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Backtest Results: Reversal Flag Pattern

The backtest report summarizes the performance of a flag trading system over 597 trades from an initial capital of $100,000. The strategy achieved a net profit of over $404 million with an annual return of 137.97%. It had a higher win rate and average profit on long trades compared to short trades. Overall the strategy demonstrated strong risk-adjusted returns but also came with high transaction costs and drawdowns of over 30% during peak losses.

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truehacker20200620
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30 views1 page

Backtest Results: Reversal Flag Pattern

The backtest report summarizes the performance of a flag trading system over 597 trades from an initial capital of $100,000. The strategy achieved a net profit of over $404 million with an annual return of 137.97%. It had a higher win rate and average profit on long trades compared to short trades. Overall the strategy demonstrated strong risk-adjusted returns but also came with high transaction costs and drawdowns of over 30% during peak losses.

Uploaded by

truehacker20200620
Copyright
© All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd

Flag Trading System Positional - Backtest Report Page 1 of 1

Statistics | Charts | Trades | Formula | Settings | Symbols | Monte Carlo

Statistics
All trades Long trades Short trades
Initial capital 100000.00 100000.00 100000.00
Ending capital 404896481.93 351550321.16 53446160.77
Net Profit 404796481.93 351450321.16 53346160.77
Net Profit % 404796.48% 351450.32% 53346.16%
Exposure % 9.80% 6.69% 3.11%
Net Risk Adjusted Return % 4129439.63% 5253724.67% 1713574.03%
Annual Return % 137.97% 134.48% 92.63%
Risk Adjusted Return % 1407.44% 2010.36% 2975.48%
Transaction costs 73782233.97 53790429.62 19991804.35

All trades 597 404 (67.67 %) 193 (32.33 %)


Avg. Profit/Loss 678051.06 869926.54 276404.98
Avg. Profit/Loss % 0.52% 0.58% 0.38%
Avg. Bars Held 12.16 12.25 11.96

Winners 269 (45.06 %) 189 (31.66 %) 80 (13.40 %)


Total Profit 900079498.54 689330995.88 210748502.65
Avg. Profit 3346020.44 3647253.95 2634356.28
Avg. Profit % 2.21% 2.20% 2.23%
Avg. Bars Held 15.23 15.29 15.09
Max. Consecutive 9 7 5
Largest win 45931641.51 45931641.51 24309719.14
# bars in largest win 5 5 6

Losers 328 (54.94 %) 215 (36.01 %) 113 (18.93 %)


Total Loss -495283016.61 -337880674.72 -157402341.89
Avg. Loss -1510009.20 -1571538.02 -1392941.08
Avg. Loss % -0.87% -0.85% -0.93%
Avg. Bars Held 9.65 9.59 9.75
Max. Consecutive 12 10 8
Largest loss -16786589.69 -16786589.69 -9821876.17
# bars in largest loss 4 4 2

Max. trade drawdown -19779705.88 -19779705.88 -11335151.72


Max. trade % drawdown -3.40 -2.99 -3.40
Max. system drawdown -51874025.10 -53931319.98 -32103236.94
Max. system % drawdown -32.46% -39.38% -99.20%
Recovery Factor 7.80 6.52 1.66
CAR/MaxDD 4.25 3.41 0.93
RAR/MaxDD 43.36 51.05 29.99
Profit Factor 1.82 2.04 1.34
Payoff Ratio 2.22 2.32 1.89
Standard Error 54257061.98 49388584.37 9264198.50
Risk-Reward Ratio 0.54 0.55 0.25
Ulcer Index 11.07 11.77 45.03
Ulcer Performance Index 11.98 10.96 1.94
Sharpe Ratio of trades 6.10 6.67 4.81
K-Ratio 0.01 0.01 0.00

[Link] 10-09-2021

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