Risk Analysis: hftarbitrage-2-legs1
Monthly return
+43.2%
Avg trade length
2.2 hours
Trades per day
53.9
History
372 days
Risk/Reward Ratio
+2.17
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 | 80.7% |
| 20% loss | 65.1% |
| 30% loss | 52.5% |
| 40% loss | 42.4% |
| 50% loss | 34.2% |
| 60% loss | 27.6% |
| 70% loss | 22.2% |
| 80% loss | 17.9% |
| 90% loss | 14.5% |
| 100% loss | 11.7% |
Balance
Worst day %
-3.3%
Worst week %
-3.3%
Worst month %
-.--
Deepest valley
-5.4%
Loss from outset
-.--
Equity (approximate)
Worst day %
-8.3%
Worst week %
-9.8%
Worst month %
-1.1%
Deepest valley
-19.7%
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 | 0 |
| 10% loss | 0 | 0 |
| 9% loss | 0 | 0 |
| 8% loss | 0 | 0 |
| 7% loss | 0 | 0 |
| 6% loss | 0 | 0 |
| 5% loss | 0 | 0 |
| 4% loss | 1 | 1 |
| 3% loss | 2 | 0 |
| 2% loss | 1 | 0 |
| 1% loss | 2 | 1 |
| Total days/weeks | 266 | 54 |
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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