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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 48684$ / -32153$ (+132187p)
- Average profit 4911$/year, 409$/month, 19$/day
- Max drawdown -941$ 6% (MAE -2018$ 12%)
- Total down time 26% (TAE 90%)
- Max down time 22 weeks from Jul 2013
- Max open margin 1021$
- Max open risk 45658$
- Trade volume 5537707$ (1645098$/year)
- Transaction costs -1199$ spr, -960$ slp, -290$ rol, -267$ com
- Capital required 1909$
- Number of trades 2426 (721/year, 14/week, 3/day)
- Percent winning 50.7%
- Max win/loss 556$ / -314$
- Avg trade profit 6.81$ 54.5p (+316.8p / -214.8p)
- Avg trade slippage -0.40$ -3.2p (+0.3p / -6.7p)
- Avg trade bars 56 (+70 / -38)
- Max trade bars 967 (33 weeks)
- Time in market 2606%
- Max open trades 50
- Max loss streak 16 (uncorrelated 12)
- Annual return 257%
- Profit factor 1.51 (PRR 1.43)
- Sharpe ratio 1.89
- Kelly criterion 1.39
- R2 coefficient 0.749
- Ulcer index 3.3%
- Prediction error 9%
- Cycle performance 1.61 1.45 1.49 1.52
- Confidence level AR DDMax Capital
- 10% 305% 622$ 1607$
- 20% 296% 674$ 1657$
- 30% 289% 717$ 1697$
- 40% 284% 748$ 1726$
- 50% 280% 780$ 1757$
- 60% 273% 824$ 1799$
- 70% 267% 868$ 1840$
- 80% 257% 941$ 1909$
- 90% 240% 1084$ 2044$
- 95% 223% 1248$ 2199$
- 100% 196% 1575$ 2508$
- Portfolio analysis OptF ProF Win/Loss Wgt% Cycles
- AUD/USD avg .034 1.92 129/102 13.5 XXXXXXXXXXX
- EUR/USD avg .051 1.53 218/224 18.1 XXXXXXXXXXX
- GBP/USD avg .060 1.33 191/272 9.5 XXXXXXXXXXX
- GER30 avg .027 1.35 48/37 5.2 \XXXXXX//XX
- NAS100 avg .019 1.39 64/56 5.6 XXXXXX/XXXX
- SPX500 avg .014 1.77 83/40 15.1 /X///X//X\/
- UK100 avg .018 1.23 53/50 4.0 XXXX\XXXXXX
- US30 avg .017 1.99 52/29 9.1 .///.X/XX/X
- USD/CAD avg .049 1.42 228/246 14.3 XXXXXXXXXXX
- USD/CHF avg .029 1.98 21/16 0.9 /X\/XX/\X//
- USD/JPY avg .024 1.43 80/91 3.8 XXXX\XX\XXX
- XAG/USD avg .008 1.49 60/43 8.5 ////X/X/\X\
- XAU/USD avg .026 1.45 66/90 4.1 XXX\XXXXXXX
- A2 avg .042 1.32 104/81 6.7 XXXXXXXXXXX
- BB avg .039 1.39 144/60 8.7 /XXXXX//XXX
- CT avg .027 1.95 90/60 8.5 XXXXX/XXXXX
- CY avg .038 1.33 321/300 21.1 XXXXXXXXXXX
- ES avg .019 1.54 40/78 1.4 XX\XX\XXX\/
- HP avg .022 1.55 208/186 24.9 XXXXXXXXXXX
- HU avg .033 1.35 177/220 13.4 XXXXXXXXXXX
- LP avg .023 1.86 43/104 3.9 XX/\XXXX\XX
- VO avg .049 2.43 166/207 23.1 XXXXXX/XXXX
- AUD/USD:BB .200 2.59 26/11 1.3 /.\/\//////
- AUD/USD:BB:L .000 ---- 0/0 0.0 ...........
- AUD/USD:BB:S .200 2.59 26/11 1.3 /.\/\//////
- AUD/USD:CT .124 1.87 31/15 2.4 /XX\///X\\X
- AUD/USD:CT:L .081 1.05 12/8 0.1 /\\../.\.\/
- AUD/USD:CT:S .138 2.64 19/7 2.3 ///\////\.\
- AUD/USD:CY .118 1.79 56/43 7.1 /XX//XX/X\X
- AUD/USD:CY:L .000 0.98 23/24 -0.1 /\///\\/\\/
- AUD/USD:CY:S .131 2.69 33/19 7.2 //\//////\\
- AUD/USD:VO .146 2.28 16/33 2.8 \///\\/\\\\
- AUD/USD:VO:L .000 ---- 0/0 0.0 ...........
- AUD/USD:VO:S .146 2.28 16/33 2.8 \///\\/\\\\
- EUR/USD:A2 .115 1.91 16/9 2.2 .\.\///\\..
- EUR/USD:A2:L .000 ---- 0/0 0.0 ...........
- EUR/USD:A2:S .115 1.91 16/9 2.2 .\.\///\\..
- EUR/USD:CY .089 1.17 71/69 1.6 \\XXXXXX/X/
- EUR/USD:CY:L .000 0.77 26/39 -1.3 \\//\\\//\/
- EUR/USD:CY:S .131 1.79 45/30 2.9 .\\\///\//.
- EUR/USD:ES .210 2.18 14/28 0.9 /\\//\//\\/
- EUR/USD:ES:L .000 ---- 0/0 0.0 ...........
- EUR/USD:ES:S .210 2.18 14/28 0.9 /\\//\//\\/
- EUR/USD:HP .097 1.29 84/88 4.8 \\\\X/X/\X/
- EUR/USD:HP:L .000 0.72 31/43 -2.5 \\\\\/\/\\/
- EUR/USD:HP:S .128 1.93 53/45 7.2 .\\\////\/.
- EUR/USD:HU .078 1.05 15/17 0.1 /\\\////\\\
- EUR/USD:HU:L .000 ---- 0/0 0.0 ...........
- EUR/USD:HU:S .078 1.05 15/17 0.1 /\\\////\\\
- EUR/USD:VO .182 6.22 18/13 8.5 //X\X//X///
- EUR/USD:VO:L .000 0.97 8/10 -0.0 .//\\..\/./
- EUR/USD:VO:S .463 27.73 10/3 8.5 //\.////./.
- GBP/USD:A2 .083 1.10 29/30 0.8 \\\/\X\\/./
- GBP/USD:A2:L .000 0.83 15/14 -0.6 \\./.\\\/./
- GBP/USD:A2:S .093 1.34 14/16 1.3 \\\/\/\\/./
- GBP/USD:CT .145 1.97 16/13 1.2 .\\.\/\////
- GBP/USD:CT:L .000 ---- 0/0 0.0 ...........
- GBP/USD:CT:S .145 1.97 16/13 1.2 .\\.\/\////
- GBP/USD:CY .089 1.19 42/44 1.7 \X.X\XXXX//
- GBP/USD:CY:L .000 0.86 20/26 -0.9 \\./.\\/\./
- GBP/USD:CY:S .127 1.82 22/18 2.6 ./.\\//\///
- GBP/USD:ES .137 1.28 26/50 0.5 XX\XX.\X/./
- GBP/USD:ES:L .096 1.07 12/26 0.1 \\\\\.\//./
- GBP/USD:ES:S .190 1.47 14/24 0.5 //\//..\/./
- GBP/USD:HU .100 1.20 17/24 0.3 //\\\/\\//.
- GBP/USD:HU:L .000 ---- 0/0 0.0 ...........
- GBP/USD:HU:S .100 1.20 17/24 0.3 //\\\/\\//.
- GBP/USD:LP .147 1.55 16/49 1.3 \X/\XXX/\XX
- GBP/USD:LP:L .172 1.79 8/26 0.9 \\/\/\\/\\/
- GBP/USD:LP:S .120 1.32 8/23 0.4 \/.\\///\/\
- GBP/USD:VO .155 1.70 45/62 3.7 \/\\\///\/\
- GBP/USD:VO:L .000 ---- 0/0 0.0 ...........
- GBP/USD:VO:S .155 1.70 45/62 3.7 \/\\\///\/\
- GER30:BB .098 1.80 16/4 1.1 ./XX.////\/
- GER30:BB:L .087 1.38 6/2 0.3 .//\.../.\/
- GER30:BB:S .125 2.51 10/2 0.8 ..\/.////./
- GER30:CY .078 1.11 14/19 0.9 \\./\XX//X\
- GER30:CY:L .079 1.21 6/7 0.7 ....\////\.
- GER30:CY:S .077 1.03 8/12 0.2 \\./\\\///\
- GER30:HU .089 1.61 18/14 3.1 \\X/X/.//\X
- GER30:HU:L .099 2.30 9/5 2.2 \\/.//.//\/
- GER30:HU:S .082 1.27 9/9 0.9 \\\/\/.//\\
- NAS100:BB .079 1.11 23/11 0.5 .X/\..///X/
- NAS100:BB:L .078 1.07 15/5 0.2 .//...///\.
- NAS100:BB:S .090 1.23 8/6 0.3 .\/\../////
- NAS100:CT .130 6.04 15/3 4.1 ////////.\.
- NAS100:CT:L .130 6.04 15/3 4.1 ////////.\.
- NAS100:CT:S .000 ---- 0/0 0.0 ...........
- NAS100:HU .078 1.12 26/42 1.1 \XXXX\/XX/X
- NAS100:HU:L .087 1.41 15/20 1.8 \////\//\//
- NAS100:HU:S .000 0.83 11/22 -0.8 \\\\\\/\//\
- SPX500:BB .084 1.42 24/7 1.8 //./////\\.
- SPX500:BB:L .084 1.42 24/7 1.8 //./////\\.
- SPX500:BB:S .000 ---- 0/0 0.0 ...........
- SPX500:CY .088 1.73 25/12 5.1 ////.\//\\/
- SPX500:CY:L .088 1.73 25/12 5.1 ////.\//\\/
- SPX500:CY:S .000 ---- 0/0 0.0 ...........
- SPX500:HP .093 1.97 34/21 8.1 /\/..//./\.
- SPX500:HP:L .093 1.97 34/21 8.1 /\/..//./\.
- SPX500:HP:S .000 ---- 0/0 0.0 ...........
- UK100:A2 .082 1.20 17/10 1.3 .\././\X//\
- UK100:A2:L .000 0.75 6/5 -0.7 .\././.\//.
- UK100:A2:S .089 1.62 11/5 2.0 .\.../\///\
- UK100:BB .113 1.88 7/5 1.1 ///\.\..\/.
- UK100:BB:L .113 1.88 7/5 1.1 ///\.\..\/.
- UK100:BB:S .000 ---- 0/0 0.0 ...........
- UK100:HP .083 1.30 15/12 1.6 \.\\.\/.//\
- UK100:HP:L .000 ---- 0/0 0.0 ...........
- UK100:HP:S .083 1.30 15/12 1.6 \.\\.\/.//\
- UK100:HU .077 1.03 14/23 0.1 \XX/\/X\XXX
- UK100:HU:L .000 0.75 6/10 -0.7 \\//\./\\\/
- UK100:HU:S .087 1.37 8/13 0.8 \/\/\/\\//\
- US30:BB .174 6.51 5/1 1.6 .//../../..
- US30:BB:L .174 6.51 5/1 1.6 .//../../..
- US30:BB:S .000 ---- 0/0 0.0 ...........
- US30:HP .092 1.84 47/28 7.5 .///.\/XX/X
- US30:HP:L .093 2.12 30/15 6.9 .///.\//\//
- US30:HP:S .085 1.22 17/13 0.6 .....\/\//\
- USD/CAD:CT .090 1.22 28/29 0.9 \\X\\/X\\X/
- USD/CAD:CT:L .140 1.65 15/9 0.8 \\/\\//\./.
- USD/CAD:CT:S .078 1.04 13/20 0.1 \\\\\/\\\\/
- USD/CAD:CY .096 1.23 78/65 3.4 XXXX\XXXXX/
- USD/CAD:CY:L .190 2.27 42/21 4.2 ////\/////.
- USD/CAD:CY:S .000 0.93 36/44 -0.8 \\\\\\\\\\/
- USD/CAD:HP .099 1.47 28/37 3.0 \\\\/\\//\/
- USD/CAD:HP:L .000 ---- 0/0 0.0 ...........
- USD/CAD:HP:S .099 1.47 28/37 3.0 \\\\/\\//\/
- USD/CAD:HU .099 1.30 36/34 1.2 //XXXXX/XXX
- USD/CAD:HU:L .119 1.74 18/17 1.4 //\/\/////\
- USD/CAD:HU:S .000 0.92 18/17 -0.2 ///\/\\/\\/
- USD/CAD:LP .172 1.82 12/29 0.8 ///\\\\\./.
- USD/CAD:LP:L .172 1.82 12/29 0.8 ///\\\\\./.
- USD/CAD:LP:S .000 ---- 0/0 0.0 ...........
- USD/CAD:VO .192 2.26 46/52 5.0 /\\/\//.//\
- USD/CAD:VO:L .192 2.26 46/52 5.0 /\\/\//.//\
- USD/CAD:VO:S .000 ---- 0/0 0.0 ...........
- USD/CHF:A2 .385 2.94 11/5 0.8 /\\/\//.//.
- USD/CHF:A2:L .385 2.94 11/5 0.8 /\\/\//.//.
- USD/CHF:A2:S .000 ---- 0/0 0.0 ...........
- USD/CHF:VO .170 1.18 10/11 0.1 ./../\.\\//
- USD/CHF:VO:L .170 1.18 10/11 0.1 ./../\.\\//
- USD/CHF:VO:S .000 ---- 0/0 0.0 ...........
- USD/JPY:A2 .089 1.19 15/11 0.5 XX//./\\/X/
- USD/JPY:A2:L .083 1.11 7/7 0.2 /\//./\./\.
- USD/JPY:A2:S .125 1.48 8/4 0.3 \/././.\///
- USD/JPY:HU .081 1.05 34/44 0.2 X/X\\XX\XX/
- USD/JPY:HU:L .119 1.46 19/18 0.6 ///\\//\\\/
- USD/JPY:HU:S .000 0.81 15/26 -0.5 \/\\\\\\///
- USD/JPY:VO .164 2.19 31/36 3.1 //\\\//\\/\
- USD/JPY:VO:L .164 2.19 31/36 3.1 //\\\//\\/\
- USD/JPY:VO:S .000 ---- 0/0 0.0 ...........
- XAG/USD:BB .079 1.12 43/21 1.2 ..//\.//.\\
- XAG/USD:BB:L .000 ---- 0/0 0.0 ...........
- XAG/USD:BB:S .079 1.12 43/21 1.2 ..//\.//.\\
- XAG/USD:HU .085 1.94 17/22 7.3 //////\/\/\
- XAG/USD:HU:L .000 ---- 0/0 0.0 ...........
- XAG/USD:HU:S .085 1.94 17/22 7.3 //////\/\/\
- XAU/USD:A2 .098 1.54 16/16 1.2 .\.\\\X/X//
- XAU/USD:A2:L .113 1.81 7/5 0.5 ...\\\//\//
- XAU/USD:A2:S .093 1.44 9/11 0.7 .\.\\.\.//.
- XAU/USD:CY .085 1.20 35/48 1.2 \\X\/X\././
- XAU/USD:CY:L .079 1.05 17/28 0.2 \.\\/\.././
- XAU/USD:CY:S .091 1.37 18/20 1.0 \\/\//\././
- XAU/USD:LP .148 2.55 15/26 1.7 ///\\/\\\\\
- XAU/USD:LP:L .000 ---- 0/0 0.0 ...........
- XAU/USD:LP:S .148 2.55 15/26 1.7 ///\\/\\\\\
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