I have attached a Back test report of a particular strategy.
Request members to suggest me whether this strategy is tradeable or not based on so many other metrics given in the report.
I know the NP alone is not the best criteria
Data taken for the test is from around 20Sept'11 to Current date
Scrip is Copper MCX
Only change is that the Initial capital for Copper is around 30k and not 500k as selected/required in Ami
Suggestions are most welcome
Statistics
All trades Long trades Short trades
Initial capital 500000 500000 500000
Ending capital 622921 561631.59 561289.42
Net Profit 122921 61631.59 61289.42
Net Profit % 24.58% 12.33% 12.26%
Exposure % 32.84% 15.83% 17.01%
Net Risk Adjusted Return % 74.86% 77.89% 72.05%
Annual Return % 114.71% 49.79% 49.47%
Risk Adjusted Return % 349.30% 314.62% 290.79%
All trades 248 120 (48.39 %) 128 (51.61 %)
*Avg. Profit/Loss 495.65 513.6 478.82
*Avg. Profit/Loss % 0.13% 0.14% 0.13%
*Avg. Bars Held 6.38 6.39 6.38
Winners 89 (35.89 %) 44 (17.74 %) 45 (18.15 %)
*Total Profit 267080.28 130572.68 136507.6
*Avg. Profit 3000.9 2967.56 3033.5
*Avg. Profit % 0.79% 0.78% 0.79%
*Avg. Bars Held 10.58 10.16 11
*Max. Consecutive 6 5 6
*Largest win 28644.04 28644.04 9093.56
*# bars in largest win 8 8 17
Losers 159 (64.11 %) 76 (30.65 %) 83 (33.47 %)
*Total Loss -144159.27 -68941.09 -75218.18
*Avg. Loss -906.66 -907.12 -906.24
*Avg. Loss % -0.23% -0.23% -0.23%
*Avg. Bars Held 4.03 4.21 3.87
*Max. Consecutive 11 9 13
*Largest loss -1255.57 -1255.57 -1111.32
*# bars in largest loss 4 4 3
Max. trade drawdown -4449.67 -4449.67 -2450.18
Max. trade % drawdown -1.19% -1.19% -0.63%
Max. system drawdown -19077.95 -11047.03 -17232.73
Max. system % drawdown -3.05% -2.01% -3.03%
Recovery Factor 6.44 5.58 3.56
CAR/MaxDD 37.6 24.76 16.35
RAR/MaxDD 114.49 156.43 96.12
Profit Factor 1.85 1.89 1.81
Payoff Ratio 3.31 3.27 3.35
Standard Error 15752.11 7308.14 10214
Risk-Reward Ratio 23.53 29.7 15.04
Ulcer Index 1.04 0.97 1.17
Ulcer Performance Index 105.27 45.71 37.79
Sharpe Ratio of trades 6.61 5.86 7.97
K-Ratio 0.0375 0.0474 0.024
Request members to suggest me whether this strategy is tradeable or not based on so many other metrics given in the report.
I know the NP alone is not the best criteria
Data taken for the test is from around 20Sept'11 to Current date
Scrip is Copper MCX
Only change is that the Initial capital for Copper is around 30k and not 500k as selected/required in Ami
Suggestions are most welcome
Statistics
All trades Long trades Short trades
Initial capital 500000 500000 500000
Ending capital 622921 561631.59 561289.42
Net Profit 122921 61631.59 61289.42
Net Profit % 24.58% 12.33% 12.26%
Exposure % 32.84% 15.83% 17.01%
Net Risk Adjusted Return % 74.86% 77.89% 72.05%
Annual Return % 114.71% 49.79% 49.47%
Risk Adjusted Return % 349.30% 314.62% 290.79%
All trades 248 120 (48.39 %) 128 (51.61 %)
*Avg. Profit/Loss 495.65 513.6 478.82
*Avg. Profit/Loss % 0.13% 0.14% 0.13%
*Avg. Bars Held 6.38 6.39 6.38
Winners 89 (35.89 %) 44 (17.74 %) 45 (18.15 %)
*Total Profit 267080.28 130572.68 136507.6
*Avg. Profit 3000.9 2967.56 3033.5
*Avg. Profit % 0.79% 0.78% 0.79%
*Avg. Bars Held 10.58 10.16 11
*Max. Consecutive 6 5 6
*Largest win 28644.04 28644.04 9093.56
*# bars in largest win 8 8 17
Losers 159 (64.11 %) 76 (30.65 %) 83 (33.47 %)
*Total Loss -144159.27 -68941.09 -75218.18
*Avg. Loss -906.66 -907.12 -906.24
*Avg. Loss % -0.23% -0.23% -0.23%
*Avg. Bars Held 4.03 4.21 3.87
*Max. Consecutive 11 9 13
*Largest loss -1255.57 -1255.57 -1111.32
*# bars in largest loss 4 4 3
Max. trade drawdown -4449.67 -4449.67 -2450.18
Max. trade % drawdown -1.19% -1.19% -0.63%
Max. system drawdown -19077.95 -11047.03 -17232.73
Max. system % drawdown -3.05% -2.01% -3.03%
Recovery Factor 6.44 5.58 3.56
CAR/MaxDD 37.6 24.76 16.35
RAR/MaxDD 114.49 156.43 96.12
Profit Factor 1.85 1.89 1.81
Payoff Ratio 3.31 3.27 3.35
Standard Error 15752.11 7308.14 10214
Risk-Reward Ratio 23.53 29.7 15.04
Ulcer Index 1.04 0.97 1.17
Ulcer Performance Index 105.27 45.71 37.79
Sharpe Ratio of trades 6.61 5.86 7.97
K-Ratio 0.0375 0.0474 0.024