[saham] hasil backtesting 2008 s/d 2011

Tue, 14 Aug 2012 15:27:36 -0700 

equity akhir tahun selalu bertambah lebih dari 100 %
winner transaction  di atas 95 %

apakah ada factor lain yg tidak lulus test ?
--- Begin Message ---
Title: TDM 1 - Backtest Report
Statistics | Charts | Trades | Formula | Settings | Symbols

Statistics
  All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 544000.53 544000.53 100000.00
Net Profit 444000.53 444000.53 0.00
Net Profit % 444.00 % 444.00 % 0.00 %
Exposure % 25.13 % 25.13 % 0.00 %
Net Risk Adjusted Return % 1766.56 % 1766.56 % N/A
Annual Return % 444.00 % 444.00 % 0.00 %
Risk Adjusted Return % 1766.56 % 1766.56 % N/A
All trades 171 171 (100.00 %) 0 (0.00 %)
 Avg. Profit/Loss 2596.49 2596.49 N/A
 Avg. Profit/Loss % 28.27 % 28.27 % N/A
 Avg. Bars Held 9.43 9.43 N/A
Winners 166 (97.08 %) 166 (97.08 %) 0 (0.00 %)
 Total Profit 444182.16 444182.16 0.00
 Avg. Profit 2675.80 2675.80 N/A
 Avg. Profit % 29.13 % 29.13 % N/A
 Avg. Bars Held 9.61 9.61 N/A
 Max. Consecutive 166 166 0
 Largest win 40521.25 40521.25 0.00
 # bars in largest win 9 9 0
Losers 5 (2.92 %) 5 (2.92 %) 0 (0.00 %)
 Total Loss -181.63 -181.63 0.00
 Avg. Loss -36.33 -36.33 N/A
 Avg. Loss % -0.36 % -0.36 % N/A
 Avg. Bars Held 3.40 3.40 N/A
 Max. Consecutive 5 5 0
 Largest loss -181.63 -181.63 0.00
 # bars in largest loss 5 5 0
Max. trade drawdown -191147.51 -191147.51 0.00
Max. trade % drawdown -79.09 % -79.09 % 0.00 %
Max. system drawdown -187442.56 -187442.56 0.00
Max. system % drawdown -31.72 % -31.72 % 0.00 %
Recovery Factor 2.37 2.37 N/A
CAR/MaxDD 14.00 14.00 N/A
RAR/MaxDD 55.70 55.70 N/A
Profit Factor 2445.59 2445.59 N/A
Payoff Ratio 73.66 73.66 N/A
Standard Error 33258.68 33258.68 0.00
Risk-Reward Ratio 14.36 14.36 N/A
Ulcer Index 15.94 15.94 0.00
Ulcer Performance Index 27.52 27.52 N/A
Sharpe Ratio of trades 3.59 3.59 0.00
K-Ratio 0.2561 0.2561 -1.#IND

--- End Message ---
--- Begin Message ---
Title: TDM 1 - Backtest Report
Statistics | Charts | Trades | Formula | Settings | Symbols

Statistics
  All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 656608.20 656608.20 100000.00
Net Profit 556608.20 556608.20 0.00
Net Profit % 556.61 % 556.61 % 0.00 %
Exposure % 28.06 % 28.06 % 0.00 %
Net Risk Adjusted Return % 1983.93 % 1983.93 % N/A
Annual Return % 560.01 % 560.01 % 0.00 %
Risk Adjusted Return % 1996.06 % 1996.06 % N/A
All trades 285 285 (100.00 %) 0 (0.00 %)
 Avg. Profit/Loss 1953.01 1953.01 N/A
 Avg. Profit/Loss % 21.46 % 21.46 % N/A
 Avg. Bars Held 9.35 9.35 N/A
Winners 278 (97.54 %) 278 (97.54 %) 0 (0.00 %)
 Total Profit 557182.94 557182.94 0.00
 Avg. Profit 2004.26 2004.26 N/A
 Avg. Profit % 22.02 % 22.02 % N/A
 Avg. Bars Held 9.47 9.47 N/A
 Max. Consecutive 272 272 0
 Largest win 16363.64 16363.64 0.00
 # bars in largest win 9 9 0
Losers 7 (2.46 %) 7 (2.46 %) 0 (0.00 %)
 Total Loss -574.74 -574.74 0.00
 Avg. Loss -82.11 -82.11 N/A
 Avg. Loss % -0.82 % -0.82 % N/A
 Avg. Bars Held 4.57 4.57 N/A
 Max. Consecutive 2 2 0
 Largest loss -349.93 -349.93 0.00
 # bars in largest loss 5 5 0
Max. trade drawdown -3214.29 -3214.29 0.00
Max. trade % drawdown -26.37 % -26.37 % 0.00 %
Max. system drawdown -3938.01 -3938.01 0.00
Max. system % drawdown -2.07 % -2.07 % 0.00 %
Recovery Factor 141.34 141.34 N/A
CAR/MaxDD 270.65 270.65 N/A
RAR/MaxDD 964.68 964.68 N/A
Profit Factor 969.45 969.45 N/A
Payoff Ratio 24.41 24.41 N/A
Standard Error 37004.82 37004.82 0.00
Risk-Reward Ratio 17.21 17.21 N/A
Ulcer Index 0.18 0.18 0.00
Ulcer Performance Index 3066.92 3066.92 N/A
Sharpe Ratio of trades 5.27 5.27 0.00
K-Ratio 0.3067 0.3067 -1.#IND

--- End Message ---
--- Begin Message ---
Title: TDM 1 - Backtest Report
Statistics | Charts | Trades | Formula | Settings | Symbols

Statistics
  All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 700069.96 700069.96 100000.00
Net Profit 600069.96 600069.96 0.00
Net Profit % 600.07 % 600.07 % 0.00 %
Exposure % 39.27 % 39.27 % 0.00 %
Net Risk Adjusted Return % 1528.13 % 1528.13 % N/A
Annual Return % 603.82 % 603.82 % 0.00 %
Risk Adjusted Return % 1537.68 % 1537.68 % N/A
All trades 338 338 (100.00 %) 0 (0.00 %)
 Avg. Profit/Loss 1775.35 1775.35 N/A
 Avg. Profit/Loss % 18.61 % 18.61 % N/A
 Avg. Bars Held 10.05 10.05 N/A
Winners 336 (99.41 %) 336 (99.41 %) 0 (0.00 %)
 Total Profit 600069.96 600069.96 0.00
 Avg. Profit 1785.92 1785.92 N/A
 Avg. Profit % 18.72 % 18.72 % N/A
 Avg. Bars Held 10.06 10.06 N/A
 Max. Consecutive 324 324 0
 Largest win 20600.00 20600.00 0.00
 # bars in largest win 11 11 0
Losers 2 (0.59 %) 2 (0.59 %) 0 (0.00 %)
 Total Loss 0.00 0.00 0.00
 Avg. Loss 0.00 0.00 N/A
 Avg. Loss % 0.00 % 0.00 % N/A
 Avg. Bars Held 8.00 8.00 N/A
 Max. Consecutive 1 1 0
 Largest loss 0.00 0.00 0.00
 # bars in largest loss 0 0 0
Max. trade drawdown -4181.84 -4181.84 0.00
Max. trade % drawdown -23.64 % -23.64 % 0.00 %
Max. system drawdown -4910.92 -4910.92 0.00
Max. system % drawdown -2.58 % -2.58 % 0.00 %
Recovery Factor 122.19 122.19 N/A
CAR/MaxDD 234.07 234.07 N/A
RAR/MaxDD 596.07 596.07 N/A
Profit Factor N/A N/A N/A
Payoff Ratio N/A N/A N/A
Standard Error 14159.49 14159.49 0.00
Risk-Reward Ratio 45.29 45.29 N/A
Ulcer Index 0.27 0.27 0.00
Ulcer Performance Index 2239.93 2239.93 N/A
Sharpe Ratio of trades 4.29 4.29 0.00
K-Ratio 0.8071 0.8071 -1.#IND

--- End Message ---
--- Begin Message ---
Title: TDM 1 - Backtest Report
Statistics | Charts | Trades | Formula | Settings | Symbols

Statistics
  All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 476137.75 476137.75 100000.00
Net Profit 376137.75 376137.75 0.00
Net Profit % 376.14 % 376.14 % 0.00 %
Exposure % 45.13 % 45.13 % 0.00 %
Net Risk Adjusted Return % 833.53 % 833.53 % N/A
Annual Return % 384.44 % 384.44 % 0.00 %
Risk Adjusted Return % 851.94 % 851.94 % N/A
All trades 223 223 (100.00 %) 0 (0.00 %)
 Avg. Profit/Loss 1686.72 1686.72 N/A
 Avg. Profit/Loss % 18.32 % 18.32 % N/A
 Avg. Bars Held 11.32 11.32 N/A
Winners 219 (98.21 %) 219 (98.21 %) 0 (0.00 %)
 Total Profit 376319.59 376319.59 0.00
 Avg. Profit 1718.35 1718.35 N/A
 Avg. Profit % 18.66 % 18.66 % N/A
 Avg. Bars Held 10.35 10.35 N/A
 Max. Consecutive 210 210 0
 Largest win 27714.29 27714.29 0.00
 # bars in largest win 236 236 0
Losers 4 (1.79 %) 4 (1.79 %) 0 (0.00 %)
 Total Loss -181.83 -181.83 0.00
 Avg. Loss -45.46 -45.46 N/A
 Avg. Loss % -0.45 % -0.45 % N/A
 Avg. Bars Held 64.50 64.50 N/A
 Max. Consecutive 2 2 0
 Largest loss -103.09 -103.09 0.00
 # bars in largest loss 3 3 0
Max. trade drawdown -4545.45 -4545.45 0.00
Max. trade % drawdown -27.82 % -27.82 % 0.00 %
Max. system drawdown -7343.00 -7343.00 0.00
Max. system % drawdown -1.78 % -1.78 % 0.00 %
Recovery Factor 51.22 51.22 N/A
CAR/MaxDD 215.73 215.73 N/A
RAR/MaxDD 478.05 478.05 N/A
Profit Factor 2069.59 2069.59 N/A
Payoff Ratio 37.80 37.80 N/A
Standard Error 17957.19 17957.19 0.00
Risk-Reward Ratio 23.04 23.04 N/A
Ulcer Index 0.21 0.21 0.00
Ulcer Performance Index 1807.31 1807.31 N/A
Sharpe Ratio of trades 3.24 3.24 0.00
K-Ratio 0.4080 0.4080 -1.#IND

--- End Message ---

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