Statistics
All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 493999161.59 315630195.44 178468966.14
Net Profit 493899161.59 315530195.44 178368966.14
Net Profit % 493899.16 % 315530.20 % 178368.97 %
Exposure % 73.40 % 38.71 % 34.69 %
Net Risk Adjusted Return % 672874.22 % 815046.02 % 514205.96 %
Annual Return % 6928.51 % 5518.10 % 4124.56 %
Risk Adjusted Return % 9439.20 % 14253.80 % 11890.37 %
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All trades 457 242 (52.95 %) 215 (47.05 %)
Avg. Profit/Loss 1080742.15 1303843.78 829623.10
Avg. Profit/Loss % 2.25 % 2.48 % 1.98 %
Avg. Bars Held 1.96 1.96 1.97
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Winners 369 (80.74 %) 199 (43.54 %) 170 (37.20 %)
Total Profit 547192419.73 335130627.27 212061792.47
Avg. Profit 1482906.29 1684073.50 1247422.31
Avg. Profit % 3.04 % 3.20 % 2.86 %
Avg. Bars Held 1.96 1.95 1.96
Max. Consecutive 25 21 16
Largest win 49272709.89 49272709.89 15190232.86
# bars in largest win 2 2 1
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Losers 88 (19.26 %) 43 (9.41 %) 45 (9.85 %)
Total Loss -53293258.15 -19600431.82 -33692826.33
Avg. Loss -605605.21 -455824.00 -748729.47
Avg. Loss % -1.08 % -0.82 % -1.32 %
Avg. Bars Held 2.00 2.00 2.00
Max. Consecutive 4 3 3
Largest loss -9231745.12 -9231745.12 -7650951.17
# bars in largest loss 2 2 2
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Max. trade drawdown -9231745.12 -9231745.12 -7650951.17
Max. trade % drawdown -9.02 % -2.48 % -9.02 %
Max. system drawdown -24689388.44 -15716026.55 -13808201.84
Max. system % drawdown -5.18 % -6.00 % -13.29 %
Recovery Factor 20.00 20.08 12.92
CAR/MaxDD 1336.33 919.22 310.28
RAR/MaxDD 1820.57 2374.45 894.49
Profit Factor 10.27 17.10 6.29
Payoff Ratio 2.45 3.69 1.67
Standard Error 75092165.41 53003768.89 25500489.19
Risk-Reward Ratio 3.07 2.66 3.49
Ulcer Index 0.94 1.22 2.01
Ulcer Performance Index 7397.17 4507.30 2050.74
Sharpe Ratio of trades 11.31 11.55 11.19
K-Ratio 0.0801 0.0696 0.0913
Here is the Amibroker AFL.
/*Copy Rights Reserved - SCF - 01/01/2009*/
RANGE = High-Low;
REQRANGE = RANGE/5;
RANGE1= High - REQRANGE;
RANGE2= High-Open;
RANGE3 =Low +REQRANGE;
RANGE4=Close-Low;
RANGE5=Open>RANGE1;
RANGE6=Close<RANGE3;
RANGE7= High-Close;
RANGE8= Open-Low;
RANGE9=Open<RANGE3;
RANGE10=Close>RANGE1;
CON=Ref(HHV (RANGE,20),-1 ) < RANGE*2;
Buy=RANGE5 AND RANGE6 AND CON;
Sell=RANGE9 AND RANGE10 AND CON;
Short=Sell;
Cover=Buy;
Filter = Buy OR Sell;
AddColumn( Low, "BUY " );
AddColumn (High, "SELL");