Simulated account AssetsFix
Bar period 5 min (avg 10 min)
Simulation period 21.07.2016-09.09.2016 (7095 bars)
Test period 29.08.2016-09.09.2016 (2535 bars)
Lookback period 600 bars (50 hours)
WFO test cycles 5 x 507 bars (42 hours)
Training cycles 4560..2028 bars (10 days, anchored)
Monte Carlo cycles 200
Assumed slippage 10.0 sec
Capital invested 25000$

Gross win/loss 7835$ / -1574$ (+242p)
Average profit 209213$/year, 17434$/month, 805$/day
Max drawdown -909$ 15% (MAE -1051$ 17%)
Total down time 44% (TAE 23%)
Max down time 24 hours from Sep 2016
Max open margin 12400$
Max open risk 1421$
Trade volume 12139414$ (405644592$/year)
Transaction costs -760$ spr, -56$ slp, 0.00$ rol, -655$ com
Capital required 15126$

Number of trades 47 (1571/year, 31/week, 7/day)
Percent winning 57.4%
Max win/loss 1285$ / -357$
Avg trade profit 133$ 5.2p (+11.2p / -3.0p)
Avg trade slippage -1.20$ -0.0p (+0.2p / -0.4p)
Avg trade bars 51 (+85 / -5)
Max trade bars 850 (70 hours)
Time in market 96%
Max open trades 4
Max loss streak 3 (uncorrelated 5)

Annual growth rate 175038%
Profit factor 4.98 (PRR 3.28)
Sharpe ratio 14.86
Kelly criterion 26.38
R2 coefficient 0.932
Ulcer index 4.4%
Prediction error 96%