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Робот на фьючерс Сбербанка

Копипаст http://bskjohn.livejournal.com

Робот на фьючерс Сбербанка

Фьючерс Сбера с 11.01.11 по 23.11.11

В рублях на 10 контрактов без реинвестирования.

Лонг и Шорт        
Starting Capital 40 000,00р.      
Ending Capital 208 152,30р. Maximum Drawdown -9 517,70р.
Net Profit 168 152,30р. Maximum Drawdown Date 11.08.2011
Net Profit % 420,38%   Maximum Drawdown % -11,03%
Annualized Gain % 545,68%   Maximum Drawdown % Date 11.02.2011
Exposure 11,79%      
      Wealth-Lab Score 4 117,87
Number of Trades 574   Sharpe Ratio 7,21
Average Profit 292,95р.   Profit Factor 1,91
Average Profit % 0,33%   Recovery Factor 17,67
Average Bars Held 6,18   Payoff Ratio 1,14
         
Winning Trades 360   Losing Trades 214
Win Rate 62,72%   Loss Rate 37,28%
Gross Profit 352 320,00р. Gross Loss -184 167,70р.
Average Profit 978,67р.   Average Loss -860,60р.
Average Profit % 1,10%   Average Loss % -0,96%
Average Bars Held 6,09   Average Bars Held 6,33
Max Consecutive Winners 12   Max Consecutive Losses 7