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#475398 - 12/06/18 11:15 Why annual return of Z12 in v1.96 lower than previous version ?
beannt Offline
Guest

Registered: 05/31/18
Posts: 4
Loc: 3
I have done some Z12 strategy tests, but the AR is very low only 78% compare to previous version, is there any difference in config between versions.

WFA Test Z12 (TICKS)

Simulated account AssetsICMarkets
Bar period 4 hours (avg 338 min)
Simulation period 2010-04-29..2018-10-27 (13213 bars)
Test period 2013-08-22..2018-10-27 (8043 bars)
Lookback period 500 bars (17 weeks)
WFO test cycles 14 x 574 bars (19 weeks)
Training cycles 15 x 5170 bars (178 weeks)
Montecarlo cycles 200
Simulation mode Realistic ticks (slippage 5.0 sec)

Gross win/loss 95772$ / -77667$ (+73218p)
Virtual win/loss 101820$ / -83070$
Average profit 3495$/year, 291$/month, 13.44$/day
Max drawdown -4422$ 24.4% (MAE -5179$ 28.6%)
Total down time 76% (TAE 93%)
Max down time 19 weeks from Apr 2015
Max open margin 1119$
Max open risk 364319$
Trade volume 16324075$ (3151635$/year)
Transaction costs -1667$ spr, 38.44$ slp, -2840$ rol, -888$ com
Capital required 4484$

Number of trades 4140 (800/year, 16/week, 4/day)
Percent winning 49.2%
Max win/loss 705$ / -1163$
Avg trade profit 4.37$ 17.7p (+190.1p / -149.4p)
Avg trade slippage 0.0092840$ 0.0p (+2.5p / -2.3p)
Avg trade bars 31 (+38 / -23)
Max trade bars 431 (14 weeks)
Time in market 1602%
Max open trades 32
Max loss streak 24 (uncorrelated 13)

Annual return 78%
Profit factor 1.23 (PRR 1.18)
Sharpe ratio 0.81
Kelly criterion 0.84
R2 coefficient 0.791
Ulcer index 11.0%
Cycle performance 1.25 1.25 1.26 1.18

Confidence level AR DDMax Capital

10% 96% 3306 3635$
20% 87% 3815 4022$
30% 83% 4048 4200$
40% 80% 4301 4393$
50% 74% 4713 4706$
60% 69% 5207 5083$
70% 64% 5755 5499$
80% 55% 6879 6355$
90% 49% 7992 7202$
95% 43% 9213 8131$
100% 27% 15272 12742$

Portfolio analysis OptF ProF Win/Loss Wgt% Cycles

AUD/USD avg .010 1.00 533/409 -2.6 XXXXXXXXXXXXX
EUR/USD avg .035 1.34 1617/1223 95.2 XXXXXXXXXXXXX/
GBP/USD avg .029 1.42 888/900 74.1 XXXXXXXX/XXXX
GER30 avg .023 1.43 376/408 55.3 XXXXXXXXXXXXXX
NAS100 avg .008 2.52 158/96 73.4 /X/X/XXX////X/
SPX500 avg .003 1.06 108/137 4.5 XXX/X///
UK100 avg .004 1.58 62/71 17.8 XXXX/XXX/X/X
US30 avg .011 1.20 726/1129 36.9 XXXXXXXXXXXXXX
USD/CAD avg .044 1.32 1864/1876 92.8 XXXXXXXXXXXXXX
USD/CHF avg .029 1.53 351/407 7.4 XXXXXXXXXXXX/X
USD/JPY avg .006 1.45 277/300 17.5 X//X/XX/XXXXX
XAG/USD avg .000 ---- 0/0 0.0 ..............
XAU/USD avg .005 1.12 130/308 2.8 XXXXXXXXXXXX

A2 avg .010 1.41 398/275 85.5 XXXXXXXXXXXXXX
BB avg .025 1.67 817/463 46.9 XXX/XXX/XXXX/
CT avg .021 1.70 493/405 80.4 XXXXXXXXXXXXXX
CY avg .016 0.99 1214/925 -4.9 XXXXXXXXXXXXX
ES avg .003 1.10 337/495 6.1 XXXXXXXXXXXXXX
HP avg .013 1.18 1116/1057 53.2 XXXXXXXXXXXXXX
HU avg .013 1.41 490/533 86.0 XXXXXXXXX/X/XX
LP avg .007 1.09 277/596 2.8 XXXXXXXXXXXXXX
VO avg .038 1.38 1948/2515 119.2 XXXXXXXXXXXXXX

AUD/USD:A2 .061 1.39 160/104 63.7 .XXXXX/XXXXXX
AUD/USD:A2:L .061 1.13 77/56 10.7 ..XX/X///X
AUD/USD:A2:S .061 1.64 83/48 53.0 .X//X//XX//
AUD/USD:CY .000 0.88 373/305 -66.3 XXX/XXXXXXXX
AUD/USD:CY:L .000 0.61 160/169 -110.2 //XXX/X
AUD/USD:CY:S .062 1.16 213/136 43.9 /////XX//
EUR/USD:BB .131 1.58 400/218 15.1 /////////X/
EUR/USD:BB:L .000 ---- 0/0 0.0 ..............
EUR/USD:BB:S .131 1.58 400/218 15.1 /////////X/
EUR/USD:CT .143 2.15 78/40 14.2 .///X.X/XX//
EUR/USD:CT:L .000 ---- 0/0 0.0 ..............
EUR/USD:CT:S .143 2.15 78/40 14.2 .///X.X/XX//
EUR/USD:CY .101 1.40 492/335 37.2 XXX/XXXXXX/
EUR/USD:CY:L .089 1.22 242/186 11.3 /X.//X///
EUR/USD:CY:S .109 1.62 250/149 25.9 .X///XXXX//
EUR/USD:HP .062 1.08 388/340 6.9 /XXXXXXXXXXX/
EUR/USD:HP:L .000 0.85 227/225 -8.1 /X\XX//X/
EUR/USD:HP:S .072 1.42 161/115 15.1 .//X/.///
EUR/USD:VO .085 1.40 259/290 21.7 XXXXXXXXXXXXX/
EUR/USD:VO:L .085 1.58 135/141 15.5 X//XX//XX/
EUR/USD:VO:S .085 1.22 124/149 6.3 XX//X/XX///
GBP/USD:A2 .086 1.51 238/171 21.8 XXXXXXXX/XXXX
GBP/USD:A2:L .061 1.03 109/94 0.5 X//XXX.X/X
GBP/USD:A2:S .098 1.84 129/77 21.3 X////////
GBP/USD:BB .113 1.67 46/49 3.8 /.../.....
GBP/USD:BB:L .000 ---- 0/0 0.0 ..............
GBP/USD:BB:S .113 1.67 46/49 3.8 /.../.....
GBP/USD:CT .083 1.86 103/100 26.4 .XXXX/X/XX/
GBP/USD:CT:L .000 0.74 39/64 -4.1 .XXXX/X.XX.
GBP/USD:CT:S .113 3.08 64/36 30.5 .X////./
GBP/USD:HP .000 0.98 198/195 -0.8 .X//XX/XX/
GBP/USD:HP:L .000 ---- 0/0 0.0 ..............
GBP/USD:HP:S .000 0.98 198/195 -0.8 .X//XX/XX/
GBP/USD:VO .147 1.43 303/385 22.9 XX/XXX/X/X//
GBP/USD:VO:L .000 ---- 0/0 0.0 ..............
GBP/USD:VO:S .147 1.43 303/385 22.9 XX/XXX/X/X//
GER30:BB .099 2.51 22/10 5.7 .X/..../X/...
GER30:BB:L .000 ---- 0/0 0.0 ..............
GER30:BB:S .099 2.51 22/10 5.7 .X/..../X/...
GER30:CT .062 1.64 44/41 13.0 X.XXXX//XX
GER30:CT:L .061 2.32 19/14 9.3 ...X.//\
GER30:CT:S .067 1.28 25/27 3.7 X.X/X/.X/
GER30:ES .075 1.37 147/183 9.7 XXXXXXXXXXXXXX
GER30:ES:L .101 2.07 85/82 12.7 X/X/XXX/XXX/
GER30:ES:S .000 0.78 62/101 -3.1 /XX/XXXXXXX
GER30:HP .075 1.35 163/174 26.9 /XXX..XXXXXXX
GER30:HP:L .092 1.88 83/88 28.6 .//...XXXX/X/
GER30:HP:S .000 0.96 80/86 -1.7 /XXX..//X/
NAS100:CT .078 2.35 60/24 21.1 ///////////
NAS100:CT:L .078 2.35 60/24 21.1 ///////////
NAS100:CT:S .000 ---- 0/0 0.0 ..............
NAS100:HU .081 2.60 98/72 52.3 /X////X////X/
NAS100:HU:L .081 2.60 98/72 52.3 /X////X////X/
NAS100:HU:S .000 ---- 0/0 0.0 ..............
SPX500:HU .061 1.06 108/137 4.5 XXX/X///
SPX500:HU:L .061 1.06 108/137 4.5 XXX/X///
SPX500:HU:S .000 ---- 0/0 0.0 ..............
UK100:HU .087 1.58 62/71 17.8 XXXX/XXX/X/X
UK100:HU:L .087 1.58 62/71 17.8 XXXX/XXX/X/X
UK100:HU:S .000 ---- 0/0 0.0 ..............
US30:BB .128 4.00 20/12 18.1 /./.X........
US30:BB:L .142 8.84 16/4 18.4 ..././........
US30:BB:S .000 0.93 4/8 -0.3 /...........
US30:ES .000 0.90 190/312 -3.5 XX/XXXXXXXXXXX
US30:ES:L .000 0.85 94/143 -2.3 /X//XXXXXXX/
US30:ES:S .000 0.94 96/169 -1.2 XX/XX/X/XX/XX
US30:HU .000 0.95 98/149 -2.8 XXX/XXX////
US30:HU:L .000 0.95 98/149 -2.8 XXX/XXX////
US30:HU:S .000 ---- 0/0 0.0 ..............
US30:VO .061 1.27 418/656 25.2 /X//XXX////X
US30:VO:L .061 1.27 418/656 25.2 /X//XXX////X
US30:VO:S .000 ---- 0/0 0.0 ..............
USD/CAD:BB .100 1.13 240/109 3.1 //X.//////.
USD/CAD:BB:L .092 1.13 240/109 3.1 //X.//////.
USD/CAD:BB:S .000 ---- 0/0 0.0 ..............
USD/CAD:CT .090 1.25 152/141 6.3 XXXXXX/XXXX
USD/CAD:CT:L .103 1.84 92/62 8.1 X//XX/XXX.X
USD/CAD:CT:S .000 0.88 60/79 -1.9 XXXX////.
USD/CAD:CY .079 1.40 349/285 24.2 XXXXX/X/XXX/
USD/CAD:CY:L .096 1.78 190/124 23.2 /X/X//////
USD/CAD:CY:S .065 1.03 159/161 1.0 \X////X/
USD/CAD:HP .081 1.25 367/348 20.1 XXXXXXX/XXX/
USD/CAD:HP:L .112 1.51 210/150 17.9 XX/XX///X/
USD/CAD:HP:S .061 1.05 157/198 2.1 XXX/.X//
USD/CAD:HU .110 1.78 124/104 14.2 X////XXX/X//
USD/CAD:HU:L .110 1.78 124/104 14.2 X////XXX/X//
USD/CAD:HU:S .000 ---- 0/0 0.0 ..............
USD/CAD:LP .000 0.87 63/142 -0.7 XXXX/X/X
USD/CAD:LP:L .000 0.87 63/142 -0.7 XXXX/X/X
USD/CAD:LP:S .000 ---- 0/0 0.0 ..............
USD/CAD:VO .071 1.33 569/747 25.8 XXXXXX/XXXXXXX
USD/CAD:VO:L .093 1.52 304/357 17.9 X///.X/XXXXXXX
USD/CAD:VO:S .061 1.19 265/390 7.9 XXX/X//XX
USD/CHF:BB .070 1.28 89/65 1.1 //......../
USD/CHF:BB:L .000 ---- 0/0 0.0 ..............
USD/CHF:BB:S .070 1.28 89/65 1.1 //......../
USD/CHF:LP .284 1.28 84/146 0.8 X//XXXXXXX/
USD/CHF:LP:L .096 1.28 84/146 0.8 X//XXXXXXX/
USD/CHF:LP:S .000 ---- 0/0 0.0 ..............
USD/CHF:VO .367 1.76 178/196 5.5 ../X/X///X/X
USD/CHF:VO:L .367 1.76 178/196 5.5 ../X/X///X/X
USD/CHF:VO:S .000 ---- 0/0 0.0 ..............
USD/JPY:CT .000 0.95 56/59 -0.5 ///.X/XX/X
USD/JPY:CT:L .000 0.95 56/59 -0.5 ///.X/XX/X
USD/JPY:CT:S .000 ---- 0/0 0.0 ..............
USD/JPY:VO .111 1.67 221/241 18.0 X////XX/X/XXX
USD/JPY:VO:L .111 1.67 221/241 18.0 X////XX/X/XXX
USD/JPY:VO:S .000 ---- 0/0 0.0 ..............
XAU/USD:LP .063 1.12 130/308 2.8 XXXXXXXXXXXX
XAU/USD:LP:L .000 0.80 58/159 -2.4 XX/XX/X
XAU/USD:LP:S .097 1.49 72/149 5.2 /X/X\XXXX/


Edited by beannt (12/07/18 04:39)

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#475423 - 12/07/18 14:42 Re: Why annual return of Z12 in v1.96 lower than previous version ? [Re: beannt]
jcl Online

Chief Engineer

Registered: 07/22/00
Posts: 26655
Loc: Frankfurt
The return of a strategy depends on the test period and the asset data, so it is different when any of them changes.

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#475444 - Yesterday at 08:08 Re: Why annual return of Z12 in v1.96 lower than previous version ? [Re: jcl]
beannt Offline
Guest

Registered: 05/31/18
Posts: 4
Loc: 3
I have made clean a installation, re-download history data, use right Assets.csv for broker but the result is not better only 107%. What can I do to achieve the same result as 1.88 ?

WFA Test Z12 (TICKS)

Simulated account AssetsICMarkets
Bar period 4 hours (avg 337 min)
Simulation period 2010-04-29..2018-10-27 (13213 bars)
Test period 2013-08-22..2018-10-27 (8043 bars)
Lookback period 500 bars (17 weeks)
WFO test cycles 14 x 574 bars (19 weeks)
Training cycles 15 x 5170 bars (178 weeks)
Montecarlo cycles 200
Simulation mode Realistic ticks (slippage 5.0 sec)

Gross win/loss 114449$ / -92571$ (+64229p)
Average profit 4224$/year, 352$/month, 16.25$/day
Max drawdown -3685$ 16.8% (MAE -4897$ 22.4%)
Total down time 67% (TAE 96%)
Max down time 18 weeks from Aug 2017
Max open margin 1158$
Max open risk 6552$
Trade volume 16473674$ (3180518$/year)
Transaction costs -1786$ spr, -3021$ slp, -3361$ rol, -874$ com
Capital required 3962$

Number of trades 3737 (722/year, 14/week, 3/day)
Percent winning 49.1%
Max win/loss 844$ / -1134$
Avg trade profit 5.85$ 17.2p (+183.0p / -143.0p)
Avg trade slippage -0.81$ -2.4p (+0.9p / -5.6p)
Avg trade bars 47 (+59 / -36)
Max trade bars 689 (23 weeks)
Time in market 2224%
Max open trades 35
Max loss streak 15 (uncorrelated 13)

Annual return 107%
Profit factor 1.24 (PRR 1.18)
Sharpe ratio 0.94
Kelly criterion 0.83
R2 coefficient 0.787
Ulcer index 8.3%
Cycle performance 1.26 1.27 1.24 1.17

Confidence level AR DDMax Capital

10% 126% 2896 3361$
20% 119% 3135 3544$
30% 111% 3464 3794$
40% 106% 3708 3980$
50% 102% 3937 4154$
60% 95% 4313 4440$
70% 89% 4728 4756$
80% 82% 5257 5159$
90% 69% 6485 6093$
95% 62% 7454 6831$
100% 38% 13245 11238$

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