I'm doing an experiment where I'm running multiple
algos on diverse assets, the backtest works fine, the problem comes when computing the performance report because it takes so long and never ends, in fact, Zorro hangs out.
Is it possible to print information up to
Portfolio analysis?
Report extracted from the
manual
Walk-Forward Test Z4 portfolio
Simulated account AssetsFix.csv (NFA)
Bar Period 4 hours (avg 266 min)
Simulation period 06.06.2007-02.12.2017 (9483 bars)
Test period 10.06.2010-02.12.2017 (6259 bars)
WFO test cycles 11 x 569 bars (137 days)
WFO training cycles 12 x 3224 bars (111 weeks)
Lookback period 700 bars (169 days)
Monte Carlo cycles 200
Fill mode Realistic (slippage 5.0 sec)
Avg bar 5.1 ticks 470.5 pips range
Spread 0.7 pips (roll -0.70/-0.31)
Contracts per lot 1.0
Capital invested 5000$
Gross win/loss 60452$ / -43672$ (+16252 pips)
Virtual win/loss 60024$ / -44112$
Average profit 4309$/year, 359$/month, 17$/day
Max drawdown -2025$ 12% (MAE -2287$ 14%)
Total down time 78% (TAE 93%)
Max down time 119 days from May 2011
Max open margin 656$
Max open risk 1863$
Trade volume $10164943 (2610626$/year)
Transaction costs -637$ spr, -365$ slp, -906$ rol, -1102$ com
Capital required $2681
Number of trades 1370 (351/year)
Percent winning 44%
Max win/loss 810$ / -407$
Avg trade profit 12$ 10.4p (+99.0p / -56.5p)
Avg trade slippage -0.27$ 0.2p (+1.1p / -1.4p)
Avg trade bars 16 (+23 / -10)
Max trade bars 141 (34 days)
Time in market 355%
Max open trades 14
Max loss streak 17 (uncorrelated 13)
Annual return 161%
Profit factor 1.38 (PRR 1.28)
Sharpe ratio 1.94
Kelly criterion 0.63
Ulcer index 12%
Cycle performance 1.39 1.40 1.31 1.33 1.37 1.38
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2010 -2 20 -16 20 -13 22 10 -8 8 +38
2011 -1 15 15 -9 26 -1 -1 13 6 28 1 1 +135
2012 2 -9 21 1 3 -2 -0 3 1 0 7 13 +51
2013 6 13 -7 -4 9 6 -8 -4 0 1 -2 -8 -3
2014 6 3 0 -0 4 -2 3 -6 8 12 -9 5 +23
2015 5 -7 8 13 -1 0 0 1 3 -1 -5 -12 +17
2016 19 1 6 9 6 -10 10 3 1 -1 6 -2 +30
2017 -1 -7 6 -5 0 -0 -1 2 1 -5 -1 7 -6
Confidence level AR DDMax Capital
10% 236% 1440$ 1390$
20% 227% 1550$ 1470$
30% 218% 1680$ 1570$
40% 209% 1830$ 1680$
50% 202% 1940$ 1760$
60% 193% 2140$ 1900$
70% 186% 2340$ 2040$
80% 174% 2730$ 2320$
90% 166% 3080$ 2580$
95% 146% 4010$ 3580$
100% 104% 5640$ 4710$
Up to here
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Portfolio analysis OptF ProF Win/Loss Wgt% Cycles
