Gross Profit: 117 167.48 Gross Loss: 14 662.48 Total Net Profit: 102 505.00 Profit Factor: 7.99 Expected Payoff: 2500.12 Absolute Drawdown: 2 420.00 Maximal Drawdown: 3 620.00 (2.27%) Relative Drawdown: 3.22% (3 358.80) Total Trades: 41 Short Positions (won %): 31 (87.10%) Long Positions (won %): 10 (80.00%) Profit Trades (% of total): 35 (85.37%) Loss trades (% of total): 6 (14.63%) Largest profit trade: 9 407.48 loss trade: -3 620.00 Average profit trade: 3 347.64 loss trade: -2 443.75 Maximum consecutive wins ($): 13 (46 815.51) consecutive losses ($): 1 (-3 620.00) Maximal consecutive profit (count): 46 815.51 (13) consecutive loss (count): -3 620.00 (1) Average consecutive wins: 6 consecutive losses: 1
这是回测还是实盘? 测试了多久? 手动还是自动? 哪个品种? 你sharpe ratio多少? equity curve发上来看看。 你那个Total Trades 41少了点呀。另外,你这个策略的scalablity怎么样,能运做大资金吗?
Gross Profit: 245 582.13 Gross Loss: 30 468.88 Total Net Profit: 215 113.25 Profit Factor: 8.06 Expected Payoff: 3469.57 Absolute Drawdown: 2 420.00 Maximal Drawdown: 11 990.40 (3.67%) Relative Drawdown: 3.67% (11 990.40) Total Trades: 62 Short Positions (won %): 46 (82.61%) Long Positions (won %): 16 (87.50%) Profit Trades (% of total): 52 (83.87%) Loss trades (% of total): 10 (16.13%) Largest profit trade: 26 384.00 loss trade: -6 562.00 Average profit trade: 4 722.73 loss trade: -3 046.89 Maximum consecutive wins ($): 17 (128 414.65) consecutive losses ($): 2 (-11 990.40) Maximal consecutive profit (count): 128 414.65 (17) consecutive loss (count): -11 990.40 (2) Average consecutive wins: 7 consecutive losses: 1
Gross Profit: 350 003.13 Gross Loss: 38 760.90 Total Net Profit: 311 242.23 Profit Factor: 9.03 Expected Payoff: 4263.59 Absolute Drawdown: 2 420.00 Maximal Drawdown: 11 990.40 (3.67%) Relative Drawdown: 3.67% (11 990.40) Total Trades: 73 Short Positions (won %): 48 (79.17%) Long Positions (won %): 25 (92.00%) Profit Trades (% of total): 61 (83.56%) Loss trades (% of total): 12 (16.44%) Largest profit trade: 26 384.00 loss trade: -6 562.00 Average profit trade: 5 737.76 loss trade: -3 230.08 Maximum consecutive wins ($): 17 (128 414.65) consecutive losses ($): 2 (-11 990.40) Maximal consecutive profit (count): 128 414.65 (17) consecutive loss (count): -11 990.40 (2) Average consecutive wins: 7 consecutive losses: 1 再上新台阶---净值4.0