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      137$ / -78$ (+773p)
Average profit      8.96$/year, 0.75$/month, 0.03$/day
Max drawdown        -28$ 47% (MAE -40$ 66%)
Total down time     72% (TAE 7%)
Max down time       136 weeks from Sep 2003
Largest margin      5.00$
Trade volume        33330$ (4998$/year)
Transaction costs   -6.22$ spr, -0.12$ slp, -0.82$ rol
Capital required    24$

Number of trades    35 (6/year, 1/week, 1/day)
Percent winning     26%
Max win/loss        43$ / -12$
Avg trade profit    1.71$ 22.1p (+197.5p / -38.6p)
Avg trade slippage  -0.00$ -0.0p (+0.5p / -0.2p)
Avg trade bars      92 (+295 / -22)
Max trade bars      542 (4 weeks)
Time in market      8%
Max open trades     1
Max loss streak     8 (uncorrelated 14)

Annual return       37%
Profit factor       1.77 (PRR 0.99)
Sharpe ratio        0.44
Kelly criterion     0.47
R2 coefficient      0.406
Ulcer index         20.7%
Prediction error    71%
Cycle performance   1.87 1.41 2.31 2.26 1.16 1.89 

Confidence level     AR   DDMax  Capital

 10%                 57%    16$  16$
 20%                 53%    18$  17$
 30%                 49%    20$  18$
 40%                 46%    22$  20$
 50%                 43%    24$  21$
 60%                 40%    26$  22$
 70%                 37%    29$  24$
 80%                 34%    32$  27$
 90%                 29%    39$  31$
 95%                 26%    44$  34$
100%                 21%    56$  42$

Portfolio analysis  OptF  ProF  Win/Loss  Wgt%

EUR/USD             .117  1.89    9/22   116.4  
EUR/USD:L           .142  2.39    6/10    93.8  
EUR/USD:S           .064  1.35    3/12    22.6