Dear jcl,

here is the performance report (I hope):

Walk-Forward Test Z3 (TICKS)

Simulated account AssetsFix
Bar period 24 hours (avg 2288 min)
Simulation period 2010-06-07..2017-03-11 (1552 bars)
Test period 2012-07-05..2017-03-11 (1075 bars)
Lookback period 100 bars (20 weeks)
WFO test cycles 9 x 119 bars (24 weeks)
Training cycles 10 x 477 bars (98 weeks)
Monte Carlo cycles 200
Simulation mode Realistic ticks (slippage 5.0 sec)

Gross win/loss 12641$ / -7383$ (+5009p)
Average profit 1124$/year, 94$/month, 4.32$/day
Max drawdown -1568$ 30% (MAE -1649$ 31%)
Total down time 76% (TAE 63%)
Max down time 109 weeks from Nov 2014
Max open margin 171$
Max open risk 3726$
Trade volume 1107433$ (236676$/year)
Transaction costs -638$ spr, -375$ slp, -133$ rol
Capital required 1426$

Number of trades 133 (29/year, 1/week, 1/day)
Percent winning 48.1%
Max win/loss 853$ / -317$
Avg trade profit 40$ 37.7p (+188.1p / -101.9p)
Avg trade slippage -2.82$ -2.7p (+0.2p / -5.4p)
Avg trade bars 6 (+8 / -5)
Max trade bars 46 (9 weeks)
Time in market 82%
Max open trades 4
Max loss streak 6 (uncorrelated 8)

Annual return 79%
Profit factor 1.71 (PRR 1.34)
Sharpe ratio 0.94
Kelly criterion 1.13
R2 coefficient 0.000
Ulcer index 13.1%

Confidence level AR DDMax Capital

10% 133% 841$ 844$
20% 122% 939$ 923$
30% 113% 1024$ 991$
40% 108% 1089$ 1043$
50% 102% 1160$ 1100$
60% 94% 1285$ 1200$
70% 88% 1384$ 1279$
80% 79% 1563$ 1423$
90% 66% 1922$ 1710$
95% 56% 2288$ 2003$
100% 31% 4333$ 3641$

Portfolio analysis OptF ProF Win/Loss Wgt% Cycles

NAS100 avg .015 1.28 16/23 11.6 ///\///
SPX500 avg .010 1.15 9/13 2.3 //././/
US30 avg .067 2.97 21/15 47.1 //./.\//
XAG/USD avg .020 1.65 18/18 39.0 //XXX/\X

NAS100 .030 1.28 16/23 11.6 ///\///
NAS100:L .030 1.28 16/23 11.6 ///\///
NAS100:S .000 ---- 0/0 0.0 .........
SPX500 .021 1.15 9/13 2.3 //././/
SPX500:L .021 1.15 9/13 2.3 //././/
SPX500:S .000 ---- 0/0 0.0 .........
US30 .134 2.97 21/15 47.1 //./.\//
US30:L .134 2.97 21/15 47.1 //./.\//
US30:S .000 ---- 0/0 0.0 .........
XAG/USD .021 1.65 18/18 39.0 //XXX/\X
XAG/USD:L .028 2.13 8/7 29.1 /.///.
XAG/USD:S .012 1.29 10/11 9.9 //\//\/