Quote:
Simulation period 06.01.2009-16.05.2013
Test period 28.08.2010-16.05.2013
WFO test cycles 9 x 77 bars (15 weeks)
Training cycles 10 x 436 bars (90 weeks)
Lookback time 80 bars (16 weeks)
Assumed spread 2.0 pips (roll 3.29/-3.98)
Assumed slippage 10.0 sec
Contracts per lot 1

Gross win/loss 63230$ / -0.00$ (+74749p)
Average profit 23281$/year, 1940$/month, 90$/day
Max drawdown -3941$ 6% (MAE -4425$ 7%)
Total down time 21% (TAE 34%)
Max down time 17 weeks from Feb 2011
Largest margin 1920$
Trade volume 1585563$ (583797$/year)
Transaction costs -903$ spr, 101$ slp, 21517$ rol ***
Capital required 6062$




Any idea's why the transaction costs for Slippage and Rollover are not negative in my performance report? The manual states that
Quote:
Slippage and rollover can increase the profit in rare cases; costs are then positive

But why is this?



Last edited by Geek; 05/29/13 16:35.