BT - BNF-NEW - Backtest Report Page 1 of 1

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

Statistics
All trades Long trades Short trades Buy&Hold (NIFTY-I)
Initial capital 1000000.00 1000000.00 1000000.00 1000000.00
Ending capital 1119619.06 1119619.06 1000000.00 1975992.52
Net Profit 119619.06 119619.06 0.00 975992.52
Net Profit % 11.96% 11.96% 0.00% 97.60%
Exposure % 0.02% 0.02% 0.00% 100.00%
Net Risk Adjusted Return % 61139.33% 61139.33% N/A 97.60%
Annual Return % 1.26% 1.26% 0.00% 7.87%
Risk Adjusted Return % 6461.11% 6461.11% N/A 7.87%
Total transaction costs 36166.74 36166.74 0.00 892.98

All trades 86 86 (100.00 %) 0 (0.00 %) 1

Avg. Profit/Loss 1390.92 1390.92 N/A 975692.49
Avg. Profit/Loss % 0.20% 0.20% N/A 97.57%
Avg. Bars Held 51.90 51.90 N/A 167236.00

Winners 55 (63.95 %) 55 (63.95 %) 0 (0.00 %) 1 (100.00 %)

Total Profit 189235.57 189235.57 0.00 975692.49
Avg. Profit 3440.65 3440.65 N/A 975692.49
Avg. Profit % 0.49% 0.49% N/A 97.57%
Avg. Bars Held 57.29 57.29 N/A 167236.00
Max. Consecutive 6 6 0 1
Largest win 11992.20 11992.20 0.00 975692.49
# bars in largest win 59 59 0 167236

Losers 31 (36.05 %) 31 (36.05 %) 0 (0.00 %) 0 (0.00 %)

Total Loss -69616.51 -69616.51 0.00 0.00
Avg. Loss -2245.69 -2245.69 N/A N/A
Avg. Loss % -0.32% -0.32% N/A N/A
Avg. Bars Held 42.32 42.32 N/A N/A
Max. Consecutive 4 4 0 0
Largest loss -3919.35 -3919.35 0.00 0.00
# bars in largest loss 38 38 0 0

Max. trade drawdown -7551.48 -7551.48 0.00 -362171.46

Max. trade % drawdown -1.07 -1.07 0.00 -26.73
Max. system drawdown -12449.42 -12449.42 0.00 -362171.46
Max. system % drawdown -1.10% -1.10% 0.00% -26.73%
Recovery Factor 9.61 9.61 N/A 2.69
CAR/MaxDD 1.15 1.15 N/A 0.29
RAR/MaxDD 5865.56 5865.56 N/A 0.29
Profit Factor 2.72 2.72 N/A N/A
Payoff Ratio 1.53 1.53 N/A N/A
Standard Error 9182.38 9182.38 0.00 93230.66
Risk-Reward Ratio 1.24 1.24 N/A 1.40
Ulcer Index 0.44 0.44 0.00 9.48
Ulcer Performance Index -9.38 -9.38 N/A 0.26
Sharpe Ratio of trades 6.76 6.76 0.00 N/A
K-Ratio 0.01 0.01 N/A 0.01

file:///C:/Program%20Files%20(x86)/AmiBroker6/Reports/BT%20-%20BNF-NEW-2020... 11/04/2020