Statistics | Charts | Trades | Formula | Settings | Symbols | Monte Carlo

Statistics
 All tradesLong tradesShort tradesBuy&Hold (SPY)
Initial capital1000000.001000000.001000000.001000000.00
Ending capital1312883.121312883.121000000.004125398.06
Net Profit312883.12312883.120.003125398.06
Net Profit %31.29% 31.29% 0.00% 312.54%
Exposure %20.31% 20.31% 0.00% 100.00%
Net Risk Adjusted Return %154.02% 154.02% -nan(ind)% 312.54%
Annual Return %1.52% 1.52% 0.00% 8.17%
Risk Adjusted Return %7.48% 7.48% -nan(ind)% 8.17%
Transaction costs0.000.000.000.00

All trades355355 (100.00 %)0 (0.00 %)1
 Avg. Profit/Loss881.36881.36-nan(ind)3125398.06
 Avg. Profit/Loss %-0.54% -0.54% -nan(ind)% 312.54%
 Avg. Bars Held131.53131.53-nan(ind)4543.00

Winners120 (33.80 %)120 (33.80 %)0 (0.00 %)1 (100.00 %)
 Total Profit429291.72429291.720.003125398.06
 Avg. Profit3577.433577.43-nan(ind)3125398.06
 Avg. Profit %6.89% 6.89% -nan(ind)% 312.54%
 Avg. Bars Held241.72241.72-nan(ind)4543.00
 Max. Consecutive141401
 Largest win79823.9379823.930.003125398.06
 # bars in largest win82282204543

Losers235 (66.20 %)235 (66.20 %)0 (0.00 %)0 (0.00 %)
 Total Loss-116408.60-116408.600.000.00
 Avg. Loss-495.36-495.36-nan(ind)-nan(ind)
 Avg. Loss %-4.34% -4.34% -nan(ind)% -nan(ind)%
 Avg. Bars Held75.2675.26-nan(ind)-nan(ind)
 Max. Consecutive252500
 Largest loss-3523.50-3523.500.000.00
# bars in largest loss868600

Max. trade drawdown-31957.79-31957.790.00-1267047.33
Max. trade % drawdown-22.16-22.160.00-56.47
Max. system drawdown-71574.69-71574.690.00-1267047.33
Max. system % drawdown-6.24% -6.24% 0.00% -56.47%
Recovery Factor4.374.37nan2.47
CAR/MaxDD0.240.24nan0.14
RAR/MaxDD1.201.20nan0.14
Profit Factor3.693.69naninf
Payoff Ratio7.227.22nannan
Standard Error21015.4321015.430.00348764.67
Risk-Reward Ratio0.770.77-nan(ind)0.38
Ulcer Index2.322.320.0014.46
Ulcer Performance Index-1.67-1.67-inf0.19
Sharpe Ratio of trades-0.56-0.560.00inf
K-Ratio0.060.06-nan(ind)0.03