Formula 28 - Backtest Report Page 1 of 1

Statistics | Charts | Trades | Formula | Settings | Symbols

Statistics
All trades Long trades Short trades
Initial capital 1000000000.00 1000000000.00 1000000000.00
Ending capital 1060692925.18 1000000000.00 1060692925.18
Net Profit 60692925.18 0.00 60692925.18
Net Profit % 6.07% 0.00% 6.07%
Exposure % 1.14% 0.00% 1.14%
Net Risk Adjusted Return % 531.65% N/A 531.65%
Annual Return % 0.67% 0.00% 0.67%
Risk Adjusted Return % 58.61% N/A 58.61%
Total transaction costs 0.00 0.00 0.00

All trades 91926 0 (0.00 %) 91926 (100.00 %)

Avg. Profit/Loss 660.24 N/A 660.24
Avg. Profit/Loss % 0.19% N/A 0.19%
Avg. Bars Held 289.58 N/A 289.58

Winners 50275 (54.69 %) 0 (0.00 %) 50275 (54.69 %)

Total Profit 241238956.27 0.00 241238956.27
Avg. Profit 4798.39 N/A 4798.39
Avg. Profit % 1.36% N/A 1.36%
Avg. Bars Held 316.78 N/A 316.78
Max. Consecutive 83 0 83
Largest win 211922.69 0.00 211922.69
# bars in largest win 287 0 287

Losers 41651 (45.31 %) 0 (0.00 %) 41651 (45.31 %)

Total Loss -180546031.09 0.00 -180546031.09
Avg. Loss -4334.73 N/A -4334.73
Avg. Loss % -1.21% N/A -1.21%
Avg. Bars Held 256.75 N/A 256.75
Max. Consecutive 85 0 85
Largest loss -13095.24 0.00 -13095.24
# bars in largest loss 10 0 10

Max. trade drawdown -141009.46 0.00 -141009.46

Max. trade % drawdown -20.85 0.00 -20.85
Max. system drawdown -2400088.80 0.00 -2400088.80
Max. system % drawdown -0.23% 0.00% -0.23%
Recovery Factor 25.29 N/A 25.29
CAR/MaxDD 2.95 N/A 2.95
RAR/MaxDD 258.22 N/A 258.22
Profit Factor 1.34 N/A 1.34
Payoff Ratio 1.11 N/A 1.11
Standard Error 3109868.20 2799.39 3109868.20
Risk-Reward Ratio 1.98 -0.00 1.98
Ulcer Index 0.04 0.00 0.04
Ulcer Performance Index -110.31 N/A -110.31
Sharpe Ratio of trades 1.88 0.00 1.88
K-Ratio 0.01 -0.00 0.01

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Formula 28 - Backtest Report Page 1 of 3

Statistics | Charts | Trades | Formula | Settings | Symbols

Charts

1. Portfolio Equity

2. Underwater Equity

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3. Profit Table

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Yr%
2010 N/A N/A N/A N/A N/A N/A N/A N/A 0.0% 0.2% 0.1% 0.0% 0.3%
2011 0.1% 0.1% -0.0% 0.1% 0.0% 0.0% 0.0% 0.1% 0.0% 0.0% 0.1% 0.1% 0.6%
2012 -0.0% 0.1% 0.1% 0.1% 0.1% 0.1% 0.0% 0.0% -0.0% 0.1% 0.0% 0.0% 0.4%
2013 0.0% 0.1% 0.1% 0.0% 0.0% 0.0% 0.0% 0.1% 0.0% 0.0% 0.0% 0.0% 0.4%
2014 0.1% 0.0% -0.0% 0.1% 0.0% 0.1% 0.1% 0.0% 0.1% -0.0% 0.0% 0.1% 0.5%
2015 0.0% 0.0% 0.1% 0.0% -0.0% 0.0% 0.0% 0.1% 0.0% 0.1% 0.0% 0.0% 0.5%
2016 0.1% 0.1% -0.0% 0.0% 0.0% -0.0% 0.1% 0.1% 0.1% 0.0% 0.1% 0.1% 0.6%
2017 0.0% 0.0% 0.0% 0.0% 0.1% 0.1% 0.0% 0.1% 0.1% 0.0% 0.2% 0.1% 0.8%
2018 0.2% 0.1% 0.2% 0.0% 0.2% 0.2% -0.0% 0.0% 0.4% 0.1% 0.0% -0.0% 1.3%
2019 0.2% -0.0% -0.1% 0.1% 0.1% 0.1% 0.0% N/A N/A N/A N/A N/A 0.5%
Avg 0.1% 0.1% 0.0% 0.0% 0.1% 0.1% 0.0% 0.1% 0.1% 0.0% 0.1% 0.0%

Profit distribution

Max. Adverse Excursion distribution

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Max. Favorable Excursion distribution

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