Simulation period 06.01.2009-16.05.2013
Test period 28.08.2010-16.05.2013
WFO test cycles 9 x 77 bars (15 weeks)
Training cycles 10 x 436 bars (90 weeks)
Lookback time 80 bars (16 weeks)
Assumed spread 2.0 pips (roll 3.29/-3.98)
Assumed slippage 10.0 sec
Contracts per lot 1
Gross win/loss 63230$ / -0.00$ (+74749p)
Average profit 23281$/year, 1940$/month, 90$/day
Max drawdown -3941$ 6% (MAE -4425$ 7%)
Total down time 21% (TAE 34%)
Max down time 17 weeks from Feb 2011
Largest margin 1920$
Trade volume 1585563$ (583797$/year)
Transaction costs -903$ spr, 101$ slp, 21517$ rol ***
Capital required 6062$
Any idea's why the transaction costs for Slippage and Rollover are not negative in my performance report? The manual states that
Slippage and rollover can increase the profit in rare cases; costs are then positive
But why is this?