Thank you very much, MIGI.

It seems that there is a big difference between the versions indeed. This is a backtest of the strategy for 2014. Same code, same data (FXCM .bar files), same asset configuration, very different results. There is no training involved and it's very simple mean reversion strategy based on one indicator with no parameters. Before I investigate further - any ideas why is this happening?



Code:
Test IsIbs EUR/USD

Simulated account   AssetsFix 
Bar period          1 hour (avg 86 min)
Test period         07.01.2014-31.12.2014 (5963 bars)
Lookback period     80 bars (3 days)
Monte Carlo cycles  200
Simulation mode     Realistic ticks (slippage 5.0 sec)
Avg ticks per bar   61.3
Spread              0.5 pips (roll -0.42/0.06)
Contracts per lot   100000.0

Gross win/loss      97530$ / -78307$ (+1922p)
Average profit      19605$/year, 1634$/month, 75$/day
Max drawdown        -5875$ 31% (MAE -5875$ 31%)
Total down time     92% (TAE 94%)
Max down time       26 days from Feb 2014
Max open margin     2236$
Max open risk       1400$
Trade volume        173272874$ (176720192$/year)
Transaction costs   -6525$ spr, 8668$ slp, -116$ rol
Capital required    12512$

Number of trades    1305 (1331/year, 26/week, 6/day)
Percent winning     65.8%
Max win/loss        1030$ / -1962$
Avg trade profit    15$ 1.5p (+11.4p / -17.6p)
Avg trade slippage  6.64$ 0.7p (+1.4p / -0.7p)
Avg trade bars      3 (+2 / -5)
Max trade bars      35 (35 hours)
Time in market      83%
Max open trades     1
Max loss streak     5 (uncorrelated 7)

Annual return       157%
Profit factor       1.25 (PRR 1.15)
Sharpe ratio        2.48
Kelly criterion     3.92
R2 coefficient      0.873
Ulcer index         9.0%


Code:
Test IsIbs EUR/USD

Simulated account   AssetsFix 
Bar period          1 hour (avg 86 min)
Test period         07.01.2014-31.12.2014 (5963 bars)
Lookback period     80 bars (3 days)
Monte Carlo cycles  200
Assumed slippage    10.0 sec
Avg ticks per bar   61.3
Spread              0.5 pips (roll -0.42/0.06)
Contracts per lot   100000.0

Gross win/loss      94183$ / -81382$ (+1280p)
Average profit      13056$/year, 1088$/month, 50$/day
Max drawdown        -6644$ 52% (MAE -6639$ 52%)
Total down time     96% (TAE 95%)
Max down time       7 weeks from Oct 2014
Max open margin     2236$
Max open risk       1400$
Trade volume        173272829$ (176720146$/year)
Transaction costs   -6525$ spr, 2238$ slp, -116$ rol
Capital required    13858$

Number of trades    1305 (1331/year, 26/week, 6/day)
Percent winning     64.4%
Max win/loss        1041$ / -1984$
Avg trade profit    9.81$ 1.0p (+11.2p / -17.5p)
Avg trade slippage  1.71$ 0.2p (+0.4p / -0.2p)
Avg trade bars      3 (+2 / -5)
Max trade bars      35 (35 hours)
Time in market      83%
Max open trades     1
Max loss streak     8 (uncorrelated 7)

Annual return       94%
Profit factor       1.16 (PRR 1.07)
Sharpe ratio        1.64
Kelly criterion     2.85
R2 coefficient      0.705
Ulcer index         16.4%
Prediction error    122%