Test Z9 

Simulated account   AssetsZ9 (NFA)
Bar period          24 hours (avg 2088 min)
Test period         2012-01-02..2017-12-16 (1500 bars)
Lookback period     252 bars (52 weeks)
Montecarlo cycles   200
Simulation mode     Realistic (slippage 5.0 sec)

Gross win/loss      10445$ / -6313$ (+49231p)
Average profit      694$/year, 58$/month, 2.67$/day
Max drawdown        -3269$ 79.1% (MAE -3909$ 94.6%)
Total down time     68% (TAE 92%)
Max down time       234 weeks from Jun 2012
Max open margin     5333$
Max open risk       138$
Trade volume        162444$ (27279$/year)
Transaction costs   -509$ spr, -5.75$ slp, 0 rol, -102$ com
Capital required    7653$

Number of trades    164 (28/year, 1/week, 1/day)
Percent winning     72.6%
Max win/loss        727$ / -1333$
Avg trade profit    25$ 300.2p (+1045.7p / -1671.4p)
Avg trade slippage  -0.03504617b -0.4p (+2.0p / -6.8p)
Avg trade bars      112 (+61 / -52)
Max trade bars      377 (78 weeks)
Time in market      1234%
Max open trades     10
Max loss streak     6 (uncorrelated 4)

Annual return       9%
Profit factor       1.65 (PRR 1.31)
Sharpe ratio        0.37
Kelly criterion     1.53
R2 coefficient      0.000
Ulcer index         53.6%

Confidence level     AR   DDMax  Capital

 10%                 10%  2225$  6912$
 20%                  9%  2830$  7341$
 30%                  9%  3270$  7654$
 40%                  9%  3634$  7913$
 50%                  9%  3963$  8146$
 60%                  8%  4694$  8665$
 70%                  8%  5349$  9129$
 80%                  7%  5806$  9454$
 90%                  7%  6945$  10262$
 95%                  6%  7690$  10791$
100%                  5%  10599$  12856$

Portfolio analysis  OptF  ProF  Win/Loss  Wgt%

CSJ avg             .999  12.86    9/3     4.0  
HYG avg             .999  4.75    4/1      6.6  
ITB avg             .999  1.28   16/4     12.5  
SMH avg             .000  0.46   11/9    -12.8  
SPY avg             .999  11.24    7/1    11.1  
TLT avg             .702  1.18   13/11     4.8  
XBI avg             .003  1.32   19/13    13.2  
XLI avg             .999  4.83   22/1     31.9  
XLV avg             .999  6.10   18/2     28.7  

CSJ:L               .999  12.86    9/3     4.0  
HYG:L               .999  4.75    4/1      6.6  
ITB:L               .999  1.28   16/4     12.5  
SMH:L               .000  0.46   11/9    -12.8  
SPY:L               .999  11.24    7/1    11.1  
TLT:L               .702  1.18   13/11     4.8  
XBI:L               .003  1.32   19/13    13.2  
XLI:L               .999  4.83   22/1     31.9  
XLV:L               .999  6.10   18/2     28.7