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Hi,
I think it is good if it is OOS, but I think it would be better if you had 30 trades in your sample.
Louis
2008/6/2 professor77747 < professor@xxxxxxxxxxxxxx>:
I know that the profit and return are great, but I don't understand
about the risk factors.
Are these good results considering the risk?
Statistics | Charts | Trades | Formula | Settings | Symbols
Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 39169.93 23063.30 26106.63
Net Profit 29169.93 13063.30 16106.63
Net Profit % 291.70 % 130.63 % 161.07 %
Exposure % 4.29 % 1.58 % 2.71 %
Net Risk Adjusted Return % 6798.04 % 8261.88 % 5943.89 %
Annual Return % 3414.90 % 783.46 % 1120.48 %
Risk Adjusted Return % 79584.06 % 49550.03 % 41349.34 %
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All trades 17 8 (47.06 %) 9 (52.94 %)
Avg. Profit/Loss 1715.88 1632.91 1789.63
Avg. Profit/Loss % 1715.88 % 1632.91 % 1789.63 %
Avg. Bars Held 7.76 8.63 7.00
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Winners 11 (64.71 %) 6 (35.29 %) 5 (29.41 %)
Total Profit 36313.26 15613.31 20699.95
Avg. Profit 3301.21 2602.22 4139.99
Avg. Profit % 3301.21 % 2602.22 % 4139.99 %
Avg. Bars Held 7.91 7.17 8.80
Max. Consecutive 3 3 2
Largest win 7229.96 4633.33 7229.96
# bars in largest win 7 9 7
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Losers 6 (35.29 %) 2 (11.76 %) 4 (23.53 %)
Total Loss -7143.33 -2550.01 -4593.32
Avg. Loss -1190.56 -1275.01 -1148.33
Avg. Loss % -1190.56 % -1275.01 % -1148.33 %
Avg. Bars Held 7.50 13.00 4.75
Max. Consecutive 2 1 3
Largest loss -1513.33 -1463.34 -1513.33
# bars in largest loss 6 22 6
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Max. trade drawdown -6580.00 -6580.00 -2803.34
Max. trade % drawdown -90.00 % -72.41 % -90.00 %
Max. system drawdown -7716.68 -6680.04 -6916.66
Max. system % drawdown -26.50 % -31.39 % -43.70 %
Recovery Factor 3.78 1.96 2.33
CAR/MaxDD 128.85 24.96 25.64
RAR/MaxDD 3002.87 1578.72 946.15
Profit Factor 5.08 6.12 4.51
Payoff Ratio 2.77 2.04 3.61
Standard Error 2413.71 1657.91 2500.01
Risk-Reward Ratio 25.74 15.44 14.61
Ulcer Index 10.25 9.78 17.94
Ulcer Performance Index 332.52 79.58 62.17
Sharpe Ratio of trades 4.17 4.76 3.75
K-Ratio 0.2635 0.1580 0.1496
I would appreciate any comments.
Thanks,
Tom
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