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phl3x0r

AlphaWAEc2

phl3x0r
Sep 26th, 2019
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  1. Test AlphaWAEc
  2.  
  3. Simulated account AssetsFix
  4. Bar period 24 hours (avg 2035 min)
  5. Test period 2015-11-09..2019-09-24 (995 bars)
  6. Lookback period 1000 bars (207 weeks)
  7. Montecarlo cycles 200
  8. Simulation mode Realistic (slippage 5.0 sec)
  9. Capital invested 10000$
  10.  
  11. Gross win/loss 42602$ / -20043$ (+23047p)
  12. Average profit 5823$/year, 485$/month, 22.40$/day
  13. Max drawdown -1640$ 7.3% (MAE -4461$ 19.8%)
  14. Total down time 15% (TAE 86%)
  15. Max down time 24 weeks from May 2016
  16. Max open margin 7909$
  17. Max open risk 1622$
  18. Trade volume 4562920$ (1177814$/year)
  19. Transaction costs -1138$ spr, -145$ slp, 0$ rol
  20. Capital required 2872$
  21.  
  22. Number of trades 505 (131/year, 3/week, 1/day)
  23. Percent winning 51.1%
  24. Max win/loss 1615$ / -480$
  25. Avg trade profit 44.67$ 45.6p (+168.7p / -82.9p)
  26. Avg trade slippage -0.29$ -0.3p (+1.0p / -1.6p)
  27. Avg trade bars 18 (+23 / -12)
  28. Max trade bars 134 (27 weeks)
  29. Time in market 934%
  30. Max open trades 18
  31. Max loss streak 10 (uncorrelated 9)
  32.  
  33. Annual growth rate 35.62%
  34. Profit factor 2.13 (PRR 1.87)
  35. Sharpe ratio 1.59
  36. R2 coefficient 0.786
  37. Ulcer index 5.7%
  38.  
  39. Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
  40. 2015 -3 6 +2
  41. 2016 1 21 2 1 -1 9 1 -3 -11 -4 18 3 +38
  42. 2017 0 7 -1 8 -5 10 5 3 -2 8 -1 -2 +33
  43. 2018 3 3 1 7 3 0 1 8 -2 2 4 6 +44
  44. 2019 -5 -2 0 0 7 3 7 5 4 +21
  45.  
  46. Portfolio analysis OptF ProF Win/Loss Wgt%
  47.  
  48. AUD/CAD avg ---- 1.15 9/12 0.2
  49. AUD/CHF avg ---- 1.18 12/18 0.4
  50. AUD/JPY avg ---- ---- 0/0 0.0
  51. AUD/NZD avg ---- ---- 0/0 0.0
  52. AUD/SGD avg ---- 1.02 9/12 0.0
  53. AUD/USD avg ---- ---- 0/0 0.0
  54. CAD/CHF avg ---- ---- 0/0 0.0
  55. CAD/JPY avg ---- ---- 0/0 0.0
  56. CAD/SGD avg ---- 1.84 12/10 5.6
  57. CHF/JPY avg ---- 1.52 13/14 2.0
  58. EUR/AUD avg ---- ---- 0/0 0.0
  59. EUR/CAD avg ---- ---- 0/0 0.0
  60. EUR/CHF avg ---- 1.65 8/12 2.5
  61. EUR/GBP avg ---- 2.69 13/10 9.9
  62. EUR/JPY avg ---- ---- 0/0 0.0
  63. EUR/NZD avg ---- ---- 0/0 0.0
  64. EUR/SGD avg ---- ---- 0/0 0.0
  65. EUR/USD avg ---- 1.12 12/13 0.2
  66. GBP/AUD avg ---- 1.13 7/17 0.2
  67. GBP/CAD avg ---- 2.61 11/11 10.8
  68. GBP/CHF avg ---- 4.71 16/7 17.7
  69. GBP/JPY avg ---- 2.06 17/10 5.9
  70. GBP/NZD avg ---- 2.28 17/15 11.1
  71. GBP/SGD avg ---- 1.24 13/11 1.2
  72. GBP/USD avg ---- 1.35 13/10 0.5
  73. NZD/CAD avg ---- 2.66 15/9 11.9
  74. NZD/CHF avg ---- 1.20 13/12 0.5
  75. NZD/JPY avg ---- ---- 0/0 0.0
  76. NZD/SGD avg ---- 2.10 14/11 8.1
  77. NZD/USD avg ---- 1.88 12/10 4.0
  78. USD/CAD avg ---- ---- 0/0 0.0
  79. USD/CHF avg ---- ---- 0/0 0.0
  80. USD/JPY avg ---- 2.12 13/12 7.2
  81. USD/SGD avg ---- 1.13 9/11 0.2
  82.  
  83. AUD/CAD ---- 1.15 9/12 0.2
  84. AUD/CAD:L ---- 0.92 5/6 -0.0
  85. AUD/CAD:S ---- 1.32 4/6 0.3
  86. AUD/CHF ---- 1.18 12/18 0.4
  87. AUD/CHF:L ---- 1.75 8/8 0.5
  88. AUD/CHF:S ---- 0.86 4/10 -0.2
  89. AUD/SGD ---- 1.02 9/12 0.0
  90. AUD/SGD:L ---- 0.44 4/7 -0.1
  91. AUD/SGD:S ---- 1.45 5/5 0.1
  92. CAD/SGD ---- 1.84 12/10 5.6
  93. CAD/SGD:L ---- 3.11 6/3 3.1
  94. CAD/SGD:S ---- 1.47 6/7 2.4
  95. CHF/JPY ---- 1.52 13/14 2.0
  96. CHF/JPY:L ---- 1.03 6/10 0.1
  97. CHF/JPY:S ---- 2.45 7/4 1.9
  98. EUR/CHF ---- 1.65 8/12 2.5
  99. EUR/CHF:L ---- 1.08 5/4 0.1
  100. EUR/CHF:S ---- 1.93 3/8 2.4
  101. EUR/GBP ---- 2.69 13/10 9.9
  102. EUR/GBP:L ---- 2.55 6/5 3.5
  103. EUR/GBP:S ---- 2.78 7/5 6.4
  104. EUR/USD ---- 1.12 12/13 0.2
  105. EUR/USD:L ---- 1.25 6/6 0.1
  106. EUR/USD:S ---- 1.05 6/7 0.1
  107. GBP/AUD ---- 1.13 7/17 0.2
  108. GBP/AUD:L ---- 1.42 5/8 0.3
  109. GBP/AUD:S ---- 0.94 2/9 -0.1
  110. GBP/CAD ---- 2.61 11/11 10.8
  111. GBP/CAD:L ---- 1.38 5/6 1.5
  112. GBP/CAD:S ---- 4.25 6/5 9.4
  113. GBP/CHF ---- 4.71 16/7 17.7
  114. GBP/CHF:L ---- 3.56 11/4 6.2
  115. GBP/CHF:S ---- 5.89 5/3 11.5
  116. GBP/JPY ---- 2.06 17/10 5.9
  117. GBP/JPY:L ---- 1.93 13/5 3.2
  118. GBP/JPY:S ---- 2.25 4/5 2.8
  119. GBP/NZD ---- 2.28 17/15 11.1
  120. GBP/NZD:L ---- 1.85 9/6 3.4
  121. GBP/NZD:S ---- 2.67 8/9 7.7
  122. GBP/SGD ---- 1.24 13/11 1.2
  123. GBP/SGD:L ---- 1.10 8/6 0.3
  124. GBP/SGD:S ---- 1.41 5/5 0.9
  125. GBP/USD ---- 1.35 13/10 0.5
  126. GBP/USD:L ---- 0.68 8/5 -0.3
  127. GBP/USD:S ---- 2.25 5/5 0.8
  128. NZD/CAD ---- 2.66 15/9 11.9
  129. NZD/CAD:L ---- 1.67 6/5 2.2
  130. NZD/CAD:S ---- 3.47 9/4 9.7
  131. NZD/CHF ---- 1.20 13/12 0.5
  132. NZD/CHF:L ---- 1.05 8/6 0.0
  133. NZD/CHF:S ---- 1.32 5/6 0.4
  134. NZD/SGD ---- 2.10 14/11 8.1
  135. NZD/SGD:L ---- 1.45 8/6 1.7
  136. NZD/SGD:S ---- 2.79 6/5 6.4
  137. NZD/USD ---- 1.88 12/10 4.0
  138. NZD/USD:L ---- 1.43 5/6 0.9
  139. NZD/USD:S ---- 2.27 7/4 3.0
  140. USD/JPY ---- 2.12 13/12 7.2
  141. USD/JPY:L ---- 1.33 9/5 0.9
  142. USD/JPY:S ---- 2.70 4/7 6.3
  143. USD/SGD ---- 1.13 9/11 0.2
  144. USD/SGD:L ---- 0.80 6/6 -0.1
  145. USD/SGD:S ---- 1.53 3/5 0.3
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