From: Subject: MACD - Moving Average Convergence Divergence - Backtest Report Date: Sat, 1 Mar 2008 20:40:31 +0100 MIME-Version: 1.0 Content-Type: text/html; charset="windows-1250" Content-Transfer-Encoding: quoted-printable Content-Location: file://D:\Programy\Investice\AmiBroker\Reports\MACD - Moving Average Convergence Divergence-20080301203929247\stats.html X-MimeOLE: Produced By Microsoft MimeOLE V6.00.2900.3198 MACD - Moving Average Convergence Divergence - = Backtest Report
Statistiky | Graf= y=20 | Obch= odu=20 | Vzo= rec=20 | Na= staven=ED=20 | Sym= boly

Statistiky
Exposure=20 %  Avg.=20 Profit/Loss  Avg.=20 Profit/Loss % Max.=20 trade drawdown Max.=20 trade % drawdown Max.=20 system drawdown Max.=20 system % drawdown CAR/MaxDD RAR/MaxDD Standard=20 Error Risk-Reward=20 Ratio Ulcer=20 Index Sharpe=20 Ratio of trades
  All trades Long trades Short trades
Initial capital 1000.00 1000.00 1000.00
Ending capital 398111.29 321533.51 77577.77
Net Profit 397111.29 320533.51 76577.77
Net Profit % 39711.13 % 32053.35 % 7657.78 %
97.92 % 49.67 % 48.25 %
Net Risk Adjusted = Return=20 % 40553.38 % 64534.46 % 15869.55 %
Annual Return % 94.33 % 89.78 % 62.07 %
Risk Adjusted = Return=20 % 96.33 % 180.75 % 128.64 %
All trades 155 78 (50.32 %) 77 (49.68 %)
2562.01 4109.40 994.52
4.28 % 6.76 % 1.78 %
 Avg. Bars Held 15.30 15.41 15.18
Winners 94 (60.65 %) 54 (34.84 %) 40 (25.81 %)
 Total Profit 479043.70 341109.12 137934.58
 Avg. Profit 5096.21 6316.84 3448.36
 Avg.=20 Profit % 8.36 % 10.38 % 5.63 %
 Avg. Bars Held 19.99 19.37 20.82
 Max. Consecutive 7 12 4
 Largest win 46421.73 46182.62 46421.73
 # bars in largest win 28 41 28
Losers 61 (39.35 %) 24 (15.48 %) 37 (23.87 %)
 Total Loss -81932.41 -20575.61 -61356.81
 Avg. Loss -1343.15 -857.32 -1658.29
 Avg. Loss=20 % -2.00 % -1.39 % -2.39 %
 Avg. Bars Held 8.07 6.50 9.08
 Max. Consecutive 4 3 5
 Largest loss -12002.26 -6734.76 -12002.26
 # bars in largest loss 6 7 6
-37281.70 -17530.92 -37281.70
-12.87 % -12.29 % -12.87 %
-37281.70 -18787.67 -41220.54
-19.08 % -24.09 % -84.56 %
Recovery = Factor 10.65 17.06 1.86
4.94 3.73 0.73
5.05 7.50 1.52
Profit = Factor 5.85 16.58 2.25
Payoff Ratio 3.79 7.37 2.08
54215.98 45113.18 11363.71
0.58 0.61 0.34
5.01 5.42 42.37
Ulcer=20 Performance Index 17.77 15.56 1.34
1.83 2.56 0.97
K-Ratio 0.03 0.03 0.02