Test Z9 

Simulated account   AssetsZ9 (NFA)
Bar period          24 hours (avg 2088 min)
Test period         2006-03-13..2017-12-21 (2966 bars)
Lookback period     252 bars (52 weeks)
Montecarlo cycles   200
Simulation mode     Realistic (slippage 5.0 sec)
Capital invested    5000$

Gross win/loss      28666$ / -6027$ (+85764p)
Average profit      1923$/year, 160$/month, 7.39$/day
Max drawdown        -331$ 1.5% (MAE -3551$ 15.7%)
Total down time     26% (TAE 82%)
Max down time       82 weeks from Aug 2015
Max open margin     1435$
Max open risk       269$
Trade volume        493123$ (41877$/year)
Transaction costs   -1578$ spr, -14.55$ slp, 0$ rol, -316$ com
Capital required    1602$

Number of trades    142 (13/year, 1/week, 1/day)
Percent winning     73.9%
Max win/loss        3314$ / -1108$
Avg trade profit    159$ 604.0p (+1034.2p / -617.1p)
Avg trade slippage  -0.10$ -0.4p (+1.2p / -5.0p)
Avg trade bars      94 (+75 / -42)
Max trade bars      540 (111 weeks)
Time in market      454%
Max open trades     11
Max loss streak     4 (uncorrelated 4)

Annual growth rate  15.63%
Profit factor       4.76 (PRR 3.69)
Sharpe ratio        0.84
Kelly criterion     1.84
R2 coefficient      0.612
Ulcer index         5.1%

Confidence level     AR   DDMax  Capital

 10%                131%    65   1468$
 20%                130%    88   1480$
 30%                129%   103   1488$
 40%                129%   103   1488$
 50%                129%   114   1493$
 60%                128%   142   1507$
 70%                127%   144   1508$
 80%                127%   156   1514$
 90%                125%   192   1532$
 95%                124%   224   1548$
100%                121%   307   1590$

Portfolio analysis  OptF  ProF  Win/Loss  Wgt%

IAU avg             .1000  2.89   16/9    16.2  
SPY avg             .1000  7.27   24/7    42.1  
TLT avg             .1000  5.11   30/8    19.7  
VGK avg             .1000  4.37   35/13   22.0  

IAU:L               .1000  2.89   16/9    16.2  
SPY:L               .1000  7.27   24/7    42.1  
TLT:L               .1000  5.11   30/8    19.7  
VGK:L               .1000  4.37   35/13   22.0