WFA Test Z3  (TICKS)

Simulated account   Assets_GP.csv 
Bar period          24 hours (avg 2027 min)
Total processed     4009 bars, 9812572 ticks
Simulation period   2010-05-24..2020-12-24 (2746 bars)
Test period         2013-01-15..2020-12-24 (2060 bars)
Lookback period     100 bars (20 weeks)
WFO test cycles     9 x 229 bars (46 weeks)
Training cycles     10 x 686 bars (137 weeks)
Montecarlo cycles   200
Simulation mode     Realistic ticks (slippage 5.0 sec)

Gross win/loss      78031$ / -54059$ (+1008756p)
Average profit      3019$/year, 252$/month, 11.61$/day
Max drawdown        -8951$ 37.3% (MAE -8951$ 37.3%)
Total down time     88% (TAE 47%)
Max down time       64 weeks from Nov 2014
Max open margin     963$
Max open risk       16053$
Trade volume        9692956$ (1220811$/year)
Transaction costs   -1142$ spr, -238$ slp, -8707$ rol, -2658$ com
Capital required    6465$

Number of trades    310 (40/year)
Percent winning     51.6%
Max win/loss        1980$ / -2350$
Avg trade profit    77.33$ 3254.1p (+20522.5p / -15165.6p)
Avg trade slippage  -0.77$ -32.3p (+193.5p / -273.1p)
Avg trade bars      4 (+5 / -4)
Max trade bars      22 (4 weeks)
Time in market      72%
Max open trades     3
Max loss streak     14 (uncorrelated 8)

Annual return       47%
Profit factor       1.44 (PRR 1.23)
Sharpe ratio        0.62 (Sortino 0.59)
Kelly criterion     0.82
Annualized StdDev   75.59% 
R2 coefficient      0.000
Ulcer index         11.1%
Scholz tax          6323 EUR

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2013  11 -14  -0  19  12 -13   9  -3 -15  -4  26   3   +32
2014 -29  10   6   5   8  18   3   1 -11   9  47 -15   +54
2015 -38  10 -35 -28  -7  -2  -4   0 -17  50 -23  -8  -100
2016   0   0  63  -4   0  -6  17   2  -2   2   5  -2   +74
2017   7  16   0  -4   7  -2  -3  -1  -2  15   4  15   +52
2018  51 -28  -2 -19   6  12  19   6 -14  -9   2 -34   -11
2019  48  -7  -5  32 -18  23   8 -11 -12  16  34  -4  +103
2020  24 -17   0  -5  26  27  49  30 -16  25  22   5  +171

Confidence level     AR   DDMax  Capital
 10%                 67%  5732   4486$
 20%                 58%  6834   5164$
 30%                 55%  7356   5485$
 40%                 50%  8198   6002$
 50%                 48%  8633   6270$
 60%                 45%  9431   6760$
 70%                 41%  10317   7305$
 80%                 38%  11294   7905$
 90%                 32%  13678   9371$
 95%                 29%  15523   10505$
100%                 16%  29257   18948$

Portfolio analysis  OptF  ProF  Win/Loss   Wgt%  Cycles

NAS100 avg          .168  1.57   52/48     50.9  \\\//\\//
SPX500 avg          .030  1.13   55/56     10.1  //\//\///
US30 avg            .085  1.65   53/46     39.0  ////////\

NAS100:L            .168  1.57   52/48     50.9  \\\//\\//
SPX500:L            .030  1.13   55/56     10.1  //\//\///
US30:L              .085  1.65   53/46     39.0  ////////\