Hi jcl, I came across this OptimalF value of 0.999 again. I don't fully understand why this happens. I am concerned that it is not normal, and that it could be caused from something I'm doing incorrectly. See below on USDJPY which shows .999 for longs and .000 for shorts.
I'll post here also the USDJPY chart for this strategy.
Thanks for taking a look at this.
Portfolio analysis OptF ProF Win/Loss Wgt% Cycles
AUDUSD avg .167 1.35 1148/3094146.4 //X/
EURAUD avg .726 1.63 537/1673 381.9 ////
EURCAD avg .328 1.27 1557/2572146.9 /\//
NZDJPY avg .098 1.39 2588/2829376.2 \///
USDJPY avg .499 2.72 652/752 448.6 /\//
AUDUSD .139 1.35 1148/3094146.4 //X/
AUDUSD:L .116 1.37 823/2071 94.9 ////
AUDUSD:S .218 1.33 325/1023 51.5 //\/
EURAUD .612 1.63 537/1673 381.9 ////
EURAUD:L .459 1.35 334/1119 108.9 ////
EURAUD:S .994 1.91 203/554 273.0 ////
EURCAD .339 1.27 1557/2572146.9 /\//
EURCAD:L .374 1.35 1104/1584122.8 /\//
EURCAD:S .283 1.13 453/988 24.2 /\//
NZDJPY .117 1.39 2588/2829376.2 \///
NZDJPY:L .196 1.39 2588/2829376.2 \///
NZDJPY:S .000 ---- 0/0 0.0 ....
USDJPY .999 2.72 652/752 448.6 /\//
USDJPY:L .999 2.72 652/752 448.6 /\//
USDJPY:S .000 ---- 0/0 0.0 ....
EDIT: I should note also that this may be normal/correct. In looking at the testtrades log, I see that Zorro took the maximum Lot size on every USDJPY long trade as indicated above. However, even the worst losing trade was only a 6% loss (and far less than the MAE %).
