Risk Analysis: blackalgo
Monthly return
+5.4%
Avg trade length
25.1 hours
Trades per day
1.3
History
2480 days
Risk/Reward Ratio
+1.42
Risk of ruin
Projection of the probability of falls in the account balance based on the account's trading history
| Size of loss | Probability |
| 10% loss | 53.3% |
| 20% loss | 28.5% |
| 30% loss | 15.2% |
| 40% loss | 8.1% |
| 50% loss | 4.3% |
| 60% loss | 2.3% |
| 70% loss | 1.2% |
| 80% loss | 0.7% |
| 90% loss | 0.4% |
| 100% loss | 0.2% |
Balance
Worst day %
-8.5%
Worst week %
-13.6%
Worst month %
-10.5%
Deepest valley
-27.0%
Loss from outset
-.--
Equity (approximate)
Worst day %
-8.5%
Worst week %
-12.6%
Worst month %
-10.5%
Deepest valley
-27.0%
Loss from outset
-.--
Spread of historic returns
Number of losing days/weeks in the trade history
| Size of loss | Days | Weeks |
| Worse than 10% | 0 | 3 |
| 10% loss | 0 | 2 |
| 9% loss | 1 | 2 |
| 8% loss | 1 | 0 |
| 7% loss | 1 | 4 |
| 6% loss | 7 | 5 |
| 5% loss | 14 | 7 |
| 4% loss | 21 | 17 |
| 3% loss | 47 | 22 |
| 2% loss | 90 | 23 |
| 1% loss | 298 | 40 |
| Total days/weeks | 1771 | 355 |
Trade outcome versus duration
Relationship between trade duration and profitability - pips banked, and profit as % of balance on day of trade-open
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