By the way, testing only the EUR/USD with the script above I got the following results:

Simulated account AssetsFix
Bar period 1 hour (avg 350 min)
Test period 2005-01-03..2017-12-01 (19380 bars)
Lookback period 80 bars (3 days)
Montecarlo cycles 200
Simulation mode Realistic ticks (slippage 5.0 sec)
Avg bar 240.0 ticks 30.0 pips range
Spread 0.5 pips (roll -0.02/0.01)
Commission 0.60
Contracts per lot 1000.0

Gross win/loss 8891$ / -7019$ (+21493p)
Average profit 145$/year, 12$/month, 0.55770707b/day
Max drawdown -157$ 8.4% (MAE -162$ 8.7%)
Total down time 81% (TAE 95%)
Max down time 18 weeks from Apr 2009
Max open margin 10$
Max open risk 14$
Trade volume 3608500$ (279508$/year)
Transaction costs -137$ spr, -132$ slp, -1.60$ rol, -189$ com
Capital required 86$

Number of trades 3149 (244/year, 5/week, 1/day)
Percent winning 34.4%
Max win/loss 52$ / -13$
Avg trade profit 0.59448257b 6.8p (+94.3p / -39.0p)
Avg trade slippage -0.04204255b -0.5p (+2.8p / -2.2p)
Avg trade bars 5 (+9 / -2)
Max trade bars 44 (44 hours)
Time in market 84%
Max open trades 1
Max loss streak 14 (uncorrelated 20)

Annual return 169%
Profit factor 1.27 (PRR 1.20)
Sharpe ratio 1.28
Kelly criterion 0.97
R2 coefficient 0.980
Ulcer index 2.3%

Confidence level AR DDMax Capital

10% 225% 113$ 64$
20% 202% 128$ 72$
30% 189% 138$ 77$
40% 181% 146$ 80$
50% 172% 154$ 84$
60% 163% 163$ 89$
70% 155% 173$ 93$
80% 142% 192$ 102$
90% 130% 211$ 112$
95% 113% 246$ 128$
100% 81% 350$ 179$

Portfolio analysis OptF ProF Win/Loss Wgt%

EUR/USD .137 1.27 1083/2066 100.0
EUR/USD:L .133 1.25 545/1030 46.1
EUR/USD:S .141 1.28 538/1036 53.9