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Робот на фьючерс РТС

Копипаст  http://bskjohn.livejournal.com

Фьючерс РТС с 11.01.11 по 30.11.11

В рублях на 1 контракт без реинвестирования.




Long Short

Starting Capital 40 000,00р.      
Ending Capital 228 076,35р.   Maximum Drawdown -10 224,50р.
Net Profit 188 076,35р.   Maximum Drawdown Date 21.11.2011
Net Profit % 470,19%   Maximum Drawdown % -9,88%
Annualized Gain % 616,00%   Maximum Drawdown % Date 28.01.2011
Exposure 9,56%      
      Wealth-Lab Score 5 806,24
Number of Trades 255   Sharpe Ratio 5,41
Average Profit 737,55р.   Profit Factor 2,89
Average Profit % 0,72%   Recovery Factor 18,39
Average Bars Held 24,61   Payoff Ratio 2,08
         
Winning Trades 148   Losing Trades 107
Win Rate 58,04%   Loss Rate 41,96%
Gross Profit 287 604,90р.   Gross Loss -99 528,55р.
Average Profit 1 943,28р.   Average Loss -930,17р.
Average Profit % 1,89%   Average Loss % -0,91%
Average Bars Held 30,21   Average Bars Held 16,87
Max Consecutive Winners 12   Max Consecutive Losses 7