Just a diary of an AFL of Banknifty 5 min, 10, 15 min

#21
Ichimoku

Statistics | Charts | Trades | Formula | Settings | Symbols

Statistics
All trades Long trades Short trades
Initial capital 400000.00 400000.00 400000.00
Ending capital 526400.00 309520.00 616880.00
Net Profit 126400.00 -90480.00 216880.00
Net Profit % 31.60 % -22.62 % 54.22 %
Exposure % 72.69 % 29.46 % 43.23 %
Net Risk Adjusted Return % 43.47 % -76.79 % 125.42 %
Annual Return % 3069.42 % -96.03 % 23233.39 %
Risk Adjusted Return % 4222.74 % -326.02 % 53742.23 %
Total transaction costs 0.00 0.00 0.00

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All trades 35 17 (48.57 %) 18 (51.43 %)
Avg. Profit/Loss 3611.43 -5322.35 12048.89
Avg. Profit/Loss % 0.21 % -0.17 % 0.57 %
Avg. Bars Held 44.54 35.94 52.67

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Winners 15 (42.86 %) 7 (20.00 %) 8 (22.86 %)
Total Profit 426520.00 92560.00 333960.00
Avg. Profit 28434.67 13222.86 41745.00
Avg. Profit % 1.24 % 0.50 % 1.88 %
Avg. Bars Held 68.73 53.86 81.75
Max. Consecutive 3 4 4
Largest win 105220.00 21195.00 105220.00
# bars in largest win 151 41 151

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Losers 20 (57.14 %) 10 (28.57 %) 10 (28.57 %)
Total Loss -300120.00 -183040.00 -117080.00
Avg. Loss -15006.00 -18304.00 -11708.00
Avg. Loss % -0.56 % -0.64 % -0.48 %
Avg. Bars Held 26.40 23.40 29.40
Max. Consecutive 6 4 5
Largest loss -64170.00 -64170.00 -23590.00
# bars in largest loss 22 22 17

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Max. trade drawdown -92745.00 -92745.00 -27300.00
Max. trade % drawdown -2.89 % -2.89 % -1.25 %
Max. system drawdown -143980.00 -152280.00 -85470.00
Max. system % drawdown -25.92 % -34.15 % -15.96 %
Recovery Factor 0.88 -0.59 2.54
CAR/MaxDD 118.43 -2.81 1455.63
RAR/MaxDD 162.93 -9.55 3367.08
Profit Factor 1.42 0.51 2.85
Payoff Ratio 1.89 0.72 3.57
Standard Error 34291.32 22131.20 35206.37
Risk-Reward Ratio 6.31 -40.86 31.84
Ulcer Index 11.08 14.66 6.40
Ulcer Performance Index 276.54 -6.92 3628.59
Sharpe Ratio of trades 3.25 -6.02 6.77
K-Ratio 0.0036 -0.0231 0.0180
 

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