| All trades | Long trades | Short trades |
Initial capital | 250000.00 | 250000.00 | 250000.00 |
Ending capital | 435856.18 | 412440.95 | 273415.23 |
Net Profit | 185856.18 | 162440.95 | 23415.23 |
Net Profit % | 74.34% | 64.98% | 9.37% |
Exposure % | 30.82% | 15.45% | 15.37% |
Net Risk Adjusted Return % | 241.23% | 420.69% | 60.93% |
Annual Return % | 59.09% | 51.91% | 7.76% |
Risk Adjusted Return % | 191.72% | 336.12% | 50.51% |
Total transaction costs | 238239.76 | 127877.72 | 110362.04 |
|
All trades | 4629 | 2315 (50.01 %) | 2314 (49.99 %) |
Avg. Profit/Loss | 40.15 | 70.17 | 10.12 |
Avg. Profit/Loss % | 0.03% | 0.06% | 0.01% |
Avg. Bars Held | 12.17 | 12.18 | 12.17 |
|
Winners | 2590 (55.95 %) | 1246 (26.92 %) | 1344 (29.03 %) |
Total Profit | 1022079.98 | 528510.71 | 493569.28 |
Avg. Profit | 394.63 | 424.17 | 367.24 |
Avg. Profit % | 0.32% | 0.34% | 0.30% |
Avg. Bars Held | 10.99 | 13.00 | 9.12 |
Max. Consecutive | 10 | 11 | 14 |
Largest win | 7764.94 | 7764.94 | 6777.71 |
# bars in largest win | 18 | 18 | 12 |
|
Losers | 2039 (44.05 %) | 1069 (23.09 %) | 970 (20.95 %) |
Total Loss | -836223.81 | -366069.76 | -470154.05 |
Avg. Loss | -410.11 | -342.44 | -484.69 |
Avg. Loss % | -0.33% | -0.28% | -0.39% |
Avg. Bars Held | 13.68 | 11.22 | 16.38 |
Max. Consecutive | 5 | 13 | 10 |
Largest loss | -7901.71 | -4792.99 | -7901.71 |
# bars in largest loss | 18 | 12 | 18 |
|
Max. trade drawdown | -7901.71 | -4792.99 | -7901.71 |
Max. trade % drawdown | -6.78 | -3.93 | -6.78 |
Max. system drawdown | -6620.08 | -14033.75 | -37085.46 |
Max. system % drawdown | -1.95% | -4.25% | -12.65% |
Recovery Factor | 28.07 | 11.58 | 0.63 |
CAR/MaxDD | 30.31 | 12.22 | 0.61 |
RAR/MaxDD | 98.36 | 79.10 | 3.99 |
Profit Factor | 1.22 | 1.44 | 1.05 |
Payoff Ratio | 0.96 | 1.24 | 0.76 |
Standard Error | 7277.02 | 9996.91 | 8017.81 |
Risk-Reward Ratio | 23.11 | 14.31 | 3.13 |
Ulcer Index | 0.42 | 1.08 | 6.14 |
Ulcer Performance Index | 129.05 | 42.96 | 0.39 |
Sharpe Ratio of trades | 3.88 | 7.26 | 0.88 |
K-Ratio | 0.03 | 0.02 | 0.00 |
This is Out-of-Sample (OoS) summary report. Built-in metrics properly represent all out-of-sample steps. Custom metrics are composed using user-definable method: 1 first step value, 2 last step value, 3 sum, 4 average, 5 minimum, 6 maximum.