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Hi, I have a question about a system I am working on. The AVG. Profit
is showing up as -1.01%, the AVG loss is -20.21%, the AVG profit is
4.47%, the Win rate is 77.78%, Losers 22.22%, though the account size
grows to be huge over 10 years.
What gives? It seems counterintuitive that the system could even be
profitable. Any ideas?
Thanks, Eric
Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 185983396.60 185983396.60 10000.00
Net Profit 185973396.60 185973396.60 0.00
Net Profit % 1859733.97 % 1859733.97 % 0.00 %
Exposure % 64.44 % 64.44 % 0.00 %
Net Risk Adjusted Return % 2885819.19 % 2885819.19 % N/A
Annual Return % 167.20 % 167.20 % 0.00 %
Risk Adjusted Return % 259.44 % 259.44 % N/A
--------------------------------------------------------------------------------
All trades 4473 4473 (100.00 %) 0 (0.00 %)
Avg. Profit/Loss 41576.88 41576.88 N/A
Avg. Profit/Loss % -1.01 % -1.01 % N/A
Avg. Bars Held 4.64 4.64 N/A
--------------------------------------------------------------------------------
Winners 3479 (77.78 %) 3479 (77.78 %) 0 (0.00 %)
Total Profit 199421975.46 199421975.46 0.00
Avg. Profit 57321.64 57321.64 N/A
Avg. Profit % 4.47 % 4.47 % N/A
Avg. Bars Held 5.23 5.23 N/A
Max. Consecutive 46 46 0
Largest win 3271964.77 3271964.77 0.00
# bars in largest win 21 21 0
--------------------------------------------------------------------------------
Losers 994 (22.22 %) 994 (22.22 %) 0 (0.00 %)
Total Loss -13448578.86 -13448578.86 0.00
Avg. Loss -13529.76 -13529.76 N/A
Avg. Loss % -20.21 % -20.21 % N/A
Avg. Bars Held 2.60 2.60 N/A
Max. Consecutive 10 10 0
Largest loss -6162414.45 -6162414.45 0.00
# bars in largest loss 3 3 0
--------------------------------------------------------------------------------
Max. trade drawdown -6446695.59 -6446695.59 0.00
Max. trade % drawdown -98.70 % -98.70 % 0.00 %
Max. system drawdown -6301204.81 -6301204.81 0.00
Max. system % drawdown -4.73 % -4.73 % 0.00 %
Recovery Factor 29.51 29.51 N/A
CAR/MaxDD 35.33 35.33 N/A
RAR/MaxDD 54.83 54.83 N/A
Profit Factor 14.83 14.83 N/A
Payoff Ratio 4.24 4.24 N/A
Standard Error 28690743.79 28690743.79 0.00
Risk-Reward Ratio 0.41 0.41 N/A
Ulcer Index 0.86 0.86 0.00
Ulcer Performance Index 188.49 188.49 N/A
Sharpe Ratio of trades -0.17 -0.17 0.00
K-Ratio 0.02 0.02 N/A
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