performance of my system

#1
this is backtest report of my system. i have tested this on nifty jan 2002 to oct 2012, as i have only this much data for backtesting. kindly comment on performance of my system,


Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 8910067.99 5784065.83 3136002.17
Net Profit 8900067.99 5774065.83 3126002.17
Net Profit % 89000.68 % 57740.66 % 31260.02 %
Exposure % 98.97 % 64.49 % 34.49 %
Net Risk Adjusted Return % 89923.08 % 89540.02 % 90639.32 %
Annual Return % 87.05 % 79.75 % 69.88 %
Risk Adjusted Return % 87.96 % 123.67 % 202.63 %
________________________________________
All trades 735 368 (50.07 %) 367 (49.93 %)
Avg. Profit/Loss 12108.94 15690.40 8517.72
Avg. Profit/Loss % 0.99 % 1.28 % 0.70 %
Avg. Bars Held 11.76 15.01 8.51
________________________________________
Winners 328 (44.63 %) 169 (22.99 %) 159 (21.63 %)
Total Profit 16171022.57 9000426.21 7170596.36
Avg. Profit 49301.90 53256.96 45098.09
Avg. Profit % 3.38 % 3.79 % 2.93 %
Avg. Bars Held 19.85 27.15 12.10
Max. Consecutive 8 6 6
Largest win 935382.59 935382.59 501025.24
# bars in largest win 96 96 25
________________________________________
Losers 407 (55.37 %) 199 (27.07 %) 208 (28.30 %)
Total Loss -7270954.57 -3226360.38 -4044594.20
Avg. Loss -17864.75 -16212.87 -19445.16
Avg. Loss % -0.93 % -0.85 % -1.01 %
Avg. Bars Held 5.25 4.70 5.77
Max. Consecutive 12 10 11
Largest loss -146396.61 -146396.61 -135298.84
# bars in largest loss 5 5 5
________________________________________
Max. trade drawdown -339007.61 -255936.62 -339007.61
Max. trade % drawdown -8.03 % -8.03 % -7.36 %
Max. system drawdown -863585.69 -819082.93 -579108.00
Max. system % drawdown -11.74 % -23.00 % -37.83 %
Recovery Factor 10.31 7.05 5.40
CAR/MaxDD 7.42 3.47 1.85
RAR/MaxDD 7.49 5.38 5.36
Profit Factor 2.22 2.79 1.77
Payoff Ratio 2.76 3.28 2.32
Standard Error 1312916.18 852696.80 495554.69
Risk-Reward Ratio 0.52 0.52 0.49
Ulcer Index 3.55 4.73 12.67
Ulcer Performance Index 23.01 15.72 5.09
Sharpe Ratio of trades 2.04 1.92 2.14
K-Ratio 0.0184 0.0184 0.0171
 
#2
Hi Manish,

The stats look impressive. And I would suggest that you should look at the drawdown details which look unreal to me. And if in real life, it turns out to be true then you have hit jackpot.

Also consider slippage and brokerage into your analysis if you have not already. Many times, the returns become negative when the costs of trading are considered.

All the best for trading success.
 
#3
hi winnerhiren
thank you for your valuable comment.i have taken 0.05% brokerage charge and my system is not high frequency system as it gives only 735 trades in around 10 years ,around 6 to 7 trades per month and my system gives buying and selling price well in advance , so slippage is little concern,and will eat only minor portion of profit.i have also checked my system again and again on excel sheet trade by trade and found same result, as given by amibroker backtester, so drawdown and other data is correct.i will appreciate your valuable comment.
 

rpc

Active Member
#4
Hi Manish811
Your returns are truly great !. You seem to have achieved both good profitability and low Drawdowns with low no of trades and 98 % exposure. Only Risk Reward ratio is low but since you have already considered commission also, You seem to have a Holy Grail .
Best Luck with your system
 

DSM

Well-Known Member
#5
Manish,

The results achieved can be as a resulting of 'optimising' the system. It means that the paramaters are tweaked till maximum possible returns are achieved. In real life ofcourse the reality is different.

If you want to genuinely find how your system will perform, then run test for your system for independent periods of time, and not from Jan. 2002 to Oct. 2012i.e run report for each individual year Jan. to Dec. and then check the result how the system performs with regards to expectancy, max drawdown, sharpe ratio etc. each year. The results will be totally different, even if in aggregate it is positive.

Quote from another post :

The postdictive error is just a fancy way of saying that you have used information only available “after the fact” to test your system. Believe it or not, this is a very common error when testing trading systems.

Good luck.

this is backtest report of my system. i have tested this on nifty jan 2002 to oct 2012, as i have only this much data for backtesting. kindly comment on performance of my system,


Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 8910067.99 5784065.83 3136002.17
Net Profit 8900067.99 5774065.83 3126002.17
Net Profit % 89000.68 % 57740.66 % 31260.02 %
Exposure % 98.97 % 64.49 % 34.49 %
Net Risk Adjusted Return % 89923.08 % 89540.02 % 90639.32 %
Annual Return % 87.05 % 79.75 % 69.88 %
Risk Adjusted Return % 87.96 % 123.67 % 202.63 %
________________________________________
All trades 735 368 (50.07 %) 367 (49.93 %)
Avg. Profit/Loss 12108.94 15690.40 8517.72
Avg. Profit/Loss % 0.99 % 1.28 % 0.70 %
Avg. Bars Held 11.76 15.01 8.51
________________________________________
Winners 328 (44.63 %) 169 (22.99 %) 159 (21.63 %)
Total Profit 16171022.57 9000426.21 7170596.36
Avg. Profit 49301.90 53256.96 45098.09
Avg. Profit % 3.38 % 3.79 % 2.93 %
Avg. Bars Held 19.85 27.15 12.10
Max. Consecutive 8 6 6
Largest win 935382.59 935382.59 501025.24
# bars in largest win 96 96 25
________________________________________
Losers 407 (55.37 %) 199 (27.07 %) 208 (28.30 %)
Total Loss -7270954.57 -3226360.38 -4044594.20
Avg. Loss -17864.75 -16212.87 -19445.16
Avg. Loss % -0.93 % -0.85 % -1.01 %
Avg. Bars Held 5.25 4.70 5.77
Max. Consecutive 12 10 11
Largest loss -146396.61 -146396.61 -135298.84
# bars in largest loss 5 5 5
________________________________________
Max. trade drawdown -339007.61 -255936.62 -339007.61
Max. trade % drawdown -8.03 % -8.03 % -7.36 %
Max. system drawdown -863585.69 -819082.93 -579108.00
Max. system % drawdown -11.74 % -23.00 % -37.83 %
Recovery Factor 10.31 7.05 5.40
CAR/MaxDD 7.42 3.47 1.85
RAR/MaxDD 7.49 5.38 5.36
Profit Factor 2.22 2.79 1.77
Payoff Ratio 2.76 3.28 2.32
Standard Error 1312916.18 852696.80 495554.69
Risk-Reward Ratio 0.52 0.52 0.49
Ulcer Index 3.55 4.73 12.67
Ulcer Performance Index 23.01 15.72 5.09
Sharpe Ratio of trades 2.04 1.92 2.14
K-Ratio 0.0184 0.0184 0.0171
 
#6
this is year wise backtesting report of my system.in some years return is low , but if market does not moves then no system can make return.



Jan 2002 to dec 2002
Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 13036.50 11675.35 11361.15
Net Profit 3036.50 1675.35 1361.15
Net Profit % 30.36 % 16.75 % 13.61 %
Exposure % 98.27 % 52.72 % 45.55 %
Net Risk Adjusted Return % 30.90 % 31.78 % 29.88 %
Annual Return % 30.36 % 16.75 % 13.61 %
Risk Adjusted Return % 30.90 % 31.78 % 29.88 %
________________________________________
All trades 71 36 (50.70 %) 35 (49.30 %)
Avg. Profit/Loss 42.77 46.54 38.89
Avg. Profit/Loss % 0.40 % 0.40 % 0.39 %
Avg. Bars Held 11.42 12.03 10.80
________________________________________
Winners 27 (38.03 %) 12 (16.90 %) 15 (21.13 %)
Total Profit 5990.46 2881.72 3108.74
Avg. Profit 221.87 240.14 207.25
Avg. Profit % 2.13 % 2.21 % 2.07 %
Avg. Bars Held 16.89 20.00 14.40
Max. Consecutive 3 4 5
Largest win 1580.73 1580.73 486.71
# bars in largest win 100 100 22
________________________________________
Losers 44 (61.97 %) 24 (33.80 %) 20 (28.17 %)
Total Loss -2953.97 -1206.37 -1747.59
Avg. Loss -67.14 -50.27 -87.38
Avg. Loss % -0.67 % -0.50 % -0.87 %
Avg. Bars Held 8.07 8.04 8.10
Max. Consecutive 6 6 4
Largest loss -263.70 -199.01 -263.70
# bars in largest loss 4 30 4
________________________________________
Max. trade drawdown -454.23 -454.23 -287.16
Max. trade % drawdown -4.55 % -4.55 % -3.01 %
Max. system drawdown -982.81 -795.36 -763.99
Max. system % drawdown -9.81 % -7.71 % -7.57 %
Recovery Factor 3.09 2.11 1.78
CAR/MaxDD 3.10 2.17 1.80
RAR/MaxDD 3.15 4.12 3.95
Profit Factor 2.03 2.39 1.78
Payoff Ratio 3.30 4.78 2.37
Standard Error 473.19 377.06 310.44
Risk-Reward Ratio 7.06 2.78 7.38
Ulcer Index 3.99 4.06 3.27
Ulcer Performance Index 6.26 2.80 2.51
Sharpe Ratio of trades 1.24 1.03 1.58
K-Ratio 0.0742 0.0292 0.0777


Jan 2003 to dec 2003
Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 20639.94 19836.56 10803.39
Net Profit 10639.94 9836.56 803.39
Net Profit % 106.40 % 98.37 % 8.03 %
Exposure % 98.68 % 64.95 % 33.73 %
Net Risk Adjusted Return % 107.83 % 151.45 % 23.82 %
Annual Return % 106.40 % 98.37 % 8.03 %
Risk Adjusted Return % 107.83 % 151.45 % 23.82 %
________________________________________
All trades 52 26 (50.00 %) 26 (50.00 %)
Avg. Profit/Loss 204.61 378.33 30.90
Avg. Profit/Loss % 1.52 % 2.73 % 0.31 %
Avg. Bars Held 15.35 19.88 10.81
________________________________________
Winners 22 (42.31 %) 10 (19.23 %) 12 (23.08 %)
Total Profit 12954.02 10866.89 2087.13
Avg. Profit 588.82 1086.69 173.93
Avg. Profit % 4.55 % 8.07 % 1.62 %
Avg. Bars Held 27.77 43.80 14.42
Max. Consecutive 5 5 6
Largest win 3740.64 3740.64 583.57
# bars in largest win 77 77 24
________________________________________
Losers 30 (57.69 %) 16 (30.77 %) 14 (26.92 %)
Total Loss -2314.08 -1030.34 -1283.75
Avg. Loss -77.14 -64.40 -91.70
Avg. Loss % -0.71 % -0.61 % -0.82 %
Avg. Bars Held 6.23 4.94 7.71
Max. Consecutive 11 10 5
Largest loss -269.39 -187.29 -269.39
# bars in largest loss 10 2 10
________________________________________
Max. trade drawdown -745.42 -745.42 -672.36
Max. trade % drawdown -4.32 % -4.32 % -3.97 %
Max. system drawdown -1119.86 -932.71 -717.52
Max. system % drawdown -7.68 % -6.27 % -6.30 %
Recovery Factor 9.50 10.55 1.12
CAR/MaxDD 13.86 15.69 1.28
RAR/MaxDD 14.04 24.15 3.78
Profit Factor 5.60 10.55 1.63
Payoff Ratio 7.63 16.88 1.90
Standard Error 1012.17 1112.77 220.89
Risk-Reward Ratio 10.28 8.50 4.29
Ulcer Index 2.52 3.02 3.53
Ulcer Performance Index 40.15 30.74 0.75
Sharpe Ratio of trades 2.01 2.47 1.19
K-Ratio 0.1079 0.0892 0.0450


Jan 2004 to dec 2004

Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 19904.43 16526.63 13377.80
Net Profit 9904.43 6526.63 3377.80
Net Profit % 99.04 % 65.27 % 33.78 %
Exposure % 95.56 % 63.58 % 31.99 %
Net Risk Adjusted Return % 103.64 % 102.66 % 105.59 %
Annual Return % 99.04 % 65.27 % 33.78 %
Risk Adjusted Return % 103.64 % 102.66 % 105.59 %
________________________________________
All trades 54 27 (50.00 %) 27 (50.00 %)
Avg. Profit/Loss 183.42 241.73 125.10
Avg. Profit/Loss % 1.34 % 1.55 % 1.13 %
Avg. Bars Held 14.17 18.52 9.81
________________________________________
Winners 26 (48.15 %) 15 (27.78 %) 11 (20.37 %)
Total Profit 13460.22 8097.77 5362.45
Avg. Profit 517.70 539.85 487.50
Avg. Profit % 3.82 % 3.63 % 4.08 %
Avg. Bars Held 25.23 30.60 17.91
Max. Consecutive 5 5 2
Largest win 2739.02 2739.02 1707.48
# bars in largest win 126 126 8
________________________________________
Losers 28 (51.85 %) 12 (22.22 %) 16 (29.63 %)
Total Loss -3555.80 -1571.15 -1984.65
Avg. Loss -126.99 -130.93 -124.04
Avg. Loss % -0.96 % -1.05 % -0.89 %
Avg. Bars Held 3.89 3.42 4.25
Max. Consecutive 4 3 5
Largest loss -349.90 -267.50 -349.90
# bars in largest loss 2 3 2
________________________________________
Max. trade drawdown -792.02 -780.16 -792.02
Max. trade % drawdown -7.36 % -4.51 % -7.36 %
Max. system drawdown -1599.35 -1028.96 -1498.16
Max. system % drawdown -10.16 % -8.06 % -10.10 %
Recovery Factor 6.19 6.34 2.25
CAR/MaxDD 9.75 8.10 3.34
RAR/MaxDD 10.20 12.74 10.45
Profit Factor 3.79 5.15 2.70
Payoff Ratio 4.08 4.12 3.93
Standard Error 904.69 474.81 981.19
Risk-Reward Ratio 11.77 13.65 4.25
Ulcer Index 3.14 2.58 6.00
Ulcer Performance Index 29.85 23.20 4.73
Sharpe Ratio of trades 2.54 2.52 2.78
K-Ratio 0.1246 0.1444 0.0450



Jan 2005 to dec 2005
Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 15941.81 15428.11 10513.70
Net Profit 5941.81 5428.11 513.70
Net Profit % 59.42 % 54.28 % 5.14 %
Exposure % 98.76 % 72.93 % 25.83 %
Net Risk Adjusted Return % 60.17 % 74.43 % 19.89 %
Annual Return % 60.24 % 55.02 % 5.20 %
Risk Adjusted Return % 61.00 % 75.45 % 20.11 %
________________________________________
All trades 66 33 (50.00 %) 33 (50.00 %)
Avg. Profit/Loss 90.03 164.49 15.57
Avg. Profit/Loss % 0.75 % 1.32 % 0.19 %
Avg. Bars Held 11.83 17.00 6.67
________________________________________
Winners 24 (36.36 %) 14 (21.21 %) 10 (15.15 %)
Total Profit 9517.81 6631.19 2886.62
Avg. Profit 396.58 473.66 288.66
Avg. Profit % 3.26 % 3.82 % 2.48 %
Avg. Bars Held 25.38 35.71 10.90
Max. Consecutive 3 3 3
Largest win 2493.38 2493.38 667.80
# bars in largest win 110 110 28
________________________________________
Losers 42 (63.64 %) 19 (28.79 %) 23 (34.85 %)
Total Loss -3576.00 -1203.08 -2372.92
Avg. Loss -85.14 -63.32 -103.17
Avg. Loss % -0.68 % -0.53 % -0.81 %
Avg. Bars Held 4.10 3.21 4.83
Max. Consecutive 7 3 11
Largest loss -328.77 -183.77 -328.77
# bars in largest loss 5 4 5
________________________________________
Max. trade drawdown -633.14 -633.14 -380.64
Max. trade % drawdown -4.57 % -4.57 % -3.12 %
Max. system drawdown -1006.91 -749.05 -1521.86
Max. system % drawdown -6.88 % -5.50 % -13.37 %
Recovery Factor 5.90 7.25 0.34
CAR/MaxDD 8.76 10.00 0.39
RAR/MaxDD 8.87 13.71 1.50
Profit Factor 2.66 5.51 1.22
Payoff Ratio 4.66 7.48 2.80
Standard Error 537.87 455.44 335.79
Risk-Reward Ratio 10.71 11.84 1.09
Ulcer Index 2.31 1.94 5.69
Ulcer Performance Index 23.70 25.57 -0.04
Sharpe Ratio of trades 1.81 2.08 0.86
K-Ratio 0.1136 0.1257 0.0116

Jan 2006 to dec 2006
Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 19844.85 17561.90 12282.95
Net Profit 9844.85 7561.90 2282.95
Net Profit % 98.45 % 75.62 % 22.83 %
Exposure % 96.34 % 79.65 % 16.69 %
Net Risk Adjusted Return % 102.19 % 94.94 % 136.79 %
Annual Return % 99.96 % 76.72 % 23.11 %
Risk Adjusted Return % 103.76 % 96.32 % 138.47 %
________________________________________
All trades 50 25 (50.00 %) 25 (50.00 %)
Avg. Profit/Loss 196.90 302.48 91.32
Avg. Profit/Loss % 1.45 % 2.19 % 0.71 %
Avg. Bars Held 15.20 24.48 5.92
________________________________________
Winners 26 (52.00 %) 16 (32.00 %) 10 (20.00 %)
Total Profit 13792.66 9493.79 4298.87
Avg. Profit 530.49 593.36 429.89
Avg. Profit % 3.97 % 4.39 % 3.31 %
Avg. Bars Held 25.38 36.88 7.00
Max. Consecutive 4 5 3
Largest win 2248.99 2248.99 958.71
# bars in largest win 164 164 9
________________________________________
Losers 24 (48.00 %) 9 (18.00 %) 15 (30.00 %)
Total Loss -3947.80 -1931.89 -2015.91
Avg. Loss -164.49 -214.65 -134.39
Avg. Loss % -1.29 % -1.72 % -1.03 %
Avg. Bars Held 4.17 2.44 5.20
Max. Consecutive 4 3 5
Largest loss -587.30 -587.30 -259.87
# bars in largest loss 3 3 2
________________________________________
Max. trade drawdown -812.73 -623.29 -812.73
Max. trade % drawdown -6.49 % -5.02 % -6.49 %
Max. system drawdown -1338.07 -1584.22 -909.19
Max. system % drawdown -10.68 % -12.44 % -7.88 %
Recovery Factor 7.36 4.77 2.51
CAR/MaxDD 9.36 6.16 2.93
RAR/MaxDD 9.71 7.74 17.57
Profit Factor 3.49 4.91 2.13
Payoff Ratio 3.23 2.76 3.20
Standard Error 415.74 501.70 468.39
Risk-Reward Ratio 24.47 14.95 5.71
Ulcer Index 1.92 3.28 4.86
Ulcer Performance Index 49.24 21.74 3.64
Sharpe Ratio of trades 2.52 2.52 3.06
K-Ratio 0.2574 0.1572 0.0601


Jan 2007 to dec 2007
Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 16471.20 16498.61 9972.59
Net Profit 6471.20 6498.61 -27.41
Net Profit % 64.71 % 64.99 % -0.27 %
Exposure % 98.26 % 70.95 % 27.31 %
Net Risk Adjusted Return % 65.86 % 91.59 % -1.00 %
Annual Return % 64.94 % 65.21 % -0.27 %
Risk Adjusted Return % 66.09 % 91.91 % -1.01 %
________________________________________
All trades 60 30 (50.00 %) 30 (50.00 %)
Avg. Profit/Loss 107.85 216.62 -0.91
Avg. Profit/Loss % 0.89 % 1.69 % 0.08 %
Avg. Bars Held 13.23 18.67 7.80
________________________________________
Winners 32 (53.33 %) 19 (31.67 %) 13 (21.67 %)
Total Profit 10676.56 8246.47 2430.09
Avg. Profit 333.64 434.02 186.93
Avg. Profit % 2.73 % 3.44 % 1.69 %
Avg. Bars Held 20.50 27.26 10.62
Max. Consecutive 6 6 5
Largest win 2134.27 2134.27 856.48
# bars in largest win 66 66 22
________________________________________
Losers 28 (46.67 %) 11 (18.33 %) 17 (28.33 %)
Total Loss -4205.36 -1747.86 -2457.50
Avg. Loss -150.19 -158.90 -144.56
Avg. Loss % -1.22 % -1.32 % -1.15 %
Avg. Bars Held 4.93 3.82 5.65
Max. Consecutive 4 2 4
Largest loss -471.31 -428.43 -471.31
# bars in largest loss 8 6 8
________________________________________
Max. trade drawdown -1348.32 -1348.32 -744.96
Max. trade % drawdown -8.03 % -8.03 % -4.46 %
Max. system drawdown -1751.37 -1348.32 -1171.63
Max. system % drawdown -10.78 % -8.38 % -10.51 %
Recovery Factor 3.69 4.82 -0.02
CAR/MaxDD 6.02 7.78 -0.03
RAR/MaxDD 6.13 10.97 -0.10
Profit Factor 2.54 4.72 0.99
Payoff Ratio 2.22 2.73 1.29
Standard Error 729.41 787.89 337.84
Risk-Reward Ratio 9.52 8.59 0.53
Ulcer Index 3.50 2.98 6.28
Ulcer Performance Index 17.03 20.07 -0.90
Sharpe Ratio of trades 1.87 2.62 0.16
K-Ratio 0.1003 0.0905 0.0056


Jan 2008 to dec 2008

Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 55817.84 29012.49 36805.35
Net Profit 45817.84 19012.49 26805.35
Net Profit % 458.18 % 190.12 % 268.05 %
Exposure % 96.75 % 47.29 % 49.46 %
Net Risk Adjusted Return % 473.58 % 402.04 % 541.98 %
Annual Return % 455.56 % 189.28 % 266.75 %
Risk Adjusted Return % 470.88 % 400.26 % 539.34 %
________________________________________
All trades 118 59 (50.00 %) 59 (50.00 %)
Avg. Profit/Loss 388.29 322.25 454.33
Avg. Profit/Loss % 1.55 % 1.05 % 2.05 %
Avg. Bars Held 7.05 6.92 7.19
________________________________________
Winners 70 (59.32 %) 33 (27.97 %) 37 (31.36 %)
Total Profit 63727.12 27050.11 36677.01
Avg. Profit 910.39 819.70 991.27
Avg. Profit % 3.61 % 2.97 % 4.18 %
Avg. Bars Held 8.93 9.64 8.30
Max. Consecutive 8 5 5
Largest win 7197.38 6769.49 7197.38
# bars in largest win 20 9 20
________________________________________
Losers 48 (40.68 %) 26 (22.03 %) 22 (18.64 %)
Total Loss -17909.28 -8037.62 -9871.66
Avg. Loss -373.11 -309.14 -448.71
Avg. Loss % -1.46 % -1.40 % -1.54 %
Avg. Bars Held 4.31 3.46 5.32
Max. Consecutive 3 3 4
Largest loss -2306.32 -1413.10 -2306.32
# bars in largest loss 4 2 4
________________________________________
Max. trade drawdown -3038.48 -3038.48 -2719.52
Max. trade % drawdown -6.85 % -6.85 % -6.53 %
Max. system drawdown -4758.21 -3557.39 -5221.54
Max. system % drawdown -10.70 % -21.32 % -12.42 %
Recovery Factor 9.63 5.34 5.13
CAR/MaxDD 42.59 8.88 21.47
RAR/MaxDD 44.02 18.78 43.41
Profit Factor 3.56 3.37 3.72
Payoff Ratio 2.44 2.65 2.21
Standard Error 6672.36 2878.05 4117.09
Risk-Reward Ratio 6.08 4.99 6.36
Ulcer Index 3.14 5.38 4.58
Ulcer Performance Index 143.59 34.21 57.09
Sharpe Ratio of trades 3.77 3.14 4.56
K-Ratio 0.0648 0.0532 0.0678

Jan 2009 to dec 2009
Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 26898.65 23995.26 12903.39
Net Profit 16898.65 13995.26 2903.39
Net Profit % 168.99 % 139.95 % 29.03 %
Exposure % 100.00 % 73.38 % 26.62 %
Net Risk Adjusted Return % 168.99 % 190.72 % 109.07 %
Annual Return % 169.72 % 140.53 % 29.12 %
Risk Adjusted Return % 169.72 % 191.51 % 109.41 %
________________________________________
All trades 55 28 (50.91 %) 27 (49.09 %)
Avg. Profit/Loss 307.25 499.83 107.53
Avg. Profit/Loss % 1.99 % 3.15 % 0.80 %
Avg. Bars Held 13.64 19.21 7.85
________________________________________
Winners 26 (47.27 %) 13 (23.64 %) 13 (23.64 %)
Total Profit 21629.32 15326.39 6302.93
Avg. Profit 831.90 1178.95 484.84
Avg. Profit % 5.21 % 7.47 % 2.95 %
Avg. Bars Held 23.15 34.62 11.69
Max. Consecutive 4 2 5
Largest win 4679.35 4679.35 1786.25
# bars in largest win 95 95 26
________________________________________
Losers 29 (52.73 %) 15 (27.27 %) 14 (25.45 %)
Total Loss -4730.68 -1331.14 -3399.54
Avg. Loss -163.13 -88.74 -242.82
Avg. Loss % -0.89 % -0.60 % -1.20 %
Avg. Bars Held 5.10 5.87 4.29
Max. Consecutive 6 3 3
Largest loss -751.91 -189.13 -751.91
# bars in largest loss 6 4 6
________________________________________
Max. trade drawdown -1274.72 -1274.72 -934.33
Max. trade % drawdown -6.74 % -6.74 % -3.88 %
Max. system drawdown -1852.79 -1274.72 -1607.07
Max. system % drawdown -9.05 % -7.22 % -11.75 %
Recovery Factor 9.12 10.98 1.81
CAR/MaxDD 18.75 19.45 2.48
RAR/MaxDD 18.75 26.51 9.32
Profit Factor 4.57 11.51 1.85
Payoff Ratio 5.10 13.29 2.00
Standard Error 1239.37 1129.21 463.96
Risk-Reward Ratio 16.22 14.90 7.07
Ulcer Index 2.89 3.16 4.90
Ulcer Performance Index 56.79 42.81 4.84
Sharpe Ratio of trades 2.16 2.16 2.65
K-Ratio 0.1771 0.1627 0.0772


Jan 2010 dec 2010
Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 11869.55 11925.96 9943.59
Net Profit 1869.55 1925.96 -56.41
Net Profit % 18.70 % 19.26 % -0.56 %
Exposure % 97.07 % 62.80 % 34.27 %
Net Risk Adjusted Return % 19.26 % 30.67 % -1.65 %
Annual Return % 18.92 % 19.49 % -0.57 %
Risk Adjusted Return % 19.49 % 31.04 % -1.66 %
________________________________________
All trades 76 38 (50.00 %) 38 (50.00 %)
Avg. Profit/Loss 24.60 50.68 -1.48
Avg. Profit/Loss % 0.25 % 0.50 % 0.00 %
Avg. Bars Held 10.58 13.39 7.76
________________________________________
Winners 25 (32.89 %) 14 (18.42 %) 11 (14.47 %)
Total Profit 6515.21 3517.34 2997.87
Avg. Profit 260.61 251.24 272.53
Avg. Profit % 2.48 % 2.40 % 2.57 %
Avg. Bars Held 20.80 27.14 12.73
Max. Consecutive 4 2 2
Largest win 1183.69 1183.69 760.19
# bars in largest win 94 94 21
________________________________________
Losers 51 (67.11 %) 24 (31.58 %) 27 (35.53 %)
Total Loss -4645.66 -1591.39 -3054.27
Avg. Loss -91.09 -66.31 -113.12
Avg. Loss % -0.84 % -0.61 % -1.04 %
Avg. Bars Held 5.57 5.38 5.74
Max. Consecutive 12 6 9
Largest loss -302.43 -133.72 -302.43
# bars in largest loss 6 3 6
________________________________________
Max. trade drawdown -339.27 -302.24 -339.27
Max. trade % drawdown -2.98 % -2.67 % -2.98 %
Max. system drawdown -1355.36 -531.18 -1476.89
Max. system % drawdown -11.74 % -4.84 % -13.42 %
Recovery Factor 1.38 3.63 -0.04
CAR/MaxDD 1.61 4.02 -0.04
RAR/MaxDD 1.66 6.41 -0.12
Profit Factor 1.40 2.21 0.98
Payoff Ratio 2.86 3.79 2.41
Standard Error 338.76 240.11 265.25
Risk-Reward Ratio 4.30 8.48 -2.19
Ulcer Index 5.24 2.31 8.22
Ulcer Performance Index 2.58 6.10 -0.73
Sharpe Ratio of trades 0.71 1.26 -0.22
K-Ratio 0.0448 0.0884 -0.0228


Jan 2011 to dec 2011
Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 15269.16 11252.43 14016.73
Net Profit 5269.16 1252.43 4016.73
Net Profit % 52.69 % 12.52 % 40.17 %
Exposure % 98.37 % 46.21 % 52.17 %
Net Risk Adjusted Return % 53.56 % 27.11 % 77.00 %
Annual Return % 53.41 % 12.67 % 40.69 %
Risk Adjusted Return % 54.29 % 27.42 % 78.00 %
________________________________________
All trades 99 49 (49.49 %) 50 (50.51 %)
Avg. Profit/Loss 53.22 25.56 80.33
Avg. Profit/Loss % 0.45 % 0.22 % 0.69 %
Avg. Bars Held 8.33 7.96 8.70
________________________________________
Winners 38 (38.38 %) 18 (18.18 %) 20 (20.20 %)
Total Profit 11913.42 4377.05 7536.38
Avg. Profit 313.51 243.17 376.82
Avg. Profit % 2.61 % 2.01 % 3.14 %
Avg. Bars Held 14.71 14.78 14.65
Max. Consecutive 4 2 2
Largest win 1095.00 663.69 1095.00
# bars in largest win 25 61 25
________________________________________
Losers 61 (61.62 %) 31 (31.31 %) 30 (30.30 %)
Total Loss -6644.26 -3124.61 -3519.64
Avg. Loss -108.92 -100.79 -117.32
Avg. Loss % -0.89 % -0.82 % -0.95 %
Avg. Bars Held 4.36 4.00 4.73
Max. Consecutive 6 6 6
Largest loss -319.95 -319.95 -295.70
# bars in largest loss 5 5 5
________________________________________
Max. trade drawdown -446.60 -446.60 -366.60
Max. trade % drawdown -3.44 % -3.44 % -2.99 %
Max. system drawdown -1464.72 -1635.28 -661.04
Max. system % drawdown -11.28 % -14.40 % -5.59 %
Recovery Factor 3.60 0.77 6.08
CAR/MaxDD 4.73 0.88 7.28
RAR/MaxDD 4.81 1.91 13.96
Profit Factor 1.79 1.40 2.14
Payoff Ratio 2.88 2.41 3.21
Standard Error 607.52 369.66 389.46
Risk-Reward Ratio 4.67 1.29 6.06
Ulcer Index 4.20 5.79 2.74
Ulcer Performance Index 11.44 1.26 12.90
Sharpe Ratio of trades 1.67 0.97 2.26
K-Ratio 0.0491 0.0136 0.0637


Jan 2012 to sep 2012
Statistics
All trades Long trades Short trades
Initial capital 10000.00 10000.00 10000.00
Ending capital 12683.75 12544.67 10139.07
Net Profit 2683.75 2544.67 139.07
Net Profit % 26.84 % 25.45 % 1.39 %
Exposure % 100.00 % 61.26 % 38.74 %
Net Risk Adjusted Return % 26.84 % 41.54 % 3.59 %
Annual Return % 37.90 % 35.86 % 1.88 %
Risk Adjusted Return % 37.90 % 58.54 % 4.87 %
________________________________________
All trades 36 18 (50.00 %) 18 (50.00 %)
Avg. Profit/Loss 74.55 141.37 7.73
Avg. Profit/Loss % 0.71 % 1.34 % 0.07 %
Avg. Bars Held 16.42 19.89 12.94
________________________________________
Winners 14 (38.89 %) 6 (16.67 %) 8 (22.22 %)
Total Profit 4550.39 3548.85 1001.54
Avg. Profit 325.03 591.47 125.19
Avg. Profit % 3.09 % 5.61 % 1.20 %
Avg. Bars Held 30.86 48.67 17.50
Max. Consecutive 5 3 3
Largest win 1331.54 1331.54 513.43
# bars in largest win 96 96 26
________________________________________
Losers 22 (61.11 %) 12 (33.33 %) 10 (27.78 %)
Total Loss -1866.65 -1004.18 -862.47
Avg. Loss -84.85 -83.68 -86.25
Avg. Loss % -0.81 % -0.79 % -0.84 %
Avg. Bars Held 7.23 5.50 9.30
Max. Consecutive 6 9 6
Largest loss -300.09 -177.87 -300.09
# bars in largest loss 5 3 5
________________________________________
Max. trade drawdown -482.59 -364.33 -482.59
Max. trade % drawdown -4.25 % -3.24 % -4.25 %
Max. system drawdown -1229.34 -1165.99 -707.81
Max. system % drawdown -10.83 % -10.02 % -7.02 %
Recovery Factor 2.18 2.18 0.20
CAR/MaxDD 3.50 3.58 0.27
RAR/MaxDD 3.50 5.84 0.69
Profit Factor 2.44 3.53 1.16
Payoff Ratio 3.83 7.07 1.45
Standard Error 362.44 356.00 146.75
Risk-Reward Ratio 8.01 5.38 6.72
Ulcer Index 4.27 4.33 3.50
Ulcer Performance Index 7.62 7.03 -1.00
Sharpe Ratio of trades 1.36 1.98 -0.06
K-Ratio 0.0726 0.0488 0.0609
 

rajsumi121

Well-Known Member
#7
please guide us about your system .... seems very good system in stats .
 

rkkarnani

Well-Known Member
#10
Good job indeed ! Please move your thread to a proper section from the "Introduction" section. Surprising that you are here from Dec 2009 and you start this thread in Introduction Section. I had thought you have joined only now. A thread in proper section will help you get more response.
Thanks.
 

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