Торговая система Aroon-filter на акциях РАО ЕЭС
Внимание- тестирование для после кризисного периода 1/07/99 - 23/02/2001
|
Значение Aroon 15
|
|
|
|
Item |
Value |
Item |
Value |
|
Total net profit |
4260.33 |
Open position value |
-26.30 |
|
Percent gain/loss |
426.03 |
Annual percent gain/loss |
257.45 |
|
Initial investment |
1000.00 |
Interest earned |
0.00 |
|
|
|
|
|
|
Buy/Hold profit |
16.85 |
Days in test |
604 |
|
Buy/Hold pct gain/loss |
1.68 |
Annual B/H pct gain/loss |
1.02 |
|
|
|
|
|
|
Total closed trades |
46 |
Commissions paid |
1453.53 |
|
Avg profit per trade |
93.19 |
Avg Win/Avg Loss ratio |
4.49 |
|
Total long trades |
23 |
Total short trades |
23 |
|
Winning long trades |
6 |
Winning short trades |
9 |
|
|
|
|
|
|
Total winning trades |
15 |
Total losing trades |
31 |
|
Amount of winning trades |
7940.22 |
Amount of losing trades |
-3653.59 |
|
Average win |
529.35 |
Average loss |
-117.86 |
|
Largest win |
1760.99 |
Largest loss |
-510.73 |
|
Average length of win |
19.07 |
Average length of loss |
3.68 |
|
Longest winning trade |
28 |
Longest losing trade |
14 |
|
Most consecutive wins |
3 |
Most consecutive losses |
6 |
|
|
|
|
|
|
Total bars out |
87 |
Average length out |
3.22 |
|
Longest out period |
13 |
|
|
Ниже приведены 25 тестов торговой системы
|
% |
Total Trades |
% profit trades |
Avg Win/Avg Loss |
Aroon |
|
426,0 |
46 |
32,6 |
4,5 |
9 |
|
216,3 |
53 |
26,4 |
4,6 |
8 |
|
189,4 |
43 |
25,6 |
4,8 |
10 |
|
153,4 |
39 |
30,8 |
4,2 |
14 |
|
137,7 |
56 |
25,0 |
4,0 |
6 |
|
133,3 |
70 |
28,6 |
3,4 |
7 |
|
130,7 |
41 |
29,3 |
4,2 |
15 |
|
105,4 |
48 |
27,1 |
4,2 |
12 |
|
63,7 |
48 |
25,0 |
4,1 |
13 |
|
62,9 |
55 |
25,5 |
3,9 |
11 |
|
40,6 |
22 |
22,7 |
5,7 |
29 |
|
39,9 |
73 |
23,3 |
3,7 |
5 |
|
18,6 |
28 |
21,4 |
4,6 |
28 |
|
17,9 |
48 |
18,8 |
4,9 |
16 |
|
12,4 |
30 |
26,7 |
3,3 |
27 |
|
-11,4 |
34 |
20,6 |
3,4 |
23 |
|
-14,5 |
50 |
20,0 |
3,6 |
17 |
|
-16,7 |
33 |
27,3 |
2,1 |
25 |
|
-18,1 |
41 |
17,1 |
4,2 |
22 |
|
-19,8 |
43 |
20,9 |
3,1 |
19 |
|
-19,8 |
42 |
21,4 |
3,1 |
21 |
|
-26,7 |
46 |
19,6 |
3,0 |
24 |
|
-30,0 |
36 |
19,4 |
2,5 |
26 |
|
-35,3 |
51 |
17,6 |
3,4 |
18 |
|
-39,9 |
46 |
17,4 |
3,3 |
20 |
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