Walk-Forward Test xcor4_TZD portfolio

Simulated account AssetsFix
Bar period 1 hour (avg 121 min)
Simulation period 01.05.2016-26.08.2016 (1439 bars)
Test period 10.08.2016-26.08.2016 (288 bars)
Lookback period 80 bars (3 days)
WFO test cycles 1 x 288 bars (17 days)
Training cycles 1151..0 bars (0 minutes, anchored)
Monte Carlo cycles 200
Assumed slippage 10.0 sec
Capital invested 10000$

Gross win/loss 4215$ / -777$ (+512p)
Average profit 77268$/year, 6439$/month, 297$/day
Max drawdown -250$ 7% (MAE -3558$ 104%)
Total down time 6% (TAE 25%)
Max down time 31 hours from Aug 2016
Max open margin 14243$
Max open risk 5808$
Trade volume 1697268$ (38149356$/year)
Transaction costs -103$ spr, 1.59$ slp, -14$ rol, -134$ com
Capital required 14994$

Number of trades 27 (607/year, 12/week, 3/day)
Percent winning 63.0%
Max win/loss 826$ / -160$
Avg trade profit 127$ 19.0p (+37.0p / -11.6p)
Avg trade slippage 0.06$ 0.0p (+0.2p / -0.4p)
Avg trade bars 21 (+30 / -8)
Max trade bars 86 (3 days)
Time in market 206%
Max open trades 19
Max loss streak 3 (uncorrelated 4)

Annual growth rate 76516%
Profit factor 5.42 (PRR 3.12)
Sharpe ratio 3.22
Kelly criterion 1.33
R2 coefficient 0.678
Ulcer index 44.3%
Prediction error 116%

Confidence level AR DDMax Capital

10% 539% 35$ 14347$
20% 538% 41$ 14366$
30% 537% 51$ 14397$
40% 536% 61$ 14427$
50% 535% 71$ 14455$
60% 532% 90$ 14512$
70% 528% 129$ 14631$
80% 525% 160$ 14722$
90% 521% 193$ 14822$
95% 520% 208$ 14868$
100% 514% 268$ 15047$

Portfolio analysis OptF ProF Win/Loss Wgt% Cycles

AUD/USD avg .283 0.96 1/2 -0.2 X
EUR/USD avg .406 5.47 2/2 6.9 X
GBP/USD avg .414 0.40 2/2 -3.5 X
NZD/USD avg .258 6.34 1/1 10.0 X
USD/CAD avg .542 3.74 3/3 24.9 X
USD/CHF avg .399 ++++ 3/0 4.8 /
USD/JPY avg .484 ++++ 5/0 56.9 /

1IS avg .469 0.84 3/4 -1.2 X
2IS avg .499 2.94 2/1 3.5 X
3IS avg .398 15.83 3/1 36.7 X
4IS avg .485 3.97 6/3 30.9 X
5IS avg .180 40.30 3/1 30.0 X

AUD/USD:2IS .999 0.00 0/1 -1.8 \
AUD/USD:2IS:L .999 0.00 0/1 -1.8 \
AUD/USD:2IS:S .999 ---- 0/0 0.0 .
AUD/USD:3IS .000 0.00 0/1 -2.5 \
AUD/USD:3IS:L .999 0.00 0/1 -2.5 \
AUD/USD:3IS:S .000 ---- 0/0 0.0 .
AUD/USD:4IS .000 ++++ 1/0 4.1 /
AUD/USD:4IS:L .000 ---- 0/0 0.0 .
AUD/USD:4IS:S .402 ++++ 1/0 4.1 /
EUR/USD:1IS .142 0.00 0/1 -0.8 \
EUR/USD:1IS:L .999 0.00 0/1 -0.8 \
EUR/USD:1IS:S .000 ---- 0/0 0.0 .
EUR/USD:4IS .786 ++++ 1/0 2.9 /
EUR/USD:4IS:L .999 ++++ 1/0 2.9 /
EUR/USD:4IS:S .000 ---- 0/0 0.0 .
EUR/USD:5IS .547 7.29 1/1 4.8 X
EUR/USD:5IS:L .547 ++++ 1/0 5.6 /
EUR/USD:5IS:S .524 0.00 0/1 -0.8 \
GBP/USD:1IS .999 ++++ 1/0 1.0 /
GBP/USD:1IS:L .999 ++++ 1/0 1.0 /
GBP/USD:1IS:S .000 ---- 0/0 0.0 .
GBP/USD:2IS .868 ++++ 1/0 1.3 /
GBP/USD:2IS:L .999 ++++ 1/0 1.3 /
GBP/USD:2IS:S .000 ---- 0/0 0.0 .
GBP/USD:4IS .344 0.00 0/2 -5.8 \
GBP/USD:4IS:L .152 0.00 0/1 -1.6 \
GBP/USD:4IS:S .999 0.00 0/1 -4.2 \
NZD/USD:1IS .000 0.00 0/1 -1.9 \
NZD/USD:1IS:L .999 0.00 0/1 -1.9 \
NZD/USD:1IS:S .000 ---- 0/0 0.0 .
NZD/USD:3IS .122 ++++ 1/0 11.9 /
NZD/USD:3IS:L .582 ++++ 1/0 11.9 /
NZD/USD:3IS:S .000 ---- 0/0 0.0 .
USD/CAD:1IS .999 0.00 0/2 -4.5 \
USD/CAD:1IS:L .580 0.00 0/1 -2.9 \
USD/CAD:1IS:S .999 0.00 0/1 -1.6 \
USD/CAD:3IS .999 ++++ 1/0 24.0 /
USD/CAD:3IS:L .000 ---- 0/0 0.0 .
USD/CAD:3IS:S .999 ++++ 1/0 24.0 /
USD/CAD:4IS .920 1.34 1/1 1.6 X
USD/CAD:4IS:L .402 0.00 0/1 -4.7 \
USD/CAD:4IS:S .999 ++++ 1/0 6.2 /
USD/CAD:5IS .227 ++++ 1/0 3.8 /
USD/CAD:5IS:L .000 ---- 0/0 0.0 .
USD/CAD:5IS:S .452 ++++ 1/0 3.8 /
USD/CHF:1IS .878 ++++ 1/0 1.2 /
USD/CHF:1IS:L .000 ---- 0/0 0.0 .
USD/CHF:1IS:S .999 ++++ 1/0 1.2 /
USD/CHF:3IS .999 ++++ 1/0 3.2 /
USD/CHF:3IS:L .999 ---- 0/0 0.0 .
USD/CHF:3IS:S .999 ++++ 1/0 3.2 /
USD/CHF:4IS .999 ++++ 1/0 0.4 /
USD/CHF:4IS:L .000 ---- 0/0 0.0 .
USD/CHF:4IS:S .999 ++++ 1/0 0.4 /
USD/JPY:1IS .039 ++++ 1/0 3.8 /
USD/JPY:1IS:L .000 ---- 0/0 0.0 .
USD/JPY:1IS:S .999 ++++ 1/0 3.8 /
USD/JPY:2IS .201 ++++ 1/0 4.1 /
USD/JPY:2IS:L .000 ---- 0/0 0.0 .
USD/JPY:2IS:S .999 ++++ 1/0 4.1 /
USD/JPY:4IS .952 ++++ 2/0 27.6 /
USD/JPY:4IS:L .999 ++++ 1/0 12.2 /
USD/JPY:4IS:S .847 ++++ 1/0 15.4 /
USD/JPY:5IS .999 ++++ 1/0 21.4 /
USD/JPY:5IS:L .000 ---- 0/0 0.0 .
USD/JPY:5IS:S .999 ++++ 1/0 21.4 /