WFA Test Z12 (TICKS) Simulated account AssetsFix Bar period 4 hours (avg 336 min) Simulation period 2010-04-29..2020-02-29 (15391 bars) Test period 2013-11-18..2020-02-29 (9850 bars) Lookback period 500 bars (16 weeks) WFO test cycles 16 x 616 bars (20 weeks) Training cycles 17 x 5541 bars (184 weeks) Montecarlo cycles 200 Simulation mode Realistic ticks (slippage 5.0 sec) Gross win/loss 407430$ / -273438$ (+917760p) Virtual win/loss 427812$ / -289020$ Average profit 21334$/year, 1778$/month, 82.05$/day Max drawdown -16815$ 12.5% (MAE -17362$ 13.0%) Total down time 79% (TAE 95%) Max down time 45 weeks from Mar 2017 Max open margin 1396$ Max open risk 2150354$ Trade volume 64129755$ (10210720$/year) Transaction costs -26928$ spr, -158$ slp, 10164$ rol, -7095$ com Capital required 13018$ Number of trades 3756 (599/year, 12/week, 2/day) Percent winning 53.0% Max win/loss 2394$ / -1820$ Avg trade profit 35.67$ 244.3p (+1403.0p / -1059.9p) Avg trade slippage -0.0421$ -0.3p (+16.0p / -18.6p) Avg trade bars 44 (+46 / -41) Max trade bars 724 (24 weeks) Time in market 1682% Max open trades 41 Max loss streak 20 (uncorrelated 11) Annual return 164% Profit factor 1.49 (PRR 1.42) Sharpe ratio 1.46 (Sortino 1.46) Kelly criterion 1.27 Annualized StdDev 115.52% R2 coefficient 0.735 Ulcer index 4.3% Scholz tax 88997 EUR Cycle performance 1.46 1.50 1.50 1.50 Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total 2013 -4 -5 -9 2014 33 -22 -6 26 12 10 -4 16 6 -2 32 19 +120 2015 121 -33 26 -6 -11 -5 12 16 -23 33 11 92 +232 2016 113 56 68 39 -2 75 2 22 7 122 12 23 +537 2017 -43 53 7 11 -12 2 11 -3 -46 6 -1 -29 -44 2018 -6 8 -6 -18 9 33 -10 34 7 5 4 -12 +49 2019 75 -0 1 -4 -14 19 57 12 10 -16 -12 -5 +124 2020 8 -0 +7 Confidence level AR DDMax Capital 10% 276% 9154 7722$ 20% 251% 10267 8492$ 30% 235% 11096 9065$ 40% 226% 11639 9440$ 50% 218% 12123 9775$ 60% 207% 12864 10287$ 70% 198% 13535 10751$ 80% 188% 14382 11336$ 90% 169% 16215 12603$ 95% 151% 18366 14090$ 100% 107% 26921 20002$ Portfolio analysis OptF ProF Win/Loss Wgt% Cycles AUD/USD avg .001 1.60 305/133 8.0 X/XXX/X/XX\XXX/X EUR/USD avg .000 0.57 202/341 -8.7 X\/X\\XX\\\/\X\\ GBP/USD avg .008 1.58 1108/844 25.9 XXXXXXXXXXXXXXXX GER30 avg .000 0.74 24/31 -0.6 \XX\X./\/\\//\/\ NAS100 avg .003 1.70 296/313 3.9 XXX/XXXX/XXXXX/X SPX500 avg .000 1.33 144/119 1.2 X/X/X/XX////\X// UK100 avg .002 1.26 169/168 2.9 /XXX\X/XXX/XXXXX US30 avg .001 1.17 355/502 2.5 X/XXXXXXX/XXXXXX USD/CAD avg .007 1.34 1806/1964 23.2 XXXXXXXXXXXXXXXX USD/CHF avg .001 1.53 426/232 5.7 /X/X/////XX\\X/X USD/JPY avg .003 1.24 1007/761 7.0 XXXXXXXXXXXXXXXX XAG/USD avg .001 11.86 304/32 30.8 //////\.//.///// XAU/USD avg .000 1.40 189/122 5.1 ./\.////X\X\X//X A2 avg .001 1.21 558/406 6.7 XXXXXXX/XX\XXXXX BB avg .003 2.37 1265/511 37.5 XXXXXXXX/XXXXXXX CT avg .003 1.43 693/497 14.9 XXXXXXXXXXXXXXXX CX avg .002 0.91 177/195 -1.0 XXXXXXXXXXXXXXX\ CY avg .002 1.46 490/430 11.2 X\XXX/XXXXXXXXX\ ES avg .000 ---- 0/0 0.0 ................ HP avg .002 1.41 931/722 16.1 XXXXX/XXXXXXXXXX HU avg .003 1.34 509/473 7.6 XXXXXXXXXXXXXXXX LG avg .003 1.42 429/585 4.5 XXXXXXXXXXXXXXXX VO avg .002 1.25 1283/1743 9.6 XXXXXXXXXXXXXXXX AUD/USD:A2 .016 1.60 305/133 8.0 X/XXX/X/XX\XXX/X AUD/USD:A2:L .000 0.99 122/75 -0.0 X/\XX/X///\\X\/X AUD/USD:A2:S .022 2.18 183/58 8.1 X//XX/X/X\\///// EUR/USD:A2 .000 0.61 82/177 -4.0 .\//\\\/\\\/\X\\ EUR/USD:A2:L .000 ---- 0/0 0.0 ................ EUR/USD:A2:S .000 0.61 82/177 -4.0 .\//\\\/\\\/\X\\ EUR/USD:CT .000 0.52 72/90 -2.3 X./\.\/\\\\.\/\\ EUR/USD:CT:L .000 ---- 0/0 0.0 ................ EUR/USD:CT:S .000 0.52 72/90 -2.3 X./\.\/\\\\.\/\\ EUR/USD:CX .000 0.55 48/74 -2.4 \\/X\\//\\\/\/\\ EUR/USD:CX:L .000 ---- 0/0 0.0 ................ EUR/USD:CX:S .000 0.55 48/74 -2.4 \\/X\\//\\\/\/\\ GBP/USD:A2 .014 1.33 171/96 2.7 \//\////\\\.XXX\ GBP/USD:A2:L .000 ---- 0/0 0.0 ................ GBP/USD:A2:S .014 1.33 171/96 2.7 \//\////\\\.XXX\ GBP/USD:CT .012 1.92 214/129 10.5 XXX\X/XXXX/XXX/X GBP/USD:CT:L .007 1.05 84/70 0.3 X\\\\/X\/X/\/X/X GBP/USD:CT:S .015 2.82 130/59 10.2 \//\////\\//\X/. GBP/USD:CX .027 1.53 105/90 1.9 X\/XX/X/XX/XX\X\ GBP/USD:CX:L .035 1.78 56/42 1.4 /\//X/..///\X\\\ GBP/USD:CX:S .025 1.29 49/48 0.5 \\/\//X/\\./\\/\ GBP/USD:CY .015 1.77 117/86 4.4 .\X/X///\\\//X/\ GBP/USD:CY:L .000 ---- 0/0 0.0 ................ GBP/USD:CY:S .015 1.77 117/86 4.4 .\X/X///\\\//X/\ GBP/USD:HP .022 1.44 366/267 4.9 \\/\////\\X//\// GBP/USD:HP:L .000 ---- 0/0 0.0 ................ GBP/USD:HP:S .022 1.44 366/267 4.9 \\/\////\\X//\// GBP/USD:LG .016 1.29 135/176 1.4 XXXXXXX\X/\XX/\X GBP/USD:LG:L .000 0.93 74/128 -0.2 XXX/\XX\X/\XX/\/ GBP/USD:LG:S .023 2.08 61/48 1.7 X//X///\X/\X//.X GER30:CX .000 0.74 24/31 -0.6 \XX\X./\/\\//\/\ GER30:CX:L .000 0.71 13/12 -0.4 .//\X..\/\\.../\ GER30:CX:S .000 0.78 11/19 -0.2 \X\.../...\//\.\ NAS100:HU .025 2.01 128/96 2.8 X/\/X/XX//XXX/// NAS100:HU:L .025 2.01 128/96 2.8 X/\/X/XX//XXX/// NAS100:HU:S .000 ---- 0/0 0.0 ................ NAS100:LG .047 1.39 168/217 1.1 XXX//\XX/XXXXX/X NAS100:LG:L .047 1.39 168/217 1.1 XXX//\XX/XXXXX/X NAS100:LG:S .000 ---- 0/0 0.0 ................ SPX500:HU .013 1.33 144/119 1.2 X/X/X/XX////\X// SPX500:HU:L .013 1.33 144/119 1.2 X/X/X/XX////\X// SPX500:HU:S .000 ---- 0/0 0.0 ................ UK100:HU .021 1.26 169/168 2.9 /XXX\X/XXX/XXXXX UK100:HU:L .017 1.29 81/85 1.6 /XXX\X//X\/XX/\X UK100:HU:S .023 1.22 88/83 1.3 /X/X\X/\\X/\/\XX US30:HU .014 1.14 68/90 0.7 \/\/\XX\X/XXX/XX US30:HU:L .014 1.14 68/90 0.7 \/\/\XX\X/XXX/XX US30:HU:S .000 ---- 0/0 0.0 ................ US30:VO .013 1.19 287/412 1.8 X//\XXX///X\XX/X US30:VO:L .013 1.19 287/412 1.8 X//\XXX///X\XX/X US30:VO:S .000 ---- 0/0 0.0 ................ USD/CAD:CT .024 1.44 227/151 5.1 X\XXXX///XXXX\\X USD/CAD:CT:L .035 2.67 135/59 6.3 /\///X///X\/X.\\ USD/CAD:CT:S .000 0.85 92/92 -1.2 \\XX\X///XX\\\\X USD/CAD:CY .021 1.36 373/344 6.8 X\XXX/XXXX/XXXX\ USD/CAD:CY:L .037 2.43 216/133 10.2 /\//X/X//\////X\ USD/CAD:CY:S .000 0.71 157/211 -3.4 \\\\\//\X//X\\\\ USD/CAD:HP .014 1.40 376/333 6.0 XXX/X/XXXX\XX\X\ USD/CAD:HP:L .036 2.40 198/132 7.5 /\////\//X\//.\\ USD/CAD:HP:S .000 0.84 178/201 -1.6 \X\/X//\XX\\X\X\ USD/CAD:LG .008 1.66 126/192 2.0 /\////X//XXX/\\X USD/CAD:LG:L .013 1.66 126/192 2.0 /\////X//XXX/\\X USD/CAD:LG:S .000 ---- 0/0 0.0 ................ USD/CAD:VO .020 1.16 704/944 3.3 XXXXX/XXXX\XXXXX USD/CAD:VO:L .037 1.47 379/448 3.5 /X/X//XX/X\XXX\\ USD/CAD:VO:S .000 0.99 325/496 -0.2 \X\X\/X\\/\X\X// USD/CHF:BB .012 1.53 426/232 5.7 /X/X/////XX\\X/X USD/CHF:BB:L .023 1.92 225/90 3.6 /////////X\.\//\ USD/CHF:BB:S .009 1.30 201/142 2.0 /\/\/////./\.\// USD/JPY:BB .015 1.07 535/247 1.0 XX\XXXXX/XX\\XXX USD/JPY:BB:L .016 1.04 276/120 0.3 //./XX\///\\\\/X USD/JPY:BB:S .013 1.12 259/127 0.7 \X\\///X/\/\./X/ USD/JPY:CT .015 1.23 180/127 1.6 //XX/XX/XXXXXXXX USD/JPY:CT:L .030 2.04 89/49 2.4 //X/.\\/X/XXX/XX USD/JPY:CT:S .000 0.83 91/78 -0.8 /.\X////X\/\\\/\ USD/JPY:VO .014 1.53 292/387 4.4 /X//\XX/XX\/XX\X USD/JPY:VO:L .014 1.53 292/387 4.4 /X//\XX/XX\/XX\X USD/JPY:VO:S .000 ---- 0/0 0.0 ................ XAG/USD:BB .022 11.86 304/32 30.8 //////\.//.///// XAG/USD:BB:L .000 ---- 0/0 0.0 ................ XAG/USD:BB:S .022 11.86 304/32 30.8 //////\.//.///// XAU/USD:HP .013 1.40 189/122 5.1 ./\.////X\X\X//X XAU/USD:HP:L .013 1.40 189/122 5.1 ./\.////X\X\X//X XAU/USD:HP:S .000 ---- 0/0 0.0 ................