WFA Test Z1_V3 (TICKS) Simulated account AssetsDukasB_100 Bar period 1 hour (avg 86 min) Simulation period 2014-09-02..2019-12-13 (32169 bars) Test period 2017-08-02..2019-12-13 (14410 bars) Lookback period 2000 bars (17 weeks) WFO test cycles 13 x 1108 bars (46 days) Training cycles 14 x 9974 bars (86 weeks) Montecarlo cycles 200 Simulation mode Realistic ticks (slippage 5.0 sec) Capital invested 10000€ Gross win/loss 182436€ / -134126€ (+22954p) Virtual win/loss 195156€ / -145498€ Average profit 20426€/year, 1702€/month, 78.56€/day Max drawdown -5327€ 11.0% (MAE -5741€ 11.9%) Total down time 62% (TAE 92%) Max down time 7 weeks from Jan 2018 Max open margin 4829€ Max open risk 546185€ Trade volume 85170638€ (36010506€/year) Transaction costs -6495€ spr, -607€ slp, -215€ rol, -0.28€ com Capital required 1857€ Number of trades 3290 (1392/year, 27/week, 6/day) Percent winning 35.9% Max win/loss 2260€ / -407€ Avg trade profit 14.68€ 7.0p (+73.5p / -30.2p) Avg trade slippage -0.18€ -0.1p (+2.3p / -1.4p) Avg trade bars 26 (+37 / -16) Max trade bars 417 (25 days) Time in market 596% Max open trades 17 Max loss streak 24 (uncorrelated 19) Annual growth rate 110.75% Profit factor 1.36 (PRR 1.29) Sharpe ratio 2.68 R2 coefficient 0.953 Ulcer index 2.9% Cycle performance 1.35 1.36 1.37 Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total 2017 -5 0 37 2 -5 +27 2018 1 16 4 24 31 16 -2 16 11 6 4 -2 +213 2019 13 -0 2 6 1 9 3 -4 6 3 -0 1 +49 Portfolio analysis OptF ProF Win/Loss Wgt% Cycles AUD/JPY avg ---- 1.36 129/239 4.8 XXXXXX/XXXXXX AUD/USD avg ---- 1.27 47/51 1.2 XX/\XX/XXXXX/ CAD/JPY avg ---- 1.22 186/456 4.4 XXXXXXXXX/XXX EUR/HKD avg ---- 1.28 76/181 0.4 /XX//\\X///X/ EUR/USD avg ---- 1.39 129/306 4.6 XXXX/XXX/XXXX GBP/JPY avg ---- 1.17 71/156 1.2 XX/\X//XXXX/\ GBP/USD avg ---- 1.46 71/145 3.8 /X//XXX\XX//X NZD/CAD avg ---- 1.27 38/34 0.9 XXXX/X/\XXX/\ NZD/JPY avg ---- 1.28 98/192 3.0 XXXX/X/XX\XXX NZD/USD avg ---- 1.84 78/118 7.1 XXXX///XXX//X SGD/JPY avg ---- 1.47 47/44 1.8 \X\////X/X\XX USD/JPY avg ---- 1.33 77/184 2.1 /\X/\///X//\/ TLA1 avg ---- 1.81 87/236 7.3 \XXX/XXX/\XXX TLA2 avg ---- 1.40 307/267 11.6 XXXXXXXXXXXXX TLP1 avg ---- 1.28 422/999 11.1 XXXXXXXXXXXXX TLP2 avg ---- 1.24 231/604 5.3 XXXXXX/XXXXXX AUD/JPY:TLA2 ---- 1.58 46/31 2.8 /\X/XX/XX//XX AUD/JPY:TLA2:L ---- 1.43 23/16 1.1 /\\/\//\\//\/ AUD/JPY:TLA2:S ---- 1.77 23/15 1.6 /\///\//////\ AUD/JPY:TLP2 ---- 1.23 83/208 2.0 \/XX/X///XXXX AUD/JPY:TLP2:L ---- 1.24 39/107 1.0 \/\//\////\\/ AUD/JPY:TLP2:S ---- 1.22 44/101 0.9 \//\/////\//\ AUD/USD:TLA2 ---- 1.27 47/51 1.2 XX/\XX/XXXXX/ AUD/USD:TLA2:L ---- 1.05 20/29 0.1 /\/\/\//\/\\/ AUD/USD:TLA2:S ---- 1.54 27/22 1.1 \//\\//\/\/// CAD/JPY:TLA2 ---- 1.33 45/44 1.4 \X\X//XXX//X/ CAD/JPY:TLA2:L ---- 1.02 20/25 0.1 \\\\///\\//\/ CAD/JPY:TLA2:S ---- 1.79 25/19 1.4 \/\///\////// CAD/JPY:TLP1 ---- 1.21 70/200 1.8 X\/XXX/X\//\/ CAD/JPY:TLP1:L ---- 1.24 35/98 1.0 /\///\/\\//\/ CAD/JPY:TLP1:S ---- 1.18 35/102 0.8 \\/\\///\//\/ CAD/JPY:TLP2 ---- 1.16 71/212 1.2 XXX\///X//\XX CAD/JPY:TLP2:L ---- 0.94 32/110 -0.3 /\\\///\//\\\ CAD/JPY:TLP2:S ---- 1.44 39/102 1.4 \//\//////\// EUR/HKD:TLP1 ---- 1.28 76/181 0.4 /XX//\\X///X/ EUR/HKD:TLP1:L ---- 1.21 36/91 0.2 /\///\\////\/ EUR/HKD:TLP1:S ---- 1.35 40/90 0.3 //\//\\\///// EUR/USD:TLA1 ---- 1.27 52/153 1.1 \\X\/\X\/\XXX EUR/USD:TLA1:L ---- 0.95 10/38 -0.0 .\/\..\\/\\\/ EUR/USD:TLA1:S ---- 1.34 42/115 1.2 \\\\/\/\/\//\ EUR/USD:TLP1 ---- 1.46 77/153 3.5 /XX//X/X///// EUR/USD:TLP1:L ---- 1.31 34/83 1.2 /\///\/////// EUR/USD:TLP1:S ---- 1.61 43/70 2.3 //\////\///// GBP/JPY:TLP1 ---- 1.17 71/156 1.2 XX/\X//XXXX/\ GBP/JPY:TLP1:L ---- 0.88 30/83 -0.5 \//\\//\\\\/\ GBP/JPY:TLP1:S ---- 1.49 41/73 1.7 /\/\////////\ GBP/USD:TLP1 ---- 1.46 71/145 3.8 /X//XXX\XX//X GBP/USD:TLP1:L ---- 1.33 34/74 1.4 ////\//\/\/// GBP/USD:TLP1:S ---- 1.60 37/71 2.3 /\///\\\\///\ NZD/CAD:TLA2 ---- 1.27 38/34 0.9 XXXX/X/\XXX/\ NZD/CAD:TLA2:L ---- 1.21 17/19 0.4 /////\/\\\\/\ NZD/CAD:TLA2:S ---- 1.32 21/15 0.6 \\\\///\////\ NZD/JPY:TLA2 ---- 1.59 41/28 2.5 XXX//X/XX\//\ NZD/JPY:TLA2:L ---- 1.34 20/15 0.8 \\\//////\//\ NZD/JPY:TLA2:S ---- 1.94 21/13 1.7 /////\/\\\//\ NZD/JPY:TLP1 ---- 1.07 57/164 0.5 \/XX////X\X\X NZD/JPY:TLP1:L ---- 1.11 30/81 0.3 \//\/////\/\/ NZD/JPY:TLP1:S ---- 1.03 27/83 0.1 \/\/////\\\\\ NZD/USD:TLA1 ---- 2.31 35/83 6.2 \XX//////\//X NZD/USD:TLA1:L ---- 2.20 18/34 2.3 .\//////.\/// NZD/USD:TLA1:S ---- 2.38 17/49 3.8 \/\//////\//\ NZD/USD:TLA2 ---- 1.25 43/35 0.9 /\\X///XXX//\ NZD/USD:TLA2:L ---- 1.03 20/19 0.1 /\\\////\\//\ NZD/USD:TLA2:S ---- 1.51 23/16 0.8 /\\////\////\ SGD/JPY:TLA2 ---- 1.47 47/44 1.8 \X\////X/X\XX SGD/JPY:TLA2:L ---- 1.30 21/25 0.6 \\\////\/\\\/ SGD/JPY:TLA2:S ---- 1.70 26/19 1.2 \/\///////\/\ USD/JPY:TLP2 ---- 1.33 77/184 2.1 /\X/\///X//\/ USD/JPY:TLP2:L ---- 1.35 41/90 1.1 /\\/\//////\/ USD/JPY:TLP2:S ---- 1.31 36/94 1.0 /\//\///\//\/