AlphaPortfolio_v1

WFA Test AlphaPortfolio

Simulated account   AssetsWAE2.csv
Bar period          24 hours (avg 2113 min)
Simulation period   2012-02-21..2019-10-09 (1931 bars)
Test period         2015-11-20..2019-10-09 (994 bars)
Lookback period     250 bars (51 weeks)
WFO test cycles     6 x 165 bars (165 days)
Training cycles     7 x 937 bars (194 weeks)
Montecarlo cycles   2000
Simulation mode     Realistic (slippage 5.0 sec)
Capital invested    100000$

Gross win/loss      1788539$ / -1161051$ (+450194p)
Average profit      161515$/year, 13460$/month, 621$/day
Max drawdown        -19321$ 3.1% (MAE -29559$ 4.7%)
Total down time     46% (TAE 76%)
Max down time       6 weeks from Mar 2019
Max open margin     139743$
Max open risk       217856$
Trade volume        238204201$ (61313663$/year)
Transaction costs   -99965$ spr, -2182$ slp, 0$ rol
Capital required    21543$

Number of trades    6259 (1612/year, 31/week, 6/day)
Percent winning     49.4%
Max win/loss        8979$ / -3639$
Avg trade profit    100$ 71.9p (+414.6p / -263.3p)
Avg trade slippage  -0.35$ -0.3p (+4.1p / -4.5p)
Avg trade bars      8 (+9 / -7)
Max trade bars      255 (52 weeks)
Time in market      5475%
Max open trades     82
Max loss streak     13 (uncorrelated 13)

Annual growth rate  66.66%
Profit factor       1.54 (PRR 1.49)
Sharpe ratio        2.85
R2 coefficient      0.963
Ulcer index         1.2%

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Total
2015                                          -6  31   +23
2016  40   4  -1   9   4  18   2   7   4   8  14   6  +186
2017   4  -3   6   3  -1   2  -2   1   9   1   1  -0   +23
2018  -1   8   4   6   5   0   1   2   3   4  -1   5   +41
2019   7   2   1  -1   4   1  -1   1   3   0           +18