I tested FAT Build 0004 and the resul are this:
alk-Forward Test Fat Strategy_004 portfolio - performance report
Bar period 1 hour
Simulation period 02.06.2009-31.12.2014
Test period 16.05.2012-31.12.2014
Lookback time 2500 bars (21 weeks)
WFO test cycles 5 x 3174 bars (27 weeks)
Training cycles 6 x 17986 bars (155 weeks)
Monte Carlo cycles 200
Assumed slippage 10.0 sec
Gross win/loss 190404$ / -252101$ (-279826p)
Virtual win/loss 112057$ / -173973$
Average profit -23487$/year, -1957$/month, -90$/day
Max drawdown -118305$ -192% (MAE -166879$ -270%)
Total down time 90% (TAE 99%)
Max down time 99 weeks from Dec 2012
Largest margin 10927$
Trade volume 13958090$ (5313615$/year)
Transaction costs -7825$ spr, 637$ slp, -7595$ rol, -583$ com
Capital required 137355$
Number of trades 2433 (927/year, 18/week, 4/day)
Percent winning 40%
Max win/loss 2756$ / -6248$
Avg trade profit -25$ -115.0p (+879.4p / -788.0p)
Avg trade slippage 0.26$ 1.2p (+4.6p / -1.1p)
Avg trade bars 774 (+1199 / -477)
Max trade bars 11281 (97 weeks)
Time in market 11867%
Max open trades 199
Max loss streak 91 (uncorrelated 16)
Annual return -17%
Profit factor 0.76 (PRR 0.71)
Sharpe ratio -0.39
Kelly criterion -0.87
R2 coefficient 0.508
Ulcer index 255.2%
Prediction error 15%
Confidence level AR DDMax Capital
10% -31% 61760$ 76928$
20% -26% 75553$ 91668$
30% -23% 84277$ 100991$
40% -21% 96670$ 114235$
50% -18% 109829$ 128298$
60% -16% 126905$ 146546$
70% -14% 151835$ 173188$
80% -12% 171483$ 194186$
90% -11% 192618$ 216771$
95% -10% 209747$ 235077$
100% -6% 383807$ 421089$
Portfolio analysis OptF ProF Win/Loss Wgt% Cycles
AUD/USD avg .000 0.27 144/509 26.2 X\\\\
EUR/USD avg .001 0.45 120/458 16.6 XXXX\
GBP/USD avg .008 0.66 147/387 9.1 \\\XX
USD/CAD avg .113 4.99 225/300 -58.3 \XXX/
USD/JPY avg .118 5.72 169/356 -62.6 \XX\/
XAG/USD avg .000 0.27 119/392 188.0 X\\\\
XAU/USD avg .000 0.29 66/387 31.7 X\\\\
CLSTR avg .015 0.66 463/568 46.5 XXXXX
CNTR avg .044 0.81 342/297 14.6 XXXXX
TRND avg .060 0.58 185/1924 89.6 \\\\X
AUD/USD:CLSTR .000 0.33 69/146 12.0 \\\\\
AUD/USD:CLSTR:L .000 0.33 69/146 12.0 \\\\\
AUD/USD:CLSTR:S .000 ---- 0/0 -0.0 .....
AUD/USD:CNTR .000 0.63 60/56 2.1 /\\\\
AUD/USD:CNTR:L .000 0.63 60/56 2.1 /\\\\
AUD/USD:CNTR:S .000 ---- 0/0 -0.0 .....
AUD/USD:TRND .000 0.02 15/307 12.0 \\\\\
AUD/USD:TRND:L .000 0.02 15/307 12.0 \\\\\
AUD/USD:TRND:S .000 ---- 0/0 -0.0 .....
EUR/USD:CLSTR .000 0.75 83/109 3.3 ///\\
EUR/USD:CLSTR:L .000 0.75 83/109 3.3 ///\\
EUR/USD:CLSTR:S .000 ---- 0/0 -0.0 .....
EUR/USD:CNTR .010 1.04 37/59 -0.1 /\//\
EUR/USD:CNTR:L .010 1.04 37/59 -0.1 /\//\
EUR/USD:CNTR:S .000 ---- 0/0 -0.0 .....
EUR/USD:TRND .000 0.00 0/290 13.4 \\\\\
EUR/USD:TRND:L .000 0.00 0/290 13.4 \\\\\
EUR/USD:TRND:S .000 ---- 0/0 -0.0 .....
GBP/USD:CLSTR .000 0.97 70/87 0.3 \\\\/
GBP/USD:CLSTR:L .000 0.97 70/87 0.3 \\\\/
GBP/USD:CLSTR:S .000 ---- 0/0 -0.0 .....
GBP/USD:CNTR .060 1.44 62/42 -2.2 \\\//
GBP/USD:CNTR:L .060 1.44 62/42 -2.2 \\\//
GBP/USD:CNTR:S .000 ---- 0/0 -0.0 .....
GBP/USD:TRND .000 0.11 15/258 11.1 \\\\\
GBP/USD:TRND:L .000 0.11 15/258 11.1 \\\\\
GBP/USD:TRND:S .000 ---- 0/0 -0.0 .....
USD/CAD:CLSTR .000 0.87 64/60 0.6 \\\//
USD/CAD:CLSTR:L .000 0.87 64/60 0.6 \\\//
USD/CAD:CLSTR:S .000 ---- 0/0 -0.0 .....
USD/CAD:CNTR .261 1.63 49/33 -1.0 \//\/
USD/CAD:CNTR:L .261 1.63 49/33 -1.0 \//\/
USD/CAD:CNTR:S .000 ---- 0/0 -0.0 .....
USD/CAD:TRND .529 7.74 112/207 -57.9 \\\\/
USD/CAD:TRND:L .529 7.74 112/207 -57.9 \\\\/
USD/CAD:TRND:S .000 ---- 0/0 -0.0 .....
USD/JPY:CLSTR .221 3.01 70/38 -8.3 \//\/
USD/JPY:CLSTR:L .221 3.01 70/38 -8.3 \//\/
USD/JPY:CLSTR:S .000 ---- 0/0 -0.0 .....
USD/JPY:CNTR .285 4.31 56/30 -6.4 \/\\/
USD/JPY:CNTR:L .285 4.31 56/30 -6.4 \/\\/
USD/JPY:CNTR:S .000 ---- 0/0 -0.0 .....
USD/JPY:TRND .323 7.66 43/288 -48.0 \\\\/
USD/JPY:TRND:L .323 7.66 43/288 -48.0 \\\\/
USD/JPY:TRND:S .000 ---- 0/0 -0.0 .....
XAG/USD:CLSTR .000 0.54 66/87 34.7 /\\\\
XAG/USD:CLSTR:L .000 0.54 66/87 34.7 /\\\\
XAG/USD:CLSTR:S .000 ---- 0/0 -0.0 .....
XAG/USD:CNTR .000 0.63 53/43 17.6 /\\\\
XAG/USD:CNTR:L .000 0.63 53/43 17.6 /\\\\
XAG/USD:CNTR:S .000 ---- 0/0 -0.0 .....
XAG/USD:TRND .000 0.00 0/262 135.6 \\\\\
XAG/USD:TRND:L .000 0.00 0/262 135.6 \\\\\
XAG/USD:TRND:S .000 ---- 0/0 -0.0 .....
XAU/USD:CLSTR .000 0.66 41/41 3.9 /\\\\
XAU/USD:CLSTR:L .000 0.66 41/41 3.9 /\\\\
XAU/USD:CLSTR:S .000 ---- 0/0 -0.0 .....
XAU/USD:CNTR .000 0.54 25/34 4.5 /\\\\
XAU/USD:CNTR:L .000 0.54 25/34 4.5 /\\\\
XAU/USD:CNTR:S .000 ---- 0/0 -0.0 .....
XAU/USD:TRND .000 0.00 0/312 23.3 \\\\\
XAU/USD:TRND:L .000 0.00 0/312 23.3 \\\\\
XAU/USD:TRND:S .000 ---- 0/0 -0.0 .....
