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AlphaPortfolio_v1

phl3x0r Oct 10th, 2019 97 Never
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  1. WFA Test AlphaPortfolio
  2.  
  3. Simulated account   AssetsWAE2.csv
  4. Bar period          24 hours (avg 2113 min)
  5. Simulation period   2012-02-21..2019-10-09 (1931 bars)
  6. Test period         2015-11-20..2019-10-09 (994 bars)
  7. Lookback period     250 bars (51 weeks)
  8. WFO test cycles     6 x 165 bars (165 days)
  9. Training cycles     7 x 937 bars (194 weeks)
  10. Montecarlo cycles   2000
  11. Simulation mode     Realistic (slippage 5.0 sec)
  12. Capital invested    100000$
  13.  
  14. Gross win/loss      1788539$ / -1161051$ (+450194p)
  15. Average profit      161515$/year, 13460$/month, 621$/day
  16. Max drawdown        -19321$ 3.1% (MAE -29559$ 4.7%)
  17. Total down time     46% (TAE 76%)
  18. Max down time       6 weeks from Mar 2019
  19. Max open margin     139743$
  20. Max open risk       217856$
  21. Trade volume        238204201$ (61313663$/year)
  22. Transaction costs   -99965$ spr, -2182$ slp, 0$ rol
  23. Capital required    21543$
  24.  
  25. Number of trades    6259 (1612/year, 31/week, 6/day)
  26. Percent winning     49.4%
  27. Max win/loss        8979$ / -3639$
  28. Avg trade profit    100$ 71.9p (+414.6p / -263.3p)
  29. Avg trade slippage  -0.35$ -0.3p (+4.1p / -4.5p)
  30. Avg trade bars      8 (+9 / -7)
  31. Max trade bars      255 (52 weeks)
  32. Time in market      5475%
  33. Max open trades     82
  34. Max loss streak     13 (uncorrelated 13)
  35.  
  36. Annual growth rate  66.66%
  37. Profit factor       1.54 (PRR 1.49)
  38. Sharpe ratio        2.85
  39. R2 coefficient      0.963
  40. Ulcer index         1.2%
  41.  
  42. Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
  43. 2015                                          -6  31   +23
  44. 2016  40   4  -1   9   4  18   2   7   4   8  14   6  +186
  45. 2017   4  -3   6   3  -1   2  -2   1   9   1   1  -0   +23
  46. 2018  -1   8   4   6   5   0   1   2   3   4  -1   5   +41
  47. 2019   7   2   1  -1   4   1  -1   1   3   0           +18
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