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  1. Walk-Forward Test Z12 portfolio
  2.  
  3. Simulated account AssetsFix
  4. Bar period 4 hours (avg 337 min)
  5. Simulation period 29.04.2010-07.06.2016 (9495 bars)
  6. Test period 24.01.2013-07.06.2016 (5223 bars)
  7. Lookback period 500 bars (17 weeks)
  8. WFO test cycles 11 x 475 bars (16 weeks)
  9. Training cycles 12 x 4272 bars (147 weeks)
  10. Monte Carlo cycles 200
  11. Assumed slippage 10.0 sec
  12.  
  13. Gross win/loss 48684$ / -32153$ (+132187p)
  14. Average profit 4911$/year, 409$/month, 19$/day
  15. Max drawdown -941$ 6% (MAE -2018$ 12%)
  16. Total down time 26% (TAE 90%)
  17. Max down time 22 weeks from Jul 2013
  18. Max open margin 1021$
  19. Max open risk 45658$
  20. Trade volume 5537707$ (1645098$/year)
  21. Transaction costs -1199$ spr, -960$ slp, -290$ rol, -267$ com
  22. Capital required 1909$
  23.  
  24. Number of trades 2426 (721/year, 14/week, 3/day)
  25. Percent winning 50.7%
  26. Max win/loss 556$ / -314$
  27. Avg trade profit 6.81$ 54.5p (+316.8p / -214.8p)
  28. Avg trade slippage -0.40$ -3.2p (+0.3p / -6.7p)
  29. Avg trade bars 56 (+70 / -38)
  30. Max trade bars 967 (33 weeks)
  31. Time in market 2606%
  32. Max open trades 50
  33. Max loss streak 16 (uncorrelated 12)
  34.  
  35. Annual return 257%
  36. Profit factor 1.51 (PRR 1.43)
  37. Sharpe ratio 1.89
  38. Kelly criterion 1.39
  39. R2 coefficient 0.749
  40. Ulcer index 3.3%
  41. Prediction error 9%
  42. Cycle performance 1.61 1.45 1.49 1.52
  43.  
  44. Confidence level AR DDMax Capital
  45.  
  46. 10% 305% 622$ 1607$
  47. 20% 296% 674$ 1657$
  48. 30% 289% 717$ 1697$
  49. 40% 284% 748$ 1726$
  50. 50% 280% 780$ 1757$
  51. 60% 273% 824$ 1799$
  52. 70% 267% 868$ 1840$
  53. 80% 257% 941$ 1909$
  54. 90% 240% 1084$ 2044$
  55. 95% 223% 1248$ 2199$
  56. 100% 196% 1575$ 2508$
  57.  
  58. Portfolio analysis OptF ProF Win/Loss Wgt% Cycles
  59.  
  60. AUD/USD avg .034 1.92 129/102 13.5 XXXXXXXXXXX
  61. EUR/USD avg .051 1.53 218/224 18.1 XXXXXXXXXXX
  62. GBP/USD avg .060 1.33 191/272 9.5 XXXXXXXXXXX
  63. GER30 avg .027 1.35 48/37 5.2 \XXXXXX//XX
  64. NAS100 avg .019 1.39 64/56 5.6 XXXXXX/XXXX
  65. SPX500 avg .014 1.77 83/40 15.1 /X///X//X\/
  66. UK100 avg .018 1.23 53/50 4.0 XXXX\XXXXXX
  67. US30 avg .017 1.99 52/29 9.1 .///.X/XX/X
  68. USD/CAD avg .049 1.42 228/246 14.3 XXXXXXXXXXX
  69. USD/CHF avg .029 1.98 21/16 0.9 /X\/XX/\X//
  70. USD/JPY avg .024 1.43 80/91 3.8 XXXX\XX\XXX
  71. XAG/USD avg .008 1.49 60/43 8.5 ////X/X/\X\
  72. XAU/USD avg .026 1.45 66/90 4.1 XXX\XXXXXXX
  73.  
  74. A2 avg .042 1.32 104/81 6.7 XXXXXXXXXXX
  75. BB avg .039 1.39 144/60 8.7 /XXXXX//XXX
  76. CT avg .027 1.95 90/60 8.5 XXXXX/XXXXX
  77. CY avg .038 1.33 321/300 21.1 XXXXXXXXXXX
  78. ES avg .019 1.54 40/78 1.4 XX\XX\XXX\/
  79. HP avg .022 1.55 208/186 24.9 XXXXXXXXXXX
  80. HU avg .033 1.35 177/220 13.4 XXXXXXXXXXX
  81. LP avg .023 1.86 43/104 3.9 XX/\XXXX\XX
  82. VO avg .049 2.43 166/207 23.1 XXXXXX/XXXX
  83.  
  84. AUD/USD:BB .200 2.59 26/11 1.3 /.\/\//////
  85. AUD/USD:BB:L .000 ---- 0/0 0.0 ...........
  86. AUD/USD:BB:S .200 2.59 26/11 1.3 /.\/\//////
  87. AUD/USD:CT .124 1.87 31/15 2.4 /XX\///X\\X
  88. AUD/USD:CT:L .081 1.05 12/8 0.1 /\\../.\.\/
  89. AUD/USD:CT:S .138 2.64 19/7 2.3 ///\////\.\
  90. AUD/USD:CY .118 1.79 56/43 7.1 /XX//XX/X\X
  91. AUD/USD:CY:L .000 0.98 23/24 -0.1 /\///\\/\\/
  92. AUD/USD:CY:S .131 2.69 33/19 7.2 //\//////\\
  93. AUD/USD:VO .146 2.28 16/33 2.8 \///\\/\\\\
  94. AUD/USD:VO:L .000 ---- 0/0 0.0 ...........
  95. AUD/USD:VO:S .146 2.28 16/33 2.8 \///\\/\\\\
  96. EUR/USD:A2 .115 1.91 16/9 2.2 .\.\///\\..
  97. EUR/USD:A2:L .000 ---- 0/0 0.0 ...........
  98. EUR/USD:A2:S .115 1.91 16/9 2.2 .\.\///\\..
  99. EUR/USD:CY .089 1.17 71/69 1.6 \\XXXXXX/X/
  100. EUR/USD:CY:L .000 0.77 26/39 -1.3 \\//\\\//\/
  101. EUR/USD:CY:S .131 1.79 45/30 2.9 .\\\///\//.
  102. EUR/USD:ES .210 2.18 14/28 0.9 /\\//\//\\/
  103. EUR/USD:ES:L .000 ---- 0/0 0.0 ...........
  104. EUR/USD:ES:S .210 2.18 14/28 0.9 /\\//\//\\/
  105. EUR/USD:HP .097 1.29 84/88 4.8 \\\\X/X/\X/
  106. EUR/USD:HP:L .000 0.72 31/43 -2.5 \\\\\/\/\\/
  107. EUR/USD:HP:S .128 1.93 53/45 7.2 .\\\////\/.
  108. EUR/USD:HU .078 1.05 15/17 0.1 /\\\////\\\
  109. EUR/USD:HU:L .000 ---- 0/0 0.0 ...........
  110. EUR/USD:HU:S .078 1.05 15/17 0.1 /\\\////\\\
  111. EUR/USD:VO .182 6.22 18/13 8.5 //X\X//X///
  112. EUR/USD:VO:L .000 0.97 8/10 -0.0 .//\\..\/./
  113. EUR/USD:VO:S .463 27.73 10/3 8.5 //\.////./.
  114. GBP/USD:A2 .083 1.10 29/30 0.8 \\\/\X\\/./
  115. GBP/USD:A2:L .000 0.83 15/14 -0.6 \\./.\\\/./
  116. GBP/USD:A2:S .093 1.34 14/16 1.3 \\\/\/\\/./
  117. GBP/USD:CT .145 1.97 16/13 1.2 .\\.\/\////
  118. GBP/USD:CT:L .000 ---- 0/0 0.0 ...........
  119. GBP/USD:CT:S .145 1.97 16/13 1.2 .\\.\/\////
  120. GBP/USD:CY .089 1.19 42/44 1.7 \X.X\XXXX//
  121. GBP/USD:CY:L .000 0.86 20/26 -0.9 \\./.\\/\./
  122. GBP/USD:CY:S .127 1.82 22/18 2.6 ./.\\//\///
  123. GBP/USD:ES .137 1.28 26/50 0.5 XX\XX.\X/./
  124. GBP/USD:ES:L .096 1.07 12/26 0.1 \\\\\.\//./
  125. GBP/USD:ES:S .190 1.47 14/24 0.5 //\//..\/./
  126. GBP/USD:HU .100 1.20 17/24 0.3 //\\\/\\//.
  127. GBP/USD:HU:L .000 ---- 0/0 0.0 ...........
  128. GBP/USD:HU:S .100 1.20 17/24 0.3 //\\\/\\//.
  129. GBP/USD:LP .147 1.55 16/49 1.3 \X/\XXX/\XX
  130. GBP/USD:LP:L .172 1.79 8/26 0.9 \\/\/\\/\\/
  131. GBP/USD:LP:S .120 1.32 8/23 0.4 \/.\\///\/\
  132. GBP/USD:VO .155 1.70 45/62 3.7 \/\\\///\/\
  133. GBP/USD:VO:L .000 ---- 0/0 0.0 ...........
  134. GBP/USD:VO:S .155 1.70 45/62 3.7 \/\\\///\/\
  135. GER30:BB .098 1.80 16/4 1.1 ./XX.////\/
  136. GER30:BB:L .087 1.38 6/2 0.3 .//\.../.\/
  137. GER30:BB:S .125 2.51 10/2 0.8 ..\/.////./
  138. GER30:CY .078 1.11 14/19 0.9 \\./\XX//X\
  139. GER30:CY:L .079 1.21 6/7 0.7 ....\////\.
  140. GER30:CY:S .077 1.03 8/12 0.2 \\./\\\///\
  141. GER30:HU .089 1.61 18/14 3.1 \\X/X/.//\X
  142. GER30:HU:L .099 2.30 9/5 2.2 \\/.//.//\/
  143. GER30:HU:S .082 1.27 9/9 0.9 \\\/\/.//\\
  144. NAS100:BB .079 1.11 23/11 0.5 .X/\..///X/
  145. NAS100:BB:L .078 1.07 15/5 0.2 .//...///\.
  146. NAS100:BB:S .090 1.23 8/6 0.3 .\/\../////
  147. NAS100:CT .130 6.04 15/3 4.1 ////////.\.
  148. NAS100:CT:L .130 6.04 15/3 4.1 ////////.\.
  149. NAS100:CT:S .000 ---- 0/0 0.0 ...........
  150. NAS100:HU .078 1.12 26/42 1.1 \XXXX\/XX/X
  151. NAS100:HU:L .087 1.41 15/20 1.8 \////\//\//
  152. NAS100:HU:S .000 0.83 11/22 -0.8 \\\\\\/\//\
  153. SPX500:BB .084 1.42 24/7 1.8 //./////\\.
  154. SPX500:BB:L .084 1.42 24/7 1.8 //./////\\.
  155. SPX500:BB:S .000 ---- 0/0 0.0 ...........
  156. SPX500:CY .088 1.73 25/12 5.1 ////.\//\\/
  157. SPX500:CY:L .088 1.73 25/12 5.1 ////.\//\\/
  158. SPX500:CY:S .000 ---- 0/0 0.0 ...........
  159. SPX500:HP .093 1.97 34/21 8.1 /\/..//./\.
  160. SPX500:HP:L .093 1.97 34/21 8.1 /\/..//./\.
  161. SPX500:HP:S .000 ---- 0/0 0.0 ...........
  162. UK100:A2 .082 1.20 17/10 1.3 .\././\X//\
  163. UK100:A2:L .000 0.75 6/5 -0.7 .\././.\//.
  164. UK100:A2:S .089 1.62 11/5 2.0 .\.../\///\
  165. UK100:BB .113 1.88 7/5 1.1 ///\.\..\/.
  166. UK100:BB:L .113 1.88 7/5 1.1 ///\.\..\/.
  167. UK100:BB:S .000 ---- 0/0 0.0 ...........
  168. UK100:HP .083 1.30 15/12 1.6 \.\\.\/.//\
  169. UK100:HP:L .000 ---- 0/0 0.0 ...........
  170. UK100:HP:S .083 1.30 15/12 1.6 \.\\.\/.//\
  171. UK100:HU .077 1.03 14/23 0.1 \XX/\/X\XXX
  172. UK100:HU:L .000 0.75 6/10 -0.7 \\//\./\\\/
  173. UK100:HU:S .087 1.37 8/13 0.8 \/\/\/\\//\
  174. US30:BB .174 6.51 5/1 1.6 .//../../..
  175. US30:BB:L .174 6.51 5/1 1.6 .//../../..
  176. US30:BB:S .000 ---- 0/0 0.0 ...........
  177. US30:HP .092 1.84 47/28 7.5 .///.\/XX/X
  178. US30:HP:L .093 2.12 30/15 6.9 .///.\//\//
  179. US30:HP:S .085 1.22 17/13 0.6 .....\/\//\
  180. USD/CAD:CT .090 1.22 28/29 0.9 \\X\\/X\\X/
  181. USD/CAD:CT:L .140 1.65 15/9 0.8 \\/\\//\./.
  182. USD/CAD:CT:S .078 1.04 13/20 0.1 \\\\\/\\\\/
  183. USD/CAD:CY .096 1.23 78/65 3.4 XXXX\XXXXX/
  184. USD/CAD:CY:L .190 2.27 42/21 4.2 ////\/////.
  185. USD/CAD:CY:S .000 0.93 36/44 -0.8 \\\\\\\\\\/
  186. USD/CAD:HP .099 1.47 28/37 3.0 \\\\/\\//\/
  187. USD/CAD:HP:L .000 ---- 0/0 0.0 ...........
  188. USD/CAD:HP:S .099 1.47 28/37 3.0 \\\\/\\//\/
  189. USD/CAD:HU .099 1.30 36/34 1.2 //XXXXX/XXX
  190. USD/CAD:HU:L .119 1.74 18/17 1.4 //\/\/////\
  191. USD/CAD:HU:S .000 0.92 18/17 -0.2 ///\/\\/\\/
  192. USD/CAD:LP .172 1.82 12/29 0.8 ///\\\\\./.
  193. USD/CAD:LP:L .172 1.82 12/29 0.8 ///\\\\\./.
  194. USD/CAD:LP:S .000 ---- 0/0 0.0 ...........
  195. USD/CAD:VO .192 2.26 46/52 5.0 /\\/\//.//\
  196. USD/CAD:VO:L .192 2.26 46/52 5.0 /\\/\//.//\
  197. USD/CAD:VO:S .000 ---- 0/0 0.0 ...........
  198. USD/CHF:A2 .385 2.94 11/5 0.8 /\\/\//.//.
  199. USD/CHF:A2:L .385 2.94 11/5 0.8 /\\/\//.//.
  200. USD/CHF:A2:S .000 ---- 0/0 0.0 ...........
  201. USD/CHF:VO .170 1.18 10/11 0.1 ./../\.\\//
  202. USD/CHF:VO:L .170 1.18 10/11 0.1 ./../\.\\//
  203. USD/CHF:VO:S .000 ---- 0/0 0.0 ...........
  204. USD/JPY:A2 .089 1.19 15/11 0.5 XX//./\\/X/
  205. USD/JPY:A2:L .083 1.11 7/7 0.2 /\//./\./\.
  206. USD/JPY:A2:S .125 1.48 8/4 0.3 \/././.\///
  207. USD/JPY:HU .081 1.05 34/44 0.2 X/X\\XX\XX/
  208. USD/JPY:HU:L .119 1.46 19/18 0.6 ///\\//\\\/
  209. USD/JPY:HU:S .000 0.81 15/26 -0.5 \/\\\\\\///
  210. USD/JPY:VO .164 2.19 31/36 3.1 //\\\//\\/\
  211. USD/JPY:VO:L .164 2.19 31/36 3.1 //\\\//\\/\
  212. USD/JPY:VO:S .000 ---- 0/0 0.0 ...........
  213. XAG/USD:BB .079 1.12 43/21 1.2 ..//\.//.\\
  214. XAG/USD:BB:L .000 ---- 0/0 0.0 ...........
  215. XAG/USD:BB:S .079 1.12 43/21 1.2 ..//\.//.\\
  216. XAG/USD:HU .085 1.94 17/22 7.3 //////\/\/\
  217. XAG/USD:HU:L .000 ---- 0/0 0.0 ...........
  218. XAG/USD:HU:S .085 1.94 17/22 7.3 //////\/\/\
  219. XAU/USD:A2 .098 1.54 16/16 1.2 .\.\\\X/X//
  220. XAU/USD:A2:L .113 1.81 7/5 0.5 ...\\\//\//
  221. XAU/USD:A2:S .093 1.44 9/11 0.7 .\.\\.\.//.
  222. XAU/USD:CY .085 1.20 35/48 1.2 \\X\/X\././
  223. XAU/USD:CY:L .079 1.05 17/28 0.2 \.\\/\.././
  224. XAU/USD:CY:S .091 1.37 18/20 1.0 \\/\//\././
  225. XAU/USD:LP .148 2.55 15/26 1.7 ///\\/\\\\\
  226. XAU/USD:LP:L .000 ---- 0/0 0.0 ...........
  227. XAU/USD:LP:S .148 2.55 15/26 1.7 ///\\/\\\\\
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