Well, I was getting so decent results, that I first had to remove phantom bars, before continuing research. I guess I severely underestimated their impact on the profitability. So, a brand new history file is available to download, with the only difference that phantom bars are now removed (gaps are preserved):
http://www.perltrader.com/zorro/EURUSD_2012.bar-nophantom.zipBut, even with such (now very close to reality) data, I'm getting some unbelievably good results after backtesting even very simple and unoptimized strategies. The question now is have I uncovered the holy grail, or have I been bitten by yet another data leak from the future? History teaches me to be heavily inclined towards the latter view on the situation.
Unfortunately, I can't find any error in my calculations, so it's probably Zorro that is fooling with me now. Not that I find it guilty, the poor automaton was never designed for advanced concepts like median renko with gaps and tails.
Anyway, most of the strategy statistics I pasted below are certainly off because Zorro thinks it backtested only a year of data, when it was provided full 6 years of history. But even if we divide some numbers with 6, we are still left with a very decent performance. And look at the equity curve, can it get better than that?
BackTest AB_MR_win1 EUR/USD - performance report
Test period 02.01.2012-01.01.2013
Lookback time 800 bars (13 hours)
Assumed slippage 10.0 sec
Assumed spread 2.4 pips (roll -0.10/0.02)
Contracts per lot 746
Gross win/loss 6926$ / -4541$ (+31978p)
Average profit 2386$/year, 199$/month, 9.18$/day
Max drawdown -71$ 3% (MAE -79$ 3%)
Total down time 64% (TAE 96%)
Max down time 10 days from Jul 2012
Largest margin 5.00$
Trade volume 9288797$ (9289062$/year)
Transaction costs -1625$ spr, -609$ slp, -1.44$ rol
Capital required 128$
Number of trades 9074 (9074/year)
Percent winning 28%
Max win/loss 39$ / -15$
Avg trade profit 0.26$ 3.5p (+2.77$ / -0.69$)
Avg trade slippage -0.07$ -0.9p (+0.03$ / -0.16$)
Avg trade bars 41 (+104 / -18)
Max trade bars 1267 (21 hours)
Time in market 102%
Max open trades 1
Max loss streak 24 (uncorrelated 30)
Annual return 1945%
Profit factor 1.53 (PRR 1.48)
Sharpe ratio 8.46
Kelly criterion 3.83
OptimalF .207
Ulcer index 1%
Prediction error 17%
Portfolio analysis OptF ProF Win/Loss
EUR/USD:L .220 1.53 1262/3275
EUR/USD:S .194 1.53 1241/3296
I don't know how to proceed from here. Need some fresh ideas, suggestions...
