Buy&Hold % return:
33.90%
System to Buy&Hold index:
331.26%
Annual system % return:
5999.99%
Annual B&H % return:
278.86%
System drawdown:
-168.42
B&H drawdown:
-1067.65
Max. system drawdown:
-1533.92
B&H max. drawdown:
-2410.40
Max. system % drawdown:
-8.66%
B&H max. % drawdown:
-18.30%
Max. trade drawdown:
0.00
Max. trade % drawdown:
0.00%
Trade drawdown:
-1795.50
Total number of trades:
54
Percent profitable:
90.7%
Number winning trades:
49
Number losing trades:
5
Profit of winners:
14482.64
Loss of losers:
-44.83
Total # of bars in winners:
49
Total # of bars in losers:
5
Commissions paid in winners:
1132.39
Commissions paid in losers:
110.42
Largest winning trade:
882.31
Largest losing trade:
-21.48
# of bars in largest winner:
1
# bars in largest loser:
1
Commission paid in largest winner:
27.29
Commission paid in largest loser:
21.48
Average winning trade:
295.56
Average losing trade:
-8.97
Avg. # of bars in winners:
1.0
Avg. # bars in losers:
1.0
Avg. commission paid in winner:
23.11
Avg. commission paid in loser:
22.08
Max consec. winners:
15
Max consec. losers:
1
Bars out of the market:
2
Interest earned:
183.15
Exposure:
96.3%
Risk adjusted ann. return:
6018.59%
Ratio avg win/avg loss:
32.96
Avg. trade (win & loss):
267.37
Profit factor:
323.03
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