WFA Test PerceptronV100 EURUSD

Simulated account   AssetsFix 
Bar period          1 hour (avg 86 min)
Simulation period   2014-01-14..2016-12-30 (18108 bars)
Test period         2015-07-08..2016-12-30 (9055 bars)
Lookback period     200 bars (12 days)
WFO test cycles     4 x 2263 bars (19 weeks)
Training cycles     5 x 9053 bars (78 weeks)
Simulation mode     Realistic (slippage 0.0 sec)
Avg bar             9.1 pips range
Spread              0.0 pips (roll 0.00/0.00)
Contracts per lot   1000.0

Gross win/loss      551$ / -594$ (-497p)
Average profit      -29.43$/year, -2.45$/month, -0.11$/day
Max drawdown        -60.19$ -138.1% (MAE -64.42$ -147.8%)
Total down time     99% (TAE 39%)
Max down time       23 weeks from Jan 2016
Max open margin     2.54$
Max open risk       10.17$
Trade volume        759622$ (512850$/year)
Transaction costs   0$ spr, 0$ slp, 0$ rol
Capital required    88.20$

Number of trades    777 (525/year, 11/week, 3/day)
Percent winning     50.1%
Max win/loss        10.58$ / -14.76$
Avg trade profit    -0.0561$ -0.6p (+16.1p / -17.4p)
Avg trade slippage  0$ 0.0p (+0.0p / -0.0p)
Avg trade bars      5 (+5 / -5)
Max trade bars      7 (7 hours)
Time in market      46%
Max open trades     1
Max loss streak     7 (uncorrelated 10)

Annual return       -33%
Profit factor       0.93 (PRR 0.84)
Sharpe ratio        -0.54
Kelly criterion     -0.89
R2 coefficient      0.555
Ulcer index         100.0%

Portfolio analysis  OptF  ProF  Win/Loss  Wgt%  Cycles

EURUSD              .000  0.93  389/388  100.0  \/\\
EURUSD:L            .000  0.94  121/112   27.0  ..\\
EURUSD:S            .000  0.92  268/276   73.0  \/\\