Торговая система Фильтр цены-объёма на акциях РАО ЕЭС
Внимание- тестирование для после кризисного периода 1/07/99 - 19/10/2000
Тренд цены-объёма 15; простая скользящая средняя 7; CCI 29;
|
|
Item |
Value |
Item |
Value |
Total net profit |
3076.74 |
Open position value |
N/A |
Percent gain/loss |
307.67 |
Annual percent gain/loss |
235.43 |
Initial investment |
1000.00 |
Interest earned |
0.00 |
|
|
|
|
Buy/Hold profit |
359.43 |
Days in test |
477 |
Buy/Hold pct gain/loss |
35.94 |
Annual B/H pct gain/loss |
27.50 |
|
|
|
|
Total closed trades |
11 |
Commissions paid |
270.02 |
Avg profit per trade |
279.70 |
Avg Win/Avg Loss ratio |
3.04 |
Total long trades |
5 |
Total short trades |
6 |
Winning long trades |
3 |
Winning short trades |
4 |
|
|
|
|
Total winning trades |
7 |
Total losing trades |
4 |
Amount of winning trades |
3788.46 |
Amount of losing trades |
-711.72 |
Average win |
541.21 |
Average loss |
-177.93 |
Largest win |
1046.72 |
Largest loss |
-263.49 |
Average length of win |
21.57 |
Average length of loss |
5.25 |
Longest winning trade |
40 |
Longest losing trade |
7 |
Most consecutive wins |
3 |
Most consecutive losses |
1 |
|
|
|
|
Total bars out |
179 |
Average length out |
17.90 |
Longest out period |
48 |
|
|
Ниже приведены 50 лучших тестов торговой системы Фильтр цены-объёма
% |
Total Trades |
% profit trades |
Avg Win/Avg Loss |
VPT |
CCI |
MA |
307.67 |
11 |
63,6 |
3,0 |
15 |
29 |
7 |
306.32 |
10 |
70,0 |
3,3 |
15 |
29 |
11 |
274.30 |
13 |
61,5 |
5,7 |
11 |
29 |
11 |
222.16 |
10 |
70,0 |
2,6 |
15 |
27 |
11 |
207.37 |
11 |
63,6 |
2,6 |
15 |
27 |
7 |
193.68 |
13 |
61,5 |
4,5 |
11 |
27 |
11 |
159.79 |
17 |
52,9 |
3,2 |
11 |
29 |
7 |
153.93 |
7 |
57,1 |
3,5 |
15 |
27 |
19 |
139.24 |
8 |
50,0 |
3,2 |
15 |
27 |
15 |
137.73 |
7 |
57,1 |
3,3 |
15 |
29 |
19 |
128.68 |
11 |
72,7 |
2,2 |
15 |
19 |
11 |
123.97 |
8 |
50,0 |
3,0 |
15 |
29 |
15 |
118.18 |
12 |
66,7 |
2,1 |
15 |
19 |
7 |
116.61 |
17 |
47,1 |
3,4 |
11 |
19 |
7 |
108.23 |
10 |
70,0 |
1,9 |
15 |
23 |
11 |
105.49 |
11 |
72,7 |
1,7 |
15 |
21 |
11 |
103.83 |
17 |
52,9 |
2,5 |
11 |
27 |
7 |
98.66 |
11 |
63,6 |
2,0 |
15 |
23 |
7 |
97.82 |
10 |
70,0 |
2,0 |
15 |
25 |
11 |
96.21 |
13 |
53,8 |
3,9 |
11 |
19 |
11 |
96.05 |
12 |
66,7 |
1,7 |
15 |
21 |
7 |
95.53 |
7 |
42,9 |
5,4 |
11 |
27 |
15 |
93.58 |
17 |
47,1 |
3,0 |
11 |
21 |
7 |
90.30 |
9 |
55,6 |
4,2 |
13 |
29 |
11 |
89.33 |
17 |
47,1 |
2,9 |
11 |
23 |
7 |
89.04 |
17 |
58,8 |
1,8 |
11 |
25 |
7 |
87.50 |
7 |
42,9 |
5,1 |
11 |
29 |
15 |
85.21 |
11 |
54,5 |
2,3 |
15 |
25 |
7 |
84.66 |
7 |
42,9 |
3,9 |
11 |
27 |
19 |
84.58 |
13 |
69,2 |
1,8 |
11 |
25 |
11 |
77.07 |
7 |
42,9 |
3,7 |
11 |
29 |
19 |
76.92 |
13 |
53,8 |
3,1 |
11 |
21 |
11 |
76.92 |
13 |
53,8 |
3,1 |
11 |
23 |
11 |
75.74 |
7 |
57,1 |
2,8 |
15 |
19 |
19 |
72.68 |
9 |
55,6 |
5,5 |
13 |
19 |
11 |
68.15 |
7 |
57,1 |
2,4 |
15 |
21 |
19 |
65.03 |
9 |
55,6 |
2,0 |
15 |
19 |
15 |
64.13 |
7 |
57,1 |
2,3 |
15 |
23 |
19 |
60.75 |
9 |
55,6 |
4,7 |
13 |
21 |
11 |
58.44 |
9 |
55,6 |
4,6 |
13 |
23 |
11 |
55.93 |
7 |
57,1 |
2,4 |
15 |
25 |
19 |
54.63 |
8 |
50,0 |
2,2 |
15 |
23 |
15 |
52.60 |
9 |
55,6 |
1,8 |
15 |
21 |
15 |
47.17 |
12 |
41,7 |
3,2 |
13 |
19 |
7 |
46.90 |
8 |
50,0 |
2,2 |
15 |
25 |
15 |
43.97 |
7 |
57,1 |
2,0 |
11 |
25 |
15 |
43.84 |
14 |
42,9 |
2,4 |
21 |
29 |
11 |
43.17 |
9 |
55,6 |
2,4 |
13 |
27 |
11 |
41.54 |
13 |
38,5 |
2,8 |
21 |
29 |
15 |
40.56 |
9 |
66,7 |
1,9 |
13 |
25 |
11 |
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