Walk-Forward Test Vulture EUR/USD - performance report

Simulation period 03.01.2006-03.10.2012
Test period 10.08.2009-03.10.2012
WFO test cycles 5 x 46905 bars (33 weeks)
Training cycles 6 x 265795 bars (191 weeks)
Lookback time 100 bars (8 hours)
Assumed spread 2.6 PIP (roll -0.06/0.03)
Assumed slippage 10.0 sec
Contracts per lot 800

Gross win/loss 331$ / -107$ (+2797p)
Average profit 71$/year, 6$/month, 0$/day
Max drawdown -48$ (MAE -69$)
Max down time 77 weeks from Apr 2011
Largest margin 5$
Trade volume 72639$ (23070$/year)
Transaction costs -14$ spr, -1$ slp, -2$ rol
Capital required $100

Number of trades 67 (21/year)
Percent winning 39%
Max win/loss 105$ / -21$
Avg trade profit 3$ 41.7p (+13$ / -3$)
Avg trade bars 1135 (+2399 / -333)
Max trade bars 21147 (15 weeks)
Time in market 32%
Max open trades 1
Max win/loss streak 3 / 11 (71.76% / 9.05% per year)

Annual return 71%
Profit factor 3.09 (PRR 2.15)
Sharpe ratio 1.14
Kelly criterion 1.81
OptimalF .557
Ulcer index 12%
Prediction error 60%

Trade details OptF ProF Win/Loss Cycles

EUR/USD:L .096 2.87 20/34 ///\/
EUR/USD:S .999 13.75 6/7 /\\//