Как и обещал товарищам выкладываю System Reports своей рабочей ТС.
Все тесты проводились в метастоке на ри, тайм не афиширую. Да он и не важен.
Переменные найдены на одном временном периоде - все остальные результаты - форвард тест, прогонка на других временных периодах, что исключает "Подгонку под кривую". Короче говоря переоптимизации, подгонки нет в принципе.
Далее, если есть сигнал -вхожу только на следующем баре, задаю проскальзывание 30-50 пп. Тоже с выходом.
Это rts-9.11
Моя МТС,актив РТС-9.11,
--------------------------
Item Value Item Value
Total net profit 67320.0000 Open position value N/A
Percent gain/loss N/A Annual percent gain/loss N/A
Initial investment N/A Interest earned N/A
Current position Out Date position entered 25.07.2011
23:35:000
Buy/Hold profit 15080.0000 Days in test 71
Buy/Hold pct gain/loss N/A Annual B/H pct gain/loss N/A
Total closed trades 281 Commissions paid 16860.0000
Avg profit per trade 239.5730 Avg Win/Avg Loss ratio 2.36
Total long trades 146 Total short trades 135
Winning long trades 79 Winning short trades 64
Total winning trades 143 Total losing trades 138
Amount of winning trades 113940.0000 Amount of losing trades -46620.0000
Average win 796.7832 Average loss -337.8261
Largest win 4740.0000 Largest loss -1230.0000
Average length of win 16.56 Average length of loss 8.78
Longest winning trade 47 Longest losing trade 25
Most consecutive wins 8 Most consecutive losses 8
Total bars out 4159 Average length out 15.52
Longest out period 112
System close drawdown -1565.0000 Profit/Loss index 59.08
System open drawdown -2230.0000 Reward/Risk index 96.79
Max open trade drawdown -1175.0000 Buy/Hold index 346.42
РТС-6.11
РЕЗУЛЬТАТЫ
Моя МТС актив РТС 6.11
_________________________
Item Value Item Value
Total net profit 88550.0000 Open position value 655.0000
Percent gain/loss N/A Annual percent gain/loss N/A
Initial investment N/A Interest earned N/A
Current position Long Date position entered 15.06.2011
15:15:000
Buy/Hold profit 6575.0000 Days in test 93
Buy/Hold pct gain/loss N/A Annual B/H pct gain/loss N/A
Total closed trades 180 Commissions paid 10830.0000
Avg profit per trade 488.3056 Avg Win/Avg Loss ratio 2.49
Total long trades 94 Total short trades 86
Winning long trades 56 Winning short trades 41
Total winning trades 97 Total losing trades 83
Amount of winning trades 133915.0000 Amount of losing trades -46020.0000
Average win 1380.5670 Average loss -554.4578
Largest win 6050.0000 Largest loss -1570.0000
Average length of win 15.78 Average length of loss 8.61
Longest winning trade 30 Longest losing trade 23
Most consecutive wins 10 Most consecutive losses 7
Total bars out 1646 Average length out 9.51
Longest out period 51
System close drawdown -2225.0000 Profit/Loss index 65.80
System open drawdown -2225.0000 Reward/Risk index 97.55
Max open trade drawdown -1595.0000 Buy/Hold index 1256.73
RTS 3.11
Результаты
Моя МТС актив РТС 3-11
---------------------------
Item Value Item Value
Total net profit 55580.0000 Open position value N/A
Percent gain/loss N/A Annual percent gain/loss N/A
Initial investment N/A Interest earned N/A
Current position Out Date position entered 15.03.2011
14:00:000
Buy/Hold profit 16045.0000 Days in test 91
Buy/Hold pct gain/loss N/A Annual B/H pct gain/loss N/A
Total closed trades 190 Commissions paid 11400.0000
Avg profit per trade 292.5263 Avg Win/Avg Loss ratio 2.29
Total long trades 100 Total short trades 90
Winning long trades 64 Winning short trades 44
Total winning trades 108 Total losing trades 82
Amount of winning trades 83090.0000 Amount of losing trades -27510.0000
Average win 769.3519 Average loss -335.4878
Largest win 3555.0000 Largest loss -1005.0000
Average length of win 15.12 Average length of loss 8.77
Longest winning trade 35 Longest losing trade 25
Most consecutive wins 8 Most consecutive losses 5
Total bars out 2603 Average length out 13.92
Longest out period 59
System close drawdown -350.0000 Profit/Loss index 66.89
System open drawdown -350.0000 Reward/Risk index 99.37
Max open trade drawdown -835.0000 Buy/Hold index 246.40
RTS 12.10
Результаты
Моя МТС , актив РТС -12.10
------------------------------
Item Value Item Value
Total net profit 43140.0000 Open position value N/A
Percent gain/loss N/A Annual percent gain/loss N/A
Initial investment N/A Interest earned N/A
Current position Out Date position entered 15.12.2010
15:50:000
Buy/Hold profit 26490.0000 Days in test 92
Buy/Hold pct gain/loss N/A Annual B/H pct gain/loss N/A
Total closed trades 384 Commissions paid 23040.0000
Avg profit per trade 112.3438 Avg Win/Avg Loss ratio 1.94
Total long trades 206 Total short trades 178
Winning long trades 110 Winning short trades 81
Total winning trades 191 Total losing trades 193
Amount of winning trades 90080.0000 Amount of losing trades -46940.0000
Average win 471.6230 Average loss -243.2124
Largest win 3235.0000 Largest loss -920.0000
Average length of win 15.40 Average length of loss 8.35
Longest winning trade 36 Longest losing trade 23
Most consecutive wins 8 Most consecutive losses 6
Total bars out 6712 Average length out 17.66
Longest out period 135
System close drawdown 0.0000 Profit/Loss index 47.89
System open drawdown -20.0000 Reward/Risk index 99.95
Max open trade drawdown -700.0000 Buy/Hold index 62.85
РТС 9.10
Результаты
Моя МТС, актив РТС -9.10
----------------------------
Item Value Item Value
Total net profit 59380.0000 Open position value N/A
Percent gain/loss N/A Annual percent gain/loss N/A
Initial investment N/A Interest earned N/A
Current position Out Date position entered 15.09.2010
14:40:000
Buy/Hold profit 12390.0000 Days in test 93
Buy/Hold pct gain/loss N/A Annual B/H pct gain/loss N/A
Total closed trades 267 Commissions paid 16020.0000
Avg profit per trade 222.3970 Avg Win/Avg Loss ratio 2.49
Total long trades 133 Total short trades 134
Winning long trades 62 Winning short trades 66
Total winning trades 128 Total losing trades 139
Amount of winning trades 105340.0000 Amount of losing trades -45960.0000
Average win 822.9688 Average loss -330.6475
Largest win 4155.0000 Largest loss -1490.0000
Average length of win 15.23 Average length of loss 7.89
Longest winning trade 37 Longest losing trade 20
Most consecutive wins 5 Most consecutive losses 6
Total bars out 2995 Average length out 11.48
Longest out period 70
System close drawdown 0.0000 Profit/Loss index 56.37
System open drawdown 0.0000 Reward/Risk index 100.00
Max open trade drawdown -890.0000 Buy/Hold index 379.26
ртс 6.10
Результаты
Моя МТС, интрумент - РТС 6.10
-------------------------------
Item Value Item Value
Total net profit 117200.0000 Open position value N/A
Percent gain/loss N/A Annual percent gain/loss N/A
Initial investment N/A Interest earned N/A
Current position Out Date position entered 11.06.2010
14:00:000
Buy/Hold profit -14350.0000 Days in test 89
Buy/Hold pct gain/loss N/A Annual B/H pct gain/loss N/A
Total closed trades 442 Commissions paid 26520.0000
Avg profit per trade 265.1584 Avg Win/Avg Loss ratio 2.41
Total long trades 219 Total short trades 223
Winning long trades 119 Winning short trades 110
Total winning trades 229 Total losing trades 213
Amount of winning trades 190750.0000 Amount of losing trades -73550.0000
Average win 832.9694 Average loss -345.3052
Largest win 6460.0000 Largest loss -1835.0000
Average length of win 15.72 Average length of loss 8.80
Longest winning trade 51 Longest losing trade 54
Most consecutive wins 7 Most consecutive losses 7
Total bars out 5293 Average length out 12.85
Longest out period 108
System close drawdown -310.0000 Profit/Loss index 61.44
System open drawdown -390.0000 Reward/Risk index 99.67
Max open trade drawdown -1305.0000 Buy/Hold index 916.72
Все тесты проводились в метастоке на ри, тайм не афиширую. Да он и не важен.
Переменные найдены на одном временном периоде - все остальные результаты - форвард тест, прогонка на других временных периодах, что исключает "Подгонку под кривую". Короче говоря переоптимизации, подгонки нет в принципе.
Далее, если есть сигнал -вхожу только на следующем баре, задаю проскальзывание 30-50 пп. Тоже с выходом.
Это rts-9.11
Моя МТС,актив РТС-9.11,
--------------------------
Item Value Item Value
Total net profit 67320.0000 Open position value N/A
Percent gain/loss N/A Annual percent gain/loss N/A
Initial investment N/A Interest earned N/A
Current position Out Date position entered 25.07.2011
23:35:000
Buy/Hold profit 15080.0000 Days in test 71
Buy/Hold pct gain/loss N/A Annual B/H pct gain/loss N/A
Total closed trades 281 Commissions paid 16860.0000
Avg profit per trade 239.5730 Avg Win/Avg Loss ratio 2.36
Total long trades 146 Total short trades 135
Winning long trades 79 Winning short trades 64
Total winning trades 143 Total losing trades 138
Amount of winning trades 113940.0000 Amount of losing trades -46620.0000
Average win 796.7832 Average loss -337.8261
Largest win 4740.0000 Largest loss -1230.0000
Average length of win 16.56 Average length of loss 8.78
Longest winning trade 47 Longest losing trade 25
Most consecutive wins 8 Most consecutive losses 8
Total bars out 4159 Average length out 15.52
Longest out period 112
System close drawdown -1565.0000 Profit/Loss index 59.08
System open drawdown -2230.0000 Reward/Risk index 96.79
Max open trade drawdown -1175.0000 Buy/Hold index 346.42
РТС-6.11
РЕЗУЛЬТАТЫ
Моя МТС актив РТС 6.11
_________________________
Item Value Item Value
Total net profit 88550.0000 Open position value 655.0000
Percent gain/loss N/A Annual percent gain/loss N/A
Initial investment N/A Interest earned N/A
Current position Long Date position entered 15.06.2011
15:15:000
Buy/Hold profit 6575.0000 Days in test 93
Buy/Hold pct gain/loss N/A Annual B/H pct gain/loss N/A
Total closed trades 180 Commissions paid 10830.0000
Avg profit per trade 488.3056 Avg Win/Avg Loss ratio 2.49
Total long trades 94 Total short trades 86
Winning long trades 56 Winning short trades 41
Total winning trades 97 Total losing trades 83
Amount of winning trades 133915.0000 Amount of losing trades -46020.0000
Average win 1380.5670 Average loss -554.4578
Largest win 6050.0000 Largest loss -1570.0000
Average length of win 15.78 Average length of loss 8.61
Longest winning trade 30 Longest losing trade 23
Most consecutive wins 10 Most consecutive losses 7
Total bars out 1646 Average length out 9.51
Longest out period 51
System close drawdown -2225.0000 Profit/Loss index 65.80
System open drawdown -2225.0000 Reward/Risk index 97.55
Max open trade drawdown -1595.0000 Buy/Hold index 1256.73
RTS 3.11
Результаты
Моя МТС актив РТС 3-11
---------------------------
Item Value Item Value
Total net profit 55580.0000 Open position value N/A
Percent gain/loss N/A Annual percent gain/loss N/A
Initial investment N/A Interest earned N/A
Current position Out Date position entered 15.03.2011
14:00:000
Buy/Hold profit 16045.0000 Days in test 91
Buy/Hold pct gain/loss N/A Annual B/H pct gain/loss N/A
Total closed trades 190 Commissions paid 11400.0000
Avg profit per trade 292.5263 Avg Win/Avg Loss ratio 2.29
Total long trades 100 Total short trades 90
Winning long trades 64 Winning short trades 44
Total winning trades 108 Total losing trades 82
Amount of winning trades 83090.0000 Amount of losing trades -27510.0000
Average win 769.3519 Average loss -335.4878
Largest win 3555.0000 Largest loss -1005.0000
Average length of win 15.12 Average length of loss 8.77
Longest winning trade 35 Longest losing trade 25
Most consecutive wins 8 Most consecutive losses 5
Total bars out 2603 Average length out 13.92
Longest out period 59
System close drawdown -350.0000 Profit/Loss index 66.89
System open drawdown -350.0000 Reward/Risk index 99.37
Max open trade drawdown -835.0000 Buy/Hold index 246.40
RTS 12.10
Результаты
Моя МТС , актив РТС -12.10
------------------------------
Item Value Item Value
Total net profit 43140.0000 Open position value N/A
Percent gain/loss N/A Annual percent gain/loss N/A
Initial investment N/A Interest earned N/A
Current position Out Date position entered 15.12.2010
15:50:000
Buy/Hold profit 26490.0000 Days in test 92
Buy/Hold pct gain/loss N/A Annual B/H pct gain/loss N/A
Total closed trades 384 Commissions paid 23040.0000
Avg profit per trade 112.3438 Avg Win/Avg Loss ratio 1.94
Total long trades 206 Total short trades 178
Winning long trades 110 Winning short trades 81
Total winning trades 191 Total losing trades 193
Amount of winning trades 90080.0000 Amount of losing trades -46940.0000
Average win 471.6230 Average loss -243.2124
Largest win 3235.0000 Largest loss -920.0000
Average length of win 15.40 Average length of loss 8.35
Longest winning trade 36 Longest losing trade 23
Most consecutive wins 8 Most consecutive losses 6
Total bars out 6712 Average length out 17.66
Longest out period 135
System close drawdown 0.0000 Profit/Loss index 47.89
System open drawdown -20.0000 Reward/Risk index 99.95
Max open trade drawdown -700.0000 Buy/Hold index 62.85
РТС 9.10
Результаты
Моя МТС, актив РТС -9.10
----------------------------
Item Value Item Value
Total net profit 59380.0000 Open position value N/A
Percent gain/loss N/A Annual percent gain/loss N/A
Initial investment N/A Interest earned N/A
Current position Out Date position entered 15.09.2010
14:40:000
Buy/Hold profit 12390.0000 Days in test 93
Buy/Hold pct gain/loss N/A Annual B/H pct gain/loss N/A
Total closed trades 267 Commissions paid 16020.0000
Avg profit per trade 222.3970 Avg Win/Avg Loss ratio 2.49
Total long trades 133 Total short trades 134
Winning long trades 62 Winning short trades 66
Total winning trades 128 Total losing trades 139
Amount of winning trades 105340.0000 Amount of losing trades -45960.0000
Average win 822.9688 Average loss -330.6475
Largest win 4155.0000 Largest loss -1490.0000
Average length of win 15.23 Average length of loss 7.89
Longest winning trade 37 Longest losing trade 20
Most consecutive wins 5 Most consecutive losses 6
Total bars out 2995 Average length out 11.48
Longest out period 70
System close drawdown 0.0000 Profit/Loss index 56.37
System open drawdown 0.0000 Reward/Risk index 100.00
Max open trade drawdown -890.0000 Buy/Hold index 379.26
ртс 6.10
Результаты
Моя МТС, интрумент - РТС 6.10
-------------------------------
Item Value Item Value
Total net profit 117200.0000 Open position value N/A
Percent gain/loss N/A Annual percent gain/loss N/A
Initial investment N/A Interest earned N/A
Current position Out Date position entered 11.06.2010
14:00:000
Buy/Hold profit -14350.0000 Days in test 89
Buy/Hold pct gain/loss N/A Annual B/H pct gain/loss N/A
Total closed trades 442 Commissions paid 26520.0000
Avg profit per trade 265.1584 Avg Win/Avg Loss ratio 2.41
Total long trades 219 Total short trades 223
Winning long trades 119 Winning short trades 110
Total winning trades 229 Total losing trades 213
Amount of winning trades 190750.0000 Amount of losing trades -73550.0000
Average win 832.9694 Average loss -345.3052
Largest win 6460.0000 Largest loss -1835.0000
Average length of win 15.72 Average length of loss 8.80
Longest winning trade 51 Longest losing trade 54
Most consecutive wins 7 Most consecutive losses 7
Total bars out 5293 Average length out 12.85
Longest out period 108
System close drawdown -310.0000 Profit/Loss index 61.44
System open drawdown -390.0000 Reward/Risk index 99.67
Max open trade drawdown -1305.0000 Buy/Hold index 916.72