BackTest Alessio_1 EUR/USD
Simulated account AssetsFix.dta
Bar period 5 min (avg 7 min)
Test period 04.01.2010-10.09.2015 (413867 bars)
Lookback period 80 bars (6 hours)
Monte Carlo cycles 200
Assumed slippage 0.0 sec
Spread 0.0 pips (roll 0.00/0.00)
Commission 0.60
Contracts per lot 1000.0
Gross win/loss 52$ / -62$ (-112p)
Average profit -1.72$/year, -0.14$/month, -0.01$/day
Max drawdown -39$ -395% (MAE -41$ -417%)
Total down time 98% (TAE 0%)
Max down time 190 weeks from Jan 2010
Max open margin 10$
Max open risk 17$
Trade volume 10578$ (1862$/year)
Transaction costs 0.00$ spr, 0.00$ slp, 0.00$ rol, -0.54$ com
Capital required 38$
Number of trades 9 (2/year, 1/week, 1/day)
Percent winning 44%
Max win/loss 13$ / -17$
Avg trade profit -1.08$ -12.4p (+149.3p / -141.8p)
Avg trade slippage 0.00$ 0.0p (+0.0p / -0.0p)
Avg trade bars 984 (+1690 / -419)
Max trade bars 4641 (23 days)
Time in market 2%
Max open trades 1
Max loss streak 2 (uncorrelated 4)
Annual return -5%
Profit factor 0.84 (PRR 0.29)
Sharpe ratio -0.11
Kelly criterion -0.28
R2 coefficient 0.000
Ulcer index 0.0%
Prediction error 157%
Confidence level AR DDMax Capital
10% -4% 47$ 44$
20% -3% 56$ 50$
30% -3% 66$ 58$
40% -3% 78$ 67$
50% -2% 86$ 73$
60% -2% 98$ 81$
70% -2% 107$ 87$
80% -2% 121$ 98$
90% -2% 140$ 112$
95% -1% 150$ 119$
100% -1% 184$ 144$
Portfolio analysis OptF ProF Win/Loss Wgt%
EUR/USD .000 0.84 4/5 100.0
EUR/USD:L .000 0.00 0/3 275.0
EUR/USD:S .125 1.49 4/2 -175.0