Торговая система Фильтр цены-объёма на акциях АО Ростелеком
Внимание- тестирование для после кризисного периода 1/07/99 - 19/10/2000
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Тренд цены-объёма 17; простая скользящая средняя 7; CCI 27;
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|
Item |
Value |
Item |
Value |
|
Total net profit |
2931.54 |
Open position value |
N/A |
|
Percent gain/loss |
293.15 |
Annual percent gain/loss |
224.32 |
|
Initial investment |
1000.00 |
Interest earned |
0.00 |
|
|
|
|
|
|
Buy/Hold profit |
-265.92 |
Days in test |
477 |
|
Buy/Hold pct gain/loss |
-26.59 |
Annual B/H pct gain/loss |
-20.35 |
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|
|
|
|
|
Total closed trades |
19 |
Commissions paid |
417.37 |
|
Avg profit per trade |
154.29 |
Avg Win/Avg Loss ratio |
3.11 |
|
Total long trades |
8 |
Total short trades |
11 |
|
Winning long trades |
4 |
Winning short trades |
6 |
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|
|
|
|
|
Total winning trades |
10 |
Total losing trades |
9 |
|
Amount of winning trades |
4128.01 |
Amount of losing trades |
-1196.47 |
|
Average win |
412.80 |
Average loss |
-132.94 |
|
Largest win |
1091.62 |
Largest loss |
-316.86 |
|
Average length of win |
16.70 |
Average length of loss |
5.56 |
|
Longest winning trade |
34 |
Longest losing trade |
15 |
|
Most consecutive wins |
4 |
Most consecutive losses |
4 |
|
|
|
|
|
|
Total bars out |
145 |
Average length out |
11.15 |
|
Longest out period |
44 |
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Ниже приведены 50 лучших тестов торговой системы Фильтр цены-объёма
|
% |
Total Trades |
% profit trades |
Avg Win/Avg Loss |
VPT |
CCI |
MA |
|
293.15 |
19 |
52,6 |
3,1 |
17 |
27 |
7 |
|
291.30 |
19 |
52,6 |
3,1 |
17 |
23 |
7 |
|
289.13 |
19 |
52,6 |
3,1 |
17 |
25 |
7 |
|
255.36 |
15 |
53,3 |
3,8 |
17 |
23 |
19 |
|
253.39 |
15 |
53,3 |
3,8 |
17 |
25 |
19 |
|
252.02 |
15 |
53,3 |
3,8 |
17 |
27 |
19 |
|
238.20 |
19 |
52,6 |
2,9 |
17 |
21 |
7 |
|
222.13 |
18 |
50,0 |
3,4 |
17 |
23 |
11 |
|
220.34 |
18 |
50,0 |
3,3 |
17 |
25 |
11 |
|
219.74 |
18 |
55,6 |
2,4 |
17 |
29 |
7 |
|
219.10 |
18 |
50,0 |
3,3 |
17 |
27 |
11 |
|
216.99 |
16 |
50,0 |
3,5 |
17 |
23 |
15 |
|
215.23 |
16 |
50,0 |
3,5 |
17 |
25 |
15 |
|
214.00 |
16 |
50,0 |
3,5 |
17 |
27 |
15 |
|
200.33 |
15 |
53,3 |
3,4 |
17 |
21 |
19 |
|
188.52 |
18 |
50,0 |
3,1 |
17 |
21 |
11 |
|
182.61 |
14 |
57,1 |
2,6 |
17 |
29 |
19 |
|
178.17 |
16 |
50,0 |
3,2 |
17 |
21 |
15 |
|
173.29 |
20 |
55,0 |
2,3 |
17 |
19 |
7 |
|
171.72 |
12 |
58,3 |
2,8 |
15 |
27 |
7 |
|
167.49 |
13 |
61,5 |
2,5 |
15 |
23 |
7 |
|
163.53 |
12 |
58,3 |
2,7 |
15 |
25 |
7 |
|
156.18 |
17 |
52,9 |
2,4 |
17 |
29 |
11 |
|
152.09 |
15 |
53,3 |
2,5 |
17 |
29 |
15 |
|
147.56 |
11 |
54,5 |
3,1 |
15 |
27 |
11 |
|
147.56 |
11 |
54,5 |
3,1 |
15 |
27 |
15 |
|
143.65 |
12 |
58,3 |
2,8 |
15 |
23 |
11 |
|
143.65 |
12 |
58,3 |
2,8 |
15 |
23 |
15 |
|
141.67 |
11 |
54,5 |
3,0 |
15 |
27 |
19 |
|
140.04 |
11 |
54,5 |
3,0 |
15 |
25 |
11 |
|
140.04 |
11 |
54,5 |
3,0 |
15 |
25 |
15 |
|
137.44 |
12 |
58,3 |
2,7 |
15 |
23 |
19 |
|
137.20 |
15 |
46,7 |
3,2 |
11 |
27 |
7 |
|
136.61 |
16 |
50,0 |
3,1 |
17 |
19 |
19 |
|
136.43 |
16 |
50,0 |
2,6 |
19 |
23 |
11 |
|
135.12 |
16 |
50,0 |
2,6 |
19 |
25 |
11 |
|
134.96 |
15 |
46,7 |
3,2 |
11 |
25 |
7 |
|
133.92 |
11 |
54,5 |
2,9 |
15 |
25 |
19 |
|
132.40 |
16 |
50,0 |
2,3 |
19 |
29 |
11 |
|
129.61 |
19 |
47,4 |
2,8 |
17 |
19 |
11 |
|
128.20 |
16 |
50,0 |
2,6 |
19 |
27 |
11 |
|
119.16 |
13 |
61,5 |
2,2 |
15 |
21 |
7 |
|
119.15 |
17 |
47,1 |
2,9 |
17 |
19 |
15 |
|
115.74 |
11 |
54,5 |
2,4 |
15 |
29 |
7 |
|
113.39 |
15 |
46,7 |
2,9 |
11 |
23 |
7 |
|
105.07 |
18 |
44,4 |
3,3 |
13 |
27 |
7 |
|
103.05 |
18 |
44,4 |
3,3 |
13 |
25 |
7 |
|
101.62 |
12 |
58,3 |
2,4 |
15 |
21 |
11 |
|
101.62 |
12 |
58,3 |
2,4 |
15 |
21 |
15 |
|
101.43 |
16 |
50,0 |
2,3 |
19 |
21 |
11 |
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