WFA Test Z3  (TICKS)

Simulated account   Assets_GP.csv 
Bar period          24 hours (avg 2025 min)
Total processed     4009 bars, 9812572 ticks
Simulation period   2010-05-25..2020-12-24 (2748 bars)
Test period         2013-01-14..2020-12-24 (2061 bars)
Lookback period     100 bars (20 weeks)
WFO test cycles     9 x 229 bars (46 weeks)
Training cycles     10 x 687 bars (138 weeks)
Montecarlo cycles   200
Simulation mode     Realistic ticks (slippage 5.0 sec)

Gross win/loss      75064$ / -63889$ (+447440p)
Average profit      1407$/year, 117$/month, 5.41$/day
Max drawdown        -10678$ 95.5% (MAE -10972$ 98.2%)
Total down time     92% (TAE 50%)
Max down time       59 weeks from Dec 2014
Max open margin     960$
Max open risk       15965$
Trade volume        10348002$ (1302864$/year)
Transaction costs   -1238$ spr, 42.59$ slp, -8517$ rol, -2846$ com
Capital required    7523$

Number of trades    331 (42/year)
Percent winning     53.2%
Max win/loss        2390$ / -2359$
Avg trade profit    33.76$ 1351.8p (+17076.3p / -16503.2p)
Avg trade slippage  0.13$ 5.2p (+211.6p / -229.3p)
Avg trade bars      4 (+5 / -3)
Max trade bars      21 (29 days)
Time in market      72%
Max open trades     3
Max loss streak     8 (uncorrelated 8)

Annual return       19%
Profit factor       1.17 (PRR 1.01)
Sharpe ratio        0.28 (Sortino 0.26)
Kelly criterion     0.41
Annualized StdDev   67.34% 
R2 coefficient      0.000
Ulcer index         43.2%
Scholz tax          2947 EUR

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2013   9   3   0  14  10 -14  11 -12 -12   1   6 -11    +5
2014 -24  12  -7   5   8  22  -9  -0  -5  28  34   4   +68
2015 -14  16 -11  -7  -9  -7 -17   0  -9  13 -21  -2   -67
2016 -28 -19  46 -23   1 -17  10   3   3  -1   8 -14   -29
2017   5  20  -8  -8   1   5   2  -5   8  21   4  -9   +35
2018  44   0 -17 -18  12  -4  -3  -0 -12  -6  -4 -62   -71
2019  23   2   9  12 -25  20  18 -22  -7  13  24 -12   +56
2020  29 -13   0  19  39  19  23  19 -25  16  31  -1  +155

Confidence level     AR   DDMax  Capital
 10%                 27%  7007   5267$
 20%                 24%  8141   5964$
 30%                 21%  9525   6814$
 40%                 19%  10260   7266$
 50%                 17%  11661   8127$
 60%                 16%  12946   8917$
 70%                 14%  14330   9767$
 80%                 13%  16539   11125$
 90%                 11%  19170   12742$
 95%                  9%  23225   15234$
100%                  7%  29962   19375$

Portfolio analysis  OptF  ProF  Win/Loss   Wgt%  Cycles

NAS100 avg          .116  1.27   60/53     61.9  \\/\/\\//
SPX500 avg          .016  1.04   62/53      6.0  /\/\\/\//
US30 avg            .030  1.18   54/49     32.2  ///\//\/\

NAS100:L            .116  1.27   60/53     61.9  \\/\/\\//
SPX500:L            .016  1.04   62/53      6.0  /\/\\/\//
US30:L              .030  1.18   54/49     32.2  ///\//\/\