Posted By: GPEngine
Underflow in Max loss streak - 05/29/15 05:22
This can happen
Code:
Max loss streak 71 (uncorrelated -2147483648)
Max loss streak 71 (uncorrelated -2147483648)
Number of trades 71 (141/year, 3/week, 1/day) Percent winning 0%
Number of trades 132 (261/year, 6/week, 2/day) Percent winning 8% Max win/loss 0.05$ / -0.28$ Avg trade profit -0.06$ -0.6p (+0.3p / -0.7p) Avg trade slippage 0.01$ 0.1p (+2.4p / -0.1p) Avg trade bars 1 (+2 / -1) Max trade bars 2 (120 minutes) Time in market 8% Max open trades 0 Max loss streak 26 (uncorrelated 70)
Number of trades 71 (141/year, 3/week, 1/day) Percent winning 1% Max win/loss 0.02$ / -0.14$ Avg trade profit -0.06$ -0.7p (+0.3p / -0.7p) Avg trade slippage -0.00$ -0.0p (+8.2p / -0.2p) Avg trade bars 2 (+2 / -2) Max trade bars 2 (120 minutes) Time in market 5% Max open trades 0 Max loss streak 45 (uncorrelated 349)
Annual return -1% Profit factor 0.00 (PRR 0.00) Sharpe ratio -1.#J Kelly criterion -1.#J R2 coefficient -1.#IO Ulcer index 1.$% Prediction error 1% Confidence level AR DDMax Capital 10% -1% -1$ -1$ 20% -1% -1$ -1$ 30% -1% -1$ -1$ 40% -1% -1$ -1$ 50% -1% -1$ -1$ 60% -1% -1$ -1$ 70% -1% -1$ -1$ 80% -1% -1$ -1$ 90% -1% -1$ -1$ 95% -1% -1$ -1$ 100% -1% -1$ -1$ Portfolio analysis OptF ProF Win/Loss Wgt% AUD/JPY avg .000 0.00 7/27 -1.$