Test IS2 EUR/USD
Simulated account AssetsFix
Bar period 1 min (avg 1 min)
Test period 02.01.2004-17.05.2016 (4504144 bars)
Lookback period 0 bars (0 minutes)
Monte Carlo cycles 200
Assumed slippage 10.0 sec
Spread 0.5 pips (roll -0.42/0.06)
Contracts per lot 10000.0
Gross win/loss 125261$ / -111857$ (+13404p)
Average profit 1083$/year, 90$/month, 4.17$/day
Max drawdown -1930$ 14% (MAE -1947$ 15%)
Total down time 94% (TAE 57%)
Max down time 117 weeks from Jul 2012
Max open margin 224$
Max open risk 160$
Trade volume 83921171$ (6781903$/year)
Transaction costs -3211$ spr, -558$ slp, -266$ rol
Capital required 1174$
Number of trades 6423 (520/year, 10/week, 3/day)
Percent winning 51.6%
Max win/loss 347$ / -338$
Avg trade profit 2.09$ 2.1p (+37.8p / -36.0p)
Avg trade slippage -0.09$ -0.1p (+0.6p / -0.8p)
Avg trade bars 414 (+415 / -414)
Max trade bars 479 (7 hours)
Time in market 59%
Max open trades 1
Max loss streak 11 (uncorrelated 13)
Annual return 92%
Profit factor 1.12 (PRR 1.08)
Sharpe ratio 0.88
Kelly criterion 0.84
R2 coefficient 0.946
Ulcer index 5.0%
Prediction error 59%
Confidence level AR DDMax Capital
10% 103% 1684$ 1053$
20% 94% 1894$ 1156$
30% 90% 1990$ 1203$
40% 86% 2089$ 1252$
50% 81% 2272$ 1343$
60% 76% 2457$ 1433$
70% 71% 2634$ 1520$
80% 66% 2882$ 1642$
90% 58% 3352$ 1874$
95% 50% 3950$ 2168$
100% 32% 6360$ 3355$
Portfolio analysis OptF ProF Win/Loss Wgt%
EUR/USD .165 1.12 3315/3108 100.0
EUR/USD:L .225 1.13 1642/1569 39.1
EUR/USD:S .141 1.11 1673/1539 60.9