Wednesday, October 1, 2008

SPI MR System AB Output

All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 463025.79 295650.92 267374.87
Net Profit 363025.79 195650.92 167374.87
Net Profit % 363.03 % 195.65 % 167.37 %
Exposure % -0.03 % -0.01 % -0.02 %
Net Risk Adjusted Return % -1438618.78 % -2676508.82 % -933782.35 %
Annual Return % 6.16 % 4.32 % 3.91 %
Risk Adjusted Return % -24395.46 % -59041.69 % -21802.39 %

All trades 447 192 (42.95 %) 255 (57.05 %)
Avg. Profit/Loss 812.14 1019.02 656.37
Avg. Profit/Loss % 6.87 % 8.68 % 5.50 %
Avg. Bars Held 3.56 3.70 3.45

Winners 368 (82.33 %) 168 (37.58 %) 200 (44.74 %)
Total Profit 425107.88 213735.30 211372.57
Avg. Profit 1155.18 1272.23 1056.86
Avg. Profit % 9.27 % 10.65 % 8.11 %
Avg. Bars Held 3.13 3.33 2.96
Max. Consecutive 33 25 19
Largest win 14430.00 9755.00 14430.00
# bars in largest win 2 2 2

Losers 79 (17.67 %) 24 (5.37 %) 55 (12.30 %)
Total Loss -62082.05 -18084.37 -43997.68
Avg. Loss -785.85 -753.52 -799.96
Avg. Loss % -4.34 % -5.16 % -3.98 %
Avg. Bars Held 5.56 6.25 5.25
Max. Consecutive 4 3 2
Largest loss -4364.73 -2657.50 -4364.73
# bars in largest loss 10 5 10

Max. trade drawdown -5535.00 -5145.00 -5535.00
Max. trade % drawdown -51.40 % -51.40 % -33.59 %
Max. system drawdown -9337.38 -9337.38 -6803.15
Max. system % drawdown -5.73 % -4.81 % -6.33 %
Recovery Factor 38.88 20.95 24.60
CAR/MaxDD 1.07 0.90 0.62
RAR/MaxDD -4256.22 -12274.10 -3446.77
Profit Factor 6.85 11.82 4.80
Payoff Ratio 1.47 1.69 1.32
Standard Error 15078.61 8941.64 7193.11
Risk-Reward Ratio 0.76 0.65 0.78
Ulcer Index 0.76 0.55 0.84
Ulcer Performance Index 0.99 -1.97 -1.77
Sharpe Ratio of trades 4.59 5.44 3.92
K-Ratio 0.0696 0.0595 0.0719

...Start Date 19830216.00

.....End Date 20081006.00

# Years 25.08

... % Exposure -0.03

... Sharpe Ratio (>1) (>2) 4.59

# Expectancy / $Risk 1.58

ExpectancyPercent 6.87

...... Winners % 82.33

...... Win/Loss Ratio 2.14

...... Profit Factor 6.85

# Trades 447.00

...... # Trades / Week 0.34

...... # Trades / Year ------------>>> 17.82

...... # Av. Trade % ------------->>> 6.87

# Annual return % --------------->>> 14.48

..... Equity Curve - Max. DD% -5.73

..... Average Year Profit $ 14475.29

..... Capital to Max DD Ratio -10.71

..... Max System Drawdown -9337.38

..... Max System Drawdown %Capital -9.34

..... Avg Year Profit to DD Ratio 1.55

ObjectiveFunction 163.59

DDVal 94.27

1000 Trade Losing Streak 3.99

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