Test COIN_Simple2 

Simulated account   AssetsCoinsBitTrexStrategy.csv (NFA)
Bar period          1 hour (avg 128 min)
Test period         2015-01-09..2017-10-25 (11478 bars)
Lookback period     80 bars (3 days)
Montecarlo cycles   200
Simulation mode     Realistic (slippage 5.0 sec)

Gross win/loss      201368.63717654$ / -93713.56350694$ (+10765502p)
Average profit      38535.84929728$/year, 3211.32077477$/month, 148.21480499$/day
Max drawdown        -33994.89661845$ 31.6% (MAE -63953.13421546$ 59.4%)
Total down time     81% (TAE 49%)
Max down time       12 weeks from Jun 2017
Max open margin     256140.00000000$
Max open risk       21762.98901076$
Trade volume        3332805.97437981$ (1193000.05459985$/year)
Transaction costs   0$ spr, -428.40788444$ slp, 0$ rol, -0.00241500$ com
Capital required    291368.12500000$

Number of trades    297 (107/year, 3/week, 1/day)
Percent winning     28.3%
Max win/loss        89729.16406250$ / -8649.96777344$
Avg trade profit    362.47499552$ 36247.5p (+239724.4p / -43997.0p)
Avg trade slippage  -1.44245079$ -144.2p (+3873.9p / -1728.9p)
Avg trade bars      36 (+76 / -20)
Max trade bars      537 (4 weeks)
Time in market      93%
Max open trades     6
Max loss streak     14 (uncorrelated 19)

Annual return       13%
Profit factor       2.15 (PRR 1.79)
Sharpe ratio        0.61
Kelly criterion     2.82
R2 coefficient      0.471
Ulcer index         25.1%

Confidence level     AR   DDMax  Capital

 10%                 13%  31483   288764.94300506$
 20%                 13%  36144   293594.90545799$
 30%                 13%  46055   303865.37513719$
 40%                 12%  58167   316416.70010663$
 50%                 12%  62619   321031.04630574$
 60%                 11%  77369   336315.54172334$
 70%                 11%  88196   347535.28150846$
 80%                 11%  96541   356183.17895197$
 90%                 10%  134150   395156.14712079$
 95%                  9%  162624   424663.59488347$
100%                  7%  254148   519507.84133341$

Portfolio analysis  OptF  ProF  Win/Loss  Wgt%

DASH/BTC avg        .366  1.10   20/46     4.9  
DOGE/BTC avg        .000  0.95   23/90    -0.0  
ETH/BTC avg         .999  4.14   17/28    93.5  
LTC/BTC avg         .375  1.17   24/49     1.6  

DASH/BTC:L          .366  1.10   20/46     4.9  
DOGE/BTC:L          .000  0.95   23/90    -0.0  
ETH/BTC:L           .999  4.14   17/28    93.5  
LTC/BTC:L           .375  1.17   24/49     1.6