Same script other than TICKS+FAST set produces massively differing results. Normally TICKS is considered more realistic but in this case I think no.
With TICKS+FAST results
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Test Benchmark XAU/USD (TICKS)
Simulated account AssetsFix
Bar period 15 min (avg 27 min)
Test period 2009-11-05..2018-02-23 (158550 bars)
Lookback period 80 bars (20 hours)
Montecarlo cycles 200
Simulation mode Realistic fast ticks (slippage 5.0 sec)
Avg bar 14.9 ticks 187.0 pips range
Spread 47.0 pips (roll -0.01/0.00)
Contracts per lot 1.0
Capital invested 1000$
Gross win/loss 350187$ / -91962$ (+382070p)
Average profit 31100$/year, 2592$/month, 120$/day
Max drawdown -1450$ 0.6% (MAE -1572$ 0.6%)
Total down time 41% (TAE 6%)
Max down time 12 days from Sep 2012
Max open margin 1606$
Max open risk 314$
Trade volume 253987124$ (30589318$/year)
Transaction costs -88306$ spr, -1892$ slp, -18.17$ rol
Capital required 2477$
Number of trades 2684 (324/year, 7/week, 2/day)
Percent winning 75.4%
Max win/loss 902$ / -401$
Avg trade profit 96.21$ 142.4p (+256.0p / -206.2p)
Avg trade slippage -0.71$ -1.0p (+32.9p / -105.1p)
Avg trade bars 3 (+2 / -6)
Max trade bars 124 (31 hours)
Time in market 6%
Max open trades 1
Max loss streak 4 (uncorrelated 6)
Annual growth rate 95.30%
Profit factor 3.81 (PRR 3.58)
Sharpe ratio 7.94
Kelly criterion 2.03
R2 coefficient 0.813
Ulcer index 0.1%
Confidence level AR DDMax Capital
10% 1540% 689 2020$
20% 1518% 737 2049$
30% 1502% 772 2070$
40% 1492% 797 2085$
50% 1472% 842 2112$
60% 1459% 875 2132$
70% 1434% 936 2169$
80% 1414% 986 2199$
90% 1371% 1101 2268$
95% 1335% 1203 2329$
100% 1273% 1394 2444$
Portfolio analysis OptF ProF Win/Loss Wgt%
XAU/USD .1000 3.81 2024/660 100.0
XAU/USD:L .1000 3.53 943/342 45.2
XAU/USD:S .1000 4.09 1081/318 54.8
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Without TICKS+FAST set
Test Benchmark XAU/USD
Simulated account AssetsFix
Bar period 15 min (avg 22 min)
Test period 2009-11-05..2018-02-23 (158550 bars)
Lookback period 80 bars (20 hours)
Montecarlo cycles 200
Simulation mode Realistic (slippage 5.0 sec)
Avg bar 166.6 pips range
Spread 47.0 pips (roll -0.01/0.00)
Contracts per lot 1.0
Capital invested 1000$
Gross win/loss 1056$ / -2047$ (-22300p)
Average profit -119$/year, -9.95$/month, -0.46$/day
Max drawdown -1013$ -102.2% (MAE -1013$ -102.2%)
Total down time 14% (TAE 1%)
Max down time 46 weeks from Dec 2009
Max open margin 99.00$
Max open risk 19.36$
Trade volume 1655485$ (199381$/year)
Transaction costs -672$ spr, 26.97$ slp, 0$ rol
Capital required 708$
Number of trades 349 (43/year, 1/week, 1/day)
Percent winning 35.0%
Max win/loss 40.86$ / -29.68$
Avg trade profit -2.84$ -63.9p (+194.7p / -202.9p)
Avg trade slippage 0.08$ 1.7p (+60.8p / -30.0p)
Avg trade bars 4 (+4 / -3)
Max trade bars 60 (15 hours)
Time in market 1%
Max open trades 1
Max loss streak 16 (uncorrelated 15)
Annual growth rate -43.40%
Profit factor 0.52 (PRR 0.44)
Sharpe ratio -1.64
Kelly criterion -22.60
R2 coefficient 0.673
Ulcer index 100.0%
Confidence level AR DDMax Capital
10% -22% 747 548$
20% -21% 799 579$
30% -20% 837 602$
40% -19% 864 618$
50% -18% 913 648$
60% -18% 949 669$
70% -17% 1015 709$
80% -16% 1069 742$
90% -15% 1193 816$
95% -14% 1304 883$
100% -12% 1511 1007$
Portfolio analysis OptF ProF Win/Loss Wgt%
XAU/USD .1000 0.52 122/227 100.0
XAU/USD:L .1000 0.68 76/119 33.2
XAU/USD:S .1000 0.36 46/108 66.8
