BackTest Workshop4_2Pc EUR/USD - performance report

Test period         01.05.2002-31.12.2008
Monte Carlo cycles  200
Lookback time       2000 bars (17 weeks)
Assumed slippage    10.0 sec
Spread              2.3 pips (roll -0.10/0.04)
Contracts per lot   1000.0

Gross win/loss      140$ / -87$ (+687p)
Average profit      7.96$/year, 0.66$/month, 0.03$/day
Max drawdown        -30$ 57% (MAE -42$ 79%)
Total down time     74% (TAE 7%)
Max down time       145 weeks from Sep 2003
Largest margin      5.00$
Trade volume        35696$ (5352$/year)
Transaction costs   -6.67$ spr, -0.14$ slp, -0.79$ rol
Capital required    25$

Number of trades    38 (6/year, 1/week, 1/day)
Percent winning     26%
Max win/loss        43$ / -14$
Avg trade profit    1.40$ 18.1p (+181.3p / -40.2p)
Avg trade slippage  -0.00$ -0.0p (+0.5p / -0.2p)
Avg trade bars      86 (+272 / -20)
Max trade bars      542 (4 weeks)
Time in market      8%
Max open trades     1
Max loss streak     9 (uncorrelated 14)

Annual return       31%
Profit factor       1.61 (PRR 0.93)
Sharpe ratio        0.38
Kelly criterion     0.43
R2 coefficient      0.281
Ulcer index         26.1%
Prediction error    75%
Cycle performance   1.58 2.31 1.01 1.89 

Confidence level     AR   DDMax  Capital

 10%                 50%    16$  16$
 20%                 46%    18$  17$
 30%                 44%    20$  18$
 40%                 41%    22$  19$
 50%                 38%    24$  21$
 60%                 35%    26$  23$
 70%                 32%    29$  25$
 80%                 29%    34$  27$
 90%                 25%    41$  32$
 95%                 23%    44$  35$
100%                 14%    75$  55$

Portfolio analysis  OptF  ProF  Win/Loss  Wgt%

EUR/USD             .117  1.89    9/22   130.9  
EUR/USD:L           .142  2.39    6/10   105.4  
EUR/USD:S           .064  1.35    3/12    25.4