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Ниже представлены результаты анализа МТС
(для портфеля акций РАО ЕЭС, Лукойла и Сбербанка в равных долях) с помощью
программы XpressAnal_v1.3 (konkop). Только лонг.
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EESR_T26_L.csv
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1
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Tickers/Strategies
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3
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Capital per 1 trade
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1000
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$
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LKOH_T26_L.csv
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1
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Comission (round)
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0,20
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%
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SBER_T26_L.csv
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1
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Start date
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05.01.00
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End date
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15.10.03
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Start equity
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3000
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$
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End equity
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10752
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$
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Max. leverage
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1
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Total trades
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1457
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Profit factor
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1,64
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Math. expectation
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0,53
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%
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Avg. win/loss
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2,30
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StdDev. trade
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3,50
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Avg.trade/StdDev.
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0,15
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Net profit
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7752
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$
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Max DD
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-22,60
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%
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Gross profit
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19947
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$
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Gross loss
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-12195
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$
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Win. trades
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605
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Los. trades
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852
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Perc. winning
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42
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%
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Perc. losing
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58
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%
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Avg. win
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3,30
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%
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Avg. loss
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-1,43
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%
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Largest win
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27,90
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%
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Largest loss
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-11,80
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%
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max conseq.win
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9
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max conseq.loss
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14
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Total return
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258,39
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%
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Annual return
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67,41
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%
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Ann.ret/max.DD
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2,98
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Long trades
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1433
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Short trades
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0
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Long expectation
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0,54
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%
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Short expectation
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0,00
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%
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Long profit factor
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1,64
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Short profit factor
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100,00
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Konkop
Xpress Analizator
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v1.3 b.04
24.10.2002
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© 2002
konkop
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Таблица 1
Диаграмма 1
Диаграмма 2
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Strategy
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Ticker
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Flag
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Profit
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New_Strategy
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EESR_T26_L
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1
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3676,0994
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New_Strategy
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LKOH_T26_L
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2
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1945,8995
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New_Strategy
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SBER_T26_L
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3
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2129,6987
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Таблица 2
Диаграмма 3
Ниже представлены результаты анализа МТС
(для акций РАО ЕЭС) с помощью программы XpressAnal_v1.3 (konkop).
Только лонг.
|
EESR_T26_L.csv
|
1
|
Tickers/Strategies
|
1
|
|
Capital per 1 trade
|
3000
|
$
|
|
|
|
|
|
|
Comission (round)
|
0,20
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%
|
|
|
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Start date
|
10.01.00
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End date
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15.10.03
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|
|
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Start equity
|
3000
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$
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End equity
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14028
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$
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Max. leverage
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1
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Total trades
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626
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Profit factor
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1,69
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Math. expectation
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0,59
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%
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Avg. win/loss
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2,49
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StdDev. trade
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3,53
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Avg.trade/StdDev.
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0,17
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Net profit
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11028
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$
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Max DD
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-33,78
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%
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|
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Gross profit
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27111
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$
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Gross loss
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-16083
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$
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Win. trades
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253
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Los. trades
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373
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Perc. winning
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40
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%
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Perc. losing
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60
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%
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Avg. win
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3,57
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%
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Avg. loss
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-1,44
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%
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Largest win
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27,81
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%
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Largest loss
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-6,56
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%
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max conseq.win
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6
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max conseq.loss
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9
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Total return
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367,61
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%
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Annual return
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95,90
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%
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Ann.ret/max.DD
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2,84
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Long trades
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618
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Short trades
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0
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Long expectation
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0,60
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%
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Short expectation
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0,00
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%
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Long profit factor
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1,69
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Short profit factor
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100,00
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Konkop
Xpress Analizator
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v1.3 b.04
24.10.2002
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© 2002
konkop
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Таблица 3
Диаграмма 4
Диаграмма 5
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