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Yuki,As you see, the Sharpe Ratio is much better for the
Long side and this is the reason for the final
2.27 .
All trades Long trades
Short trades Sharpe Ratio of
trades
2.27
5.99
0.73
K-Ratio
0.64
0.76
0.02
The All trades result is not a safe criterion for the
situation.Dimitris Tsokakis
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Title: nikkeiOpt - Backtest Report
<A
href=""><FONT
class=SELTAB>Statistics | <A
href="">Charts
| <A
href="">Trades
| <A
href="">Formula
| <A
href="">Settings
| <A
href="">Symbols
Statistics
All trades
Long trades
Short trades
Initial capital
10000.00
10000.00
10000.00
Ending capital
14630.83
13971.98
10658.85
Net Profit
4630.83
3971.98
658.85
Net Profit %
46.31 %
39.72 %
6.59 %
<TH
title="Market exposure of the trading system calculated on bar by bar basis. Sum of bar exposures divided by number of bars. Single bar exposure is the value of open positions divided by portfolio equity.">Exposure
%
18.69 %
13.78 %
4.91 %
Net Risk Adjusted Return
%
247.77 %
288.32 %
134.09 %
Annual Return %
9.46 %
8.27 %
1.53 %
Risk Adjusted Return
%
50.64 %
60.05 %
31.09 %
All trades
8
4 (50.00 %)
4 (50.00 %)
<TH
title="(Profit of winners + Loss of losers)/(number of trades)"> Avg.
Profit/Loss
578.85
993.00
164.71
<TH
title="(% Profit of winners + % Loss of losers)/(number of trades)"> Avg.
Profit/Loss %
5.09 %
8.86 %
1.32 %
Avg. Bars Held
25.25
36.75
13.75
Winners
6 (75.00 %)
4 (50.00 %)
2 (25.00 %)
Total Profit
5384.68
3971.98
1412.70
Avg. Profit
897.45
993.00
706.35
Avg.
Profit %
7.99 %
8.86 %
6.27 %
Avg. Bars Held
31.17
36.75
20.00
Max. Consecutive
5
4
2
Largest win
1401.69
1401.69
1312.80
# bars in largest win
53
53
23
Losers
2 (25.00 %)
0 (0.00 %)
2 (25.00 %)
Total Loss
-753.85
0.00
-753.85
Avg. Loss
-376.92
N/A
-376.92
Avg. Loss
%
-3.62 %
N/A
-3.62 %
Avg. Bars Held
7.50
N/A
7.50
Max. Consecutive
1
0
2
Largest loss
-394.70
0.00
-394.70
# bars in largest loss
6
0
6
<TH
title="The largest peak to valley decline experienced in any single trade">Max.
trade drawdown
-1501.88
-811.00
-1501.88
<TH
title="The largest peak to valley percentage decline experienced in any single trade">Max.
trade % drawdown
-11.83 %
-7.38 %
-11.83 %
<TH
title="The largest peak to valley decline experienced in portfolio equity">Max.
system drawdown
-929.70
-811.00
-893.52
<TH
title="The largest peak to valley percentage decline experienced in portfolio equity">Max.
system % drawdown
-7.72 %
-7.00 %
-8.94 %
Recovery Factor
4.98
4.90
0.74
<TH
title="Compound Annual % Return divided by Max. system % drawdown">CAR/MaxDD
1.23
1.18
0.17
<TH
title="Risk Adjusted Return divided by Max. system % drawdown">RAR/MaxDD
6.56
8.58
3.48
Profit Factor
7.14
N/A
1.87
Payoff Ratio
2.38
N/A
1.87
<TH
title="Standard error measures chopiness of equity line. The lower the better.">Standard
Error
827.59
694.13
235.28
<TH
title="Measure of the relation between the risk inherent in a trading the system compared to its potential gain. Higher is better. Calculated as slope of equity line (expected annual return) divided by its standard error. ">Risk-Reward
Ratio
0.53
0.62
0.02
<TH
title="Square root of sum of squared drawdowns divided by number of bars">Ulcer
Index
1.35
1.04
1.86
Ulcer
Performance Index
3.01
2.77
-2.09
<TH
title="Measure of risk adjusted return of investment. Above 1.0 is good, more than 2.0 is excellent.">Sharpe
Ratio of trades
2.27
5.99
0.73
K-Ratio
0.64
0.76
0.02
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