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- Walk-Forward Test Z12 portfolio
- Simulated account AssetsFix
- Bar period 4 hours (avg 337 min)
- Simulation period 29.04.2010-07.06.2016 (9495 bars)
- Test period 24.01.2013-07.06.2016 (5223 bars)
- Lookback period 500 bars (17 weeks)
- WFO test cycles 11 x 475 bars (16 weeks)
- Training cycles 12 x 4272 bars (147 weeks)
- Monte Carlo cycles 200
- Assumed slippage 10.0 sec
- Gross win/loss 56037$ / -39469$ (+456396p)
- Average profit 4922$/year, 410$/month, 19$/day
- Max drawdown -1532$ 9% (MAE -2426$ 15%)
- Total down time 52% (TAE 92%)
- Max down time 55 weeks from Jul 2013
- Max open margin 931$
- Max open risk 45425$
- Trade volume 8061194$ (2394755$/year)
- Transaction costs -1604$ spr, -1028$ slp, -143$ rol, -336$ com
- Capital required 2377$
- Number of trades 2329 (692/year, 14/week, 3/day)
- Percent winning 48.7%
- Max win/loss 596$ / -251$
- Avg trade profit 7.11$ 196.0p (+1360.0p / -910.6p)
- Avg trade slippage -0.44$ -12.2p (+1.9p / -25.6p)
- Avg trade bars 48 (+64 / -31)
- Max trade bars 932 (32 weeks)
- Time in market 2177%
- Max open trades 42
- Max loss streak 15 (uncorrelated 12)
- Annual return 207%
- Profit factor 1.42 (PRR 1.34)
- Sharpe ratio 1.60
- Kelly criterion 1.24
- R2 coefficient 0.594
- Ulcer index 6.7%
- Prediction error 8%
- Cycle performance 1.48 1.35 1.41 1.45
- Confidence level AR DDMax Capital
- 10% 244% 1153$ 2019$
- 20% 226% 1320$ 2177$
- 30% 212% 1470$ 2318$
- 40% 199% 1634$ 2473$
- 50% 188% 1784$ 2615$
- 60% 178% 1944$ 2765$
- 70% 171% 2060$ 2875$
- 80% 160% 2282$ 3085$
- 90% 144% 2638$ 3421$
- 95% 128% 3083$ 3841$
- 100% 100% 4225$ 4919$
- Portfolio analysis OptF ProF Win/Loss Wgt% Cycles
- AUD/USD avg .027 1.85 129/104 18.7 XXXXXXXXXXX
- EUR/USD avg .031 1.43 241/224 31.6 XXXXXXXXXXX
- GBP/USD avg .047 1.30 189/274 10.0 XXXXXXXXXXX
- GER30 avg .024 1.30 14/20 2.5 /X\X\XXX./X
- NAS100 avg .009 1.12 52/79 2.9 XXXXXXXXXXX
- SPX500 avg .010 2.07 73/38 10.8 /X///X//X\/
- UK100 avg .014 1.11 14/26 1.6 \X\\/\XXXXX
- US30 avg .014 1.67 10/21 4.8 .\...//XX\\
- USD/CAD avg .047 1.42 228/246 15.6 XXXXXXXXXXX
- USD/CHF avg .012 1.72 32/25 2.6 /X\XX//\X//
- USD/JPY avg .019 1.45 82/92 5.4 X/XX\XX\XXX
- XAG/USD avg .006 1.62 62/40 5.8 //////X/\X\
- XAU/USD avg .022 1.49 70/86 5.1 XXXXXXXXXXX
- A2 avg .020 1.28 97/81 7.2 XXXXXXXXXX/
- BB avg .018 1.26 117/63 5.5 XXXXX/XXXXX
- CT avg .022 1.93 87/63 11.8 XXXXX/XXXXX
- CY avg .032 1.30 315/285 22.1 XXXXXXXXXXX
- ES avg .013 1.57 39/79 2.5 XX\XX\XXX\/
- HP avg .023 1.42 166/175 24.9 X\X\XXXXXXX
- HU avg .029 1.23 157/212 9.7 XXXXXXXXXXX
- LP avg .022 1.82 44/103 4.2 XX/XXXXX\XX
- VO avg .039 2.26 174/214 29.5 XXXXX//XXXX
- AUD/USD:BB .190 2.76 26/11 2.3 /.\/\//////
- AUD/USD:BB:L .000 ---- 0/0 0.0 ...........
- AUD/USD:BB:S .190 2.76 26/11 2.3 /.\/\//////
- AUD/USD:CT .097 1.94 31/15 4.4 /XX\///X\\X
- AUD/USD:CT:L .042 1.05 12/8 0.1 /\\../.\.\/
- AUD/USD:CT:S .116 2.82 19/7 4.3 ///\////\.\
- AUD/USD:CY .087 1.69 56/43 8.3 /XX//XX/X\X
- AUD/USD:CY:L .000 0.98 23/24 -0.1 /\///\\/\\/
- AUD/USD:CY:S .103 2.77 33/19 8.4 //\//////\\
- AUD/USD:VO .106 1.93 16/35 3.7 \///\//\\\\
- AUD/USD:VO:L .000 ---- 0/0 0.0 ...........
- AUD/USD:VO:S .106 1.93 16/35 3.7 \///\//\\\\
- EUR/USD:A2 .069 1.95 17/9 5.3 .\.\///\\..
- EUR/USD:A2:L .000 ---- 0/0 0.0 ...........
- EUR/USD:A2:S .069 1.95 17/9 5.3 .\.\///\\..
- EUR/USD:CY .048 1.14 78/69 2.7 \\XXXXXX///
- EUR/USD:CY:L .000 0.81 32/39 -2.5 \\//\\\////
- EUR/USD:CY:S .081 1.82 46/30 5.2 .\\\///\//.
- EUR/USD:ES .143 2.19 14/28 2.0 /\\//\//\\/
- EUR/USD:ES:L .000 ---- 0/0 0.0 ...........
- EUR/USD:ES:S .143 2.19 14/28 2.0 /\\//\//\\/
- EUR/USD:HP .052 1.24 94/89 8.8 \\X\X/X/\//
- EUR/USD:HP:L .000 0.75 40/43 -5.4 \\/\\/\/\//
- EUR/USD:HP:S .074 1.88 54/46 14.2 .\\\////\/.
- EUR/USD:HU .046 1.30 16/16 1.6 /\\\////\\\
- EUR/USD:HU:L .000 ---- 0/0 0.0 ...........
- EUR/USD:HU:S .046 1.30 16/16 1.6 /\\\////\\\
- EUR/USD:VO .120 3.65 22/13 11.2 ///\X//\///
- EUR/USD:VO:L .064 1.37 10/10 1.1 .//\\..\///
- EUR/USD:VO:S .222 9.12 12/3 10.1 ///.///../.
- GBP/USD:A2 .044 1.10 29/30 0.8 \\\/\X\\/./
- GBP/USD:A2:L .000 0.82 15/14 -0.7 \\./.\\\/./
- GBP/USD:A2:S .058 1.33 14/16 1.5 \\\/\/\\/./
- GBP/USD:CT .129 1.95 16/13 1.3 .\\.\/\////
- GBP/USD:CT:L .000 ---- 0/0 0.0 ...........
- GBP/USD:CT:S .129 1.95 16/13 1.3 .\\.\/\////
- GBP/USD:CY .052 1.18 42/44 1.9 \X.X\XXXX//
- GBP/USD:CY:L .000 0.85 20/26 -1.0 \\./.\\/\./
- GBP/USD:CY:S .105 1.80 22/18 2.9 ./.\\//\///
- GBP/USD:ES .101 1.19 25/51 0.5 XX\\X.\X/./
- GBP/USD:ES:L .044 1.02 11/27 0.0 \\\\\.\//./
- GBP/USD:ES:S .173 1.41 14/24 0.5 //\\/..\/./
- GBP/USD:HU .066 1.18 17/24 0.3 //\\\/\\//.
- GBP/USD:HU:L .000 ---- 0/0 0.0 ...........
- GBP/USD:HU:S .066 1.18 17/24 0.3 //\\\/\\//.
- GBP/USD:LP .120 1.45 16/49 1.3 \X/\XXX/\XX
- GBP/USD:LP:L .160 1.74 8/26 1.0 \\/\/\\/\\/
- GBP/USD:LP:S .071 1.15 8/23 0.2 \/.\\///\/\
- GBP/USD:VO .138 1.64 44/63 3.9 \/\\\///\/\
- GBP/USD:VO:L .000 ---- 0/0 0.0 ...........
- GBP/USD:VO:S .138 1.64 44/63 3.9 \/\\\///\/\
- GER30:BB .000 0.91 4/4 -0.3 ..\\../X../
- GER30:BB:L .066 1.28 1/1 0.2 ...\.../...
- GER30:BB:S .000 0.78 3/3 -0.5 ..\\../\../
- GER30:CY .066 1.35 4/7 1.0 .../.\\X./\
- GER30:CY:L .000 0.00 0/4 -1.8 .....\\\...
- GER30:CY:S .186 3.70 4/3 2.8 .../.\././\
- GER30:HU .120 1.66 6/9 1.7 /X\\\/.\./\
- GER30:HU:L .000 0.93 2/5 -0.1 .\..\..\./\
- GER30:HU:S .227 3.11 4/4 1.9 //\\./.\..\
- NAS100:BB .041 1.07 16/18 0.5 \XX\..X//\\
- NAS100:BB:L .068 1.53 11/9 1.8 .//...\//\.
- NAS100:BB:S .000 0.59 5/9 -1.3 \\\\..///\\
- NAS100:CT .130 3.46 12/6 5.1 /\//////.\.
- NAS100:CT:L .130 3.46 12/6 5.1 /\//////.\.
- NAS100:CT:S .000 ---- 0/0 0.0 ...........
- NAS100:HU .000 0.82 24/55 -2.7 \XXXX\XXXXX
- NAS100:HU:L .000 0.85 14/27 -1.1 \////\\/\\/
- NAS100:HU:S .000 0.79 10/28 -1.6 \\\\\\/\//\
- SPX500:BB .054 1.45 24/7 1.1 //./////\\.
- SPX500:BB:L .054 1.45 24/7 1.1 //./////\\.
- SPX500:BB:S .000 ---- 0/0 0.0 ...........
- SPX500:CY .055 1.70 20/11 2.9 .///.\//\\/
- SPX500:CY:L .055 1.70 20/11 2.9 .///.\//\\/
- SPX500:CY:S .000 ---- 0/0 0.0 ...........
- SPX500:HP .087 2.93 29/20 6.8 /\/..//./\.
- SPX500:HP:L .087 2.93 29/20 6.8 /\/..//./\.
- SPX500:HP:S .000 ---- 0/0 0.0 ...........
- UK100:A2 .000 0.13 1/7 -3.1 ..\./\\\\\.
- UK100:A2:L .000 0.00 0/3 -1.7 ..\..\.\...
- UK100:A2:S .000 0.25 1/4 -1.5 ..../\\.\\.
- UK100:BB .050 1.13 1/3 0.2 ..\.....\/.
- UK100:BB:L .050 1.13 1/3 0.2 ..\.....\/.
- UK100:BB:S .000 ---- 0/0 0.0 ...........
- UK100:HP .074 1.24 6/9 1.2 ..\..\./\/\
- UK100:HP:L .000 ---- 0/0 0.0 ...........
- UK100:HP:S .074 1.24 6/9 1.2 ..\..\./\/\
- UK100:HU .098 1.68 6/7 3.3 \X\\/.X.X.X
- UK100:HU:L .000 0.55 2/3 -1.2 .\\...\././
- UK100:HU:S .168 2.93 4/4 4.5 \/.\/./.\.\
- US30:BB .000 0.93 1/1 -0.0 .\....../..
- US30:BB:L .000 0.93 1/1 -0.0 .\....../..
- US30:BB:S .000 ---- 0/0 0.0 ...........
- US30:HP .144 1.74 9/20 4.8 .\...//XX\\
- US30:HP:L .142 1.78 7/15 4.1 .\...///\\\
- US30:HP:S .152 1.55 2/5 0.8 ...../.\/\\
- USD/CAD:CT .057 1.22 28/29 1.0 \\X\\/X\\X/
- USD/CAD:CT:L .132 1.65 15/9 0.9 \\/\\//\./.
- USD/CAD:CT:S .038 1.04 13/20 0.1 \\\\\/\\\\/
- USD/CAD:CY .065 1.23 78/65 3.7 XXXX\XXXXX/
- USD/CAD:CY:L .208 2.27 42/21 4.6 ////\/////.
- USD/CAD:CY:S .000 0.93 36/44 -0.9 \\\\\\\\\\/
- USD/CAD:HP .070 1.47 28/37 3.2 \\\\/\\//\/
- USD/CAD:HP:L .000 ---- 0/0 0.0 ...........
- USD/CAD:HP:S .070 1.47 28/37 3.2 \\\\/\\//\/
- USD/CAD:HU .071 1.30 36/34 1.3 //XXXXX/XXX
- USD/CAD:HU:L .101 1.74 18/17 1.5 //\/\/////\
- USD/CAD:HU:S .000 0.92 18/17 -0.2 ///\/\\/\\/
- USD/CAD:LP .180 1.83 12/29 0.9 ///\\\\\./.
- USD/CAD:LP:L .180 1.83 12/29 0.9 ///\\\\\./.
- USD/CAD:LP:S .000 ---- 0/0 0.0 ...........
- USD/CAD:VO .211 2.26 46/52 5.4 /\\/\//.//\
- USD/CAD:VO:L .211 2.26 46/52 5.4 /\\/\//.//\
- USD/CAD:VO:S .000 ---- 0/0 0.0 ...........
- USD/CHF:A2 .087 1.67 17/10 1.6 /\\/\//.///
- USD/CHF:A2:L .087 1.67 17/10 1.6 /\\/\//.///
- USD/CHF:A2:S .000 ---- 0/0 0.0 ...........
- USD/CHF:VO .147 1.79 15/15 1.1 ./.\///\\//
- USD/CHF:VO:L .147 1.79 15/15 1.1 ./.\///\\//
- USD/CHF:VO:S .000 ---- 0/0 0.0 ...........
- USD/JPY:A2 .067 1.40 16/10 1.2 X///./\\/X/
- USD/JPY:A2:L .062 1.38 8/6 0.9 ////./\./\.
- USD/JPY:A2:S .097 1.48 8/4 0.3 \/././.\///
- USD/JPY:HU .037 1.01 35/46 0.1 X/X\\XX\XX/
- USD/JPY:HU:L .089 1.46 19/18 0.8 ///\\//\\\/
- USD/JPY:HU:S .000 0.79 16/28 -0.8 \/\\\\\\///
- USD/JPY:VO .145 2.19 31/36 4.1 //\\\//\\/\
- USD/JPY:VO:L .145 2.19 31/36 4.1 //\\\//\\/\
- USD/JPY:VO:S .000 ---- 0/0 0.0 ...........
- XAG/USD:BB .053 1.31 45/19 1.7 ..///.//.\\
- XAG/USD:BB:L .000 ---- 0/0 0.0 ...........
- XAG/USD:BB:S .053 1.31 45/19 1.7 ..///.//.\\
- XAG/USD:HU .062 2.08 17/21 4.1 //////\/\/\
- XAG/USD:HU:L .000 ---- 0/0 0.0 ...........
- XAG/USD:HU:S .062 2.08 17/21 4.1 //////\/\/\
- XAU/USD:A2 .075 1.57 17/15 1.5 .\.\\\X/X//
- XAU/USD:A2:L .103 1.86 8/4 0.6 ...\\\//\//
- XAU/USD:A2:S .066 1.47 9/11 0.9 .\.\\.\.//.
- XAU/USD:CY .054 1.24 37/46 1.5 \\X\/X\././
- XAU/USD:CY:L .043 1.08 18/27 0.3 \.\\/\.././
- XAU/USD:CY:S .064 1.40 19/19 1.3 \\/\//\././
- XAU/USD:LP .172 2.70 16/25 2.1 ////\/\\\\\
- XAU/USD:LP:L .000 ---- 0/0 0.0 ...........
- XAU/USD:LP:S .172 2.70 16/25 2.1 ////\/\\\\\
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