Test DualMomentumV1.1 

Simulated account   History\AssetsZ9.csv 
Bar period          24 hours (avg 2089 min)
Test period         2007-12-26..2014-01-03 (1515 bars)
Lookback period     240 bars (49 weeks)
Montecarlo cycles   200
Simulation mode     Realistic (slippage 5.0 sec)
Capital invested    5000$

Gross win/loss      6347$ / -1254$ (+25693p)
Average profit      846$/year, 70.46$/month, 3.25$/day
Max drawdown        -766$ 15.0% (MAE -1864$ 36.6%)
Total down time     36% (TAE 91%)
Max down time       188 weeks from Dec 2007
Max open margin     5384$
Max open risk       142$
Trade volume        63278$ (10506$/year)
Transaction costs   -177$ spr, 0.20$ slp, 0$ rol, -35.44$ com
Capital required    5924$

Number of trades    89 (15/year, 1/week, 1/day)
Percent winning     68.5%
Max win/loss        391$ / -140$
Avg trade profit    57.22$ 288.7p (+524.9p / -226.0p)
Avg trade slippage  0.00$ 0.0p (+0.6p / -1.4p)
Avg trade bars      156 (+183 / -99)
Max trade bars      543 (112 weeks)
Time in market      920%
Max open trades     12
Max loss streak     9 (uncorrelated 4)

Annual growth rate  12.37%
Profit factor       5.06 (PRR 3.71)
Sharpe ratio        0.66
Kelly criterion     2.57
R2 coefficient      0.000
Ulcer index         11.6%

Confidence level     AR   DDMax  Capital

 10%                 15%   465   5712$
 20%                 15%   530   5758$
 30%                 15%   579   5792$
 40%                 15%   618   5820$
 50%                 14%   657   5848$
 60%                 14%   711   5886$
 70%                 14%   788   5940$
 80%                 14%   838   5975$
 90%                 14%   998   6088$
 95%                 14%  1224   6247$
100%                 13%  1763   6628$

Portfolio analysis  OptF  ProF  Win/Loss  Wgt%

CSJ avg             .1000  0.50    5/4    -1.2  
HYG avg             .1000  ++++    3/0     0.4  
ITB avg             .1000  4.36    6/3    17.7  
SMH avg             .1000  3.05    6/3     9.9  
SPY avg             .1000  10.90   13/4   12.1  
TLT avg             .1000  0.04    1/6    -2.6  
XBI avg             .1000  4.39    9/3    19.7  
XLI avg             .1000  ++++   12/0    20.1  
XLV avg             .1000  10.78    6/5   23.9  

CSJ:L               .1000  0.50    5/4    -1.2  
HYG:L               .1000  ++++    3/0     0.4  
ITB:L               .1000  4.36    6/3    17.7  
SMH:L               .1000  3.05    6/3     9.9  
SPY:L               .1000  10.90   13/4   12.1  
TLT:L               .1000  0.04    1/6    -2.6  
XBI:L               .1000  4.39    9/3    19.7  
XLI:L               .1000  ++++   12/0    20.1  
XLV:L               .1000  10.78    6/5   23.9