eurusd
DESCRIPTION
Strategy. and resultTRANSCRIPT
EURUSD Opening (Entry Signal)
Open a new long position 78 points below the Pivot Point when the following logic condition is satisfied:
Oscillator of Trix* (Smoothed, Typical, 66, 64) is lower than the zero line.
Open a new short position 78 points above the Pivot Point when the following logic condition is satisfied:
Oscillator of Trix* (Smoothed, Typical, 66, 64) is higher than the zero line.
Closing (Exit Signal)
Close an existing long position at the end of the week.
Close an existing short position at the end of the week.
Input Parameters Account Statistics
Profile name Analysis Acceptance criteria Fulfilled
Data source name ICMARKET Net balance 303577.00 USD
Strategy name New Strategy Intrabar scanning Not accomplished
Chart EURUSD D1 Ambiguous bars 0
Data bars 2597 Profit per day 44.34 USD
Time of updating 2014-12-31 00:00 Max consecutive losses 6
Time of beginning 2005-01-03 00:00 System quality number 3.96
Spread 0.00 points Sharpe ratio 0.18
Swap long -2.00 points Average HPR 0.15 %
Swap short -2.00 points Profit factor 1.60
Commission 0.00 points Tested bars 2465
Slippage 2.00 points Minimum balance 147463.00 USD
Interpolation method Pessimistic Maximum balance 303577.00 USD
Initial Account 150000 USD Max balance drawdown 11993.00 USD
Leverage 10 Max equity drawdown 12108.00 USD
Account exchange rate Not used Max equity drawdown 4.80 %
Auto scan Switched on Max stagnation 574 days
Trade until Margin Call Switched on Average profit 2933.46 USD
Average loss -2414.16 USD
Executed orders 987
Win/loss ratio 0.57
Time in position 91 %
Additional Statistics
Parameter Long + Short Long Short
Initial account [USD] 150000.00 150000.00 150000.00
Account balance [USD] 303577.00 233211.00 220366.00
Net profit [USD] 153577.00 83211.00 70366.00
Net profit [%] 102.38 55.47 46.91
Gross profit [USD] 410685.00 218850.00 191835.00
Gross loss [USD] -257108.00 -135639.00 -121469.00
Profit factor 1.60 1.61 1.58
Annualized profit [USD] 15366.12 8325.66 7040.46
Annualized profit [%] 10.24 5.55 4.69
Minimum account [USD] 147463.00 148462.00 144124.00
Minimum account date 2/24/2006 2/24/2006 7/11/2008
Maximum account 303577.00 237441.00 220366.00
Maximum account date 12/26/2014 2/1/2013 12/26/2014
Absolute drawdown [USD] 2537.00 1538.00 5876.00
Maximum drawdown [USD] 11993.00 9424.00 11993.00
Maximum drawdown [%] 4.80 4.10 5.94
Maximum drawdown date 1/3/2005 7/20/2012 8/6/2010
History bars 2597 2597 2597
Tested bars 2465 2465 2465
Bars with trades 2254 1200 1054
Bars with trades [%] 91.44 48.68 42.76
Number of trades 493 263 230
Winning trades 280 151 129
Losing trades 213 112 101
Win/loss ratio 0.57 0.57 0.56
Maximum profit [USD] 8206.00 6717.00 8206.00
Average profit [USD] 1466.73 1449.34 1487.09
Maximum loss [USD] -6484.00 -5074.00 -6484.00
Average loss [USD] -1207.08 -1211.06 -1202.66
Expected payoff [USD] 311.52 316.39 305.94
Average HPR [%] 0.15 0.17 0.17
Geometric HPR [%] 0.14 0.17 0.17
Sharpe ratio 0.18 0.20 0.17
GBPUSDOpening (Entry Signal)
Open a new long position 152 points below the Pivot Point when the following logic condition is satisfied:
Oscillator of Trix* (Smoothed, Typical, 61, 57) is lower than the zero line.
Open a new short position 152 points above the Pivot Point when the following logic condition is satisfied:
Oscillator of Trix* (Smoothed, Typical, 61, 57) is higher than the zero line.
Closing (Exit Signal)
Close an existing long position at the end of the week.
Close an existing short position at the end of the week.
Input Parameters Account Statistics
Profile name Analysis Acceptance criteria Fulfilled
Data source name ICMARKET Net balance 289378.00 USD
Strategy name New Strategy Intrabar scanning Not accomplished
Chart GBPUSD D1 Ambiguous bars 0
Data bars 2596 Profit per day 40.05 USD
Time of updating 2014-12-31 00:00 Max consecutive losses 7
Time of beginning 2005-01-03 00:00 System quality number 2.90
Spread 20.00 points Sharpe ratio 0.12
Swap long -2.00 points Average HPR 0.14 %
Swap short -2.00 points Profit factor 1.42
Commission 0.00 points Tested bars 2476
Slippage 0.00 points Minimum balance 148074.00 USD
Interpolation method Pessimistic Maximum balance 289378.00 USD
Initial Account 150000 USD Max balance drawdown 30275.00 USD
Leverage 10 Max equity drawdown 33482.00 USD
Account exchange rate Not used Max equity drawdown 17.51 %
Auto scan Switched on Max stagnation 357 days
Trade until Margin Call Switched on Average profit 3525.35 USD
Average loss -2865.17 USD
Executed orders 993
Win/loss ratio 0.54
Time in position 91 %
Additional Statistics
Parameter Long + Short Long Short
Initial account [USD] 150000.00 150000.00 150000.00
Account balance [USD] 289378.00 218417.00 220961.00
Net profit [USD] 139378.00 68417.00 70961.00
Net profit [%] 92.92 45.61 47.31
Gross profit [USD] 468872.00 240624.00 228248.00
Gross loss [USD] -329494.00 -172207.00 -157287.00
Profit factor 1.42 1.40 1.45
Annualized profit [USD] 13945.44 6845.45 7099.99
Annualized profit [%] 9.30 4.56 4.73
Minimum account [USD] 148074.00 150000.00 148065.00
Minimum account date 9/2/2005 1/3/2005 9/2/2005
Maximum account 289378.00 218459.00 220961.00
Maximum account date 12/26/2014 2/28/2014 12/26/2014
Absolute drawdown [USD] 1926.00 0.00 1935.00
Maximum drawdown [USD] 30275.00 24596.00 11711.00
Maximum drawdown [%] 17.51 13.55 5.72
Maximum drawdown date 1/3/2005 9/5/2008 4/29/2011
History bars 2596 2596 2596
Tested bars 2476 2476 2476
Bars with trades 2254 1217 1037
Bars with trades [%] 91.03 49.15 41.88
Number of trades 496 270 226
Winning trades 266 147 119
Losing trades 230 123 107
Win/loss ratio 0.54 0.54 0.53
Maximum profit [USD] 14007.00 7430.00 14007.00
Average profit [USD] 1762.68 1636.90 1918.05
Maximum loss [USD] -7956.00 -5906.00 -7956.00
Average loss [USD] -1432.58 -1400.06 -1469.97
Expected payoff [USD] 281.00 253.40 313.99
Average HPR [%] 0.14 0.15 0.18
Geometric HPR [%] 0.13 0.14 0.17
Sharpe ratio 0.12 0.13 0.13
EURUSD Opening (Entry Signal)
Open a new long position 187 points above the Pivot Point Support 1 level when the following logic condition is satisfied:
Oscillator of Trix* (Smoothed, Typical, 76, 57) is lower than the zero line.
Open a new short position 187 points below the Pivot Point Resistance 1 level when the following logic condition is satisfied:
Oscillator of Trix* (Smoothed, Typical, 76, 57) is higher than the zero line.
Closing (Exit Signal)
Close an existing long position at the end of the week.
Close an existing short position at the end of the week.
Input Parameters Account Statistics
Profile name Analysis Acceptance criteria Fulfilled
Data source name ICMARKET Net balance 323122.00 USD
Strategy name New Strategy Intrabar scanning Not accomplished
Chart EURUSD D1 Ambiguous bars 0
Data bars 2597 Profit per day 50.05 USD
Time of updating 2014-12-31 00:00 Max consecutive losses 7
Time of beginning 2005-01-03 00:00 System quality number 4.54
Spread 0.00 points Sharpe ratio 0.21
Swap long -2.00 points Average HPR 0.16 %
Swap short -2.00 points Profit factor 1.72
Commission 0.00 points Tested bars 2462
Slippage 2.00 points Minimum balance 149145.00 USD
Interpolation method Pessimistic Maximum balance 323122.00 USD
Initial Account 150000 USD Max balance drawdown 13067.00 USD
Leverage 10 Max equity drawdown 17862.00 USD
Account exchange rate Not used Max equity drawdown 7.82 %
Auto scan Switched on Max stagnation 441 days
Trade until Margin Call Switched on Average profit 2934.60 USD
Average loss -2328.12 USD
Executed orders 983
Win/loss ratio 0.58
Time in position 86 %
Additional Statistics
Parameter Long + Short Long Short
Initial account [USD] 150000.00 150000.00 150000.00
Account balance [USD] 323122.00 257141.00 215981.00
Net profit [USD] 173122.00 107141.00 65981.00
Net profit [%] 115.41 71.43 43.99
Gross profit [USD] 415246.00 234255.00 180991.00
Gross loss [USD] -242124.00 -127114.00 -115010.00
Profit factor 1.72 1.84 1.57
Annualized profit [USD] 17321.69 10719.97 6601.72
Annualized profit [%] 11.55 7.15 4.40
Minimum account [USD] 149145.00 149145.00 148328.00
Minimum account date 7/15/2005 7/15/2005 9/2/2005
Maximum account 323122.00 260514.00 215981.00
Maximum account date 12/26/2014 2/1/2013 12/26/2014
Absolute drawdown [USD] 855.00 855.00 1672.00
Maximum drawdown [USD] 13067.00 7917.00 14014.00
Maximum drawdown [%] 7.82 3.16 6.93
Maximum drawdown date 1/3/2005 7/20/2012 7/22/2011
History bars 2597 2597 2597
Tested bars 2462 2462 2462
Bars with trades 2121 1152 969
Bars with trades [%] 86.15 46.79 39.36
Number of trades 491 267 224
Winning trades 283 165 118
Losing trades 208 102 106
Win/loss ratio 0.58 0.62 0.53
Maximum profit [USD] 8451.00 6862.00 8451.00
Average profit [USD] 1467.30 1419.73 1533.82
Maximum loss [USD] -5879.00 -4857.00 -5879.00
Average loss [USD] -1164.06 -1246.22 -1085.00
Expected payoff [USD] 352.59 401.28 294.56
Average HPR [%] 0.16 0.21 0.17
Geometric HPR [%] 0.16 0.20 0.16
Sharpe ratio 0.21 0.25 0.17
GBP USD Opening (Entry Signal)
Open a new long position 191 points above the Pivot Point Support 1 level when the following logic condition is satisfied:
Oscillator of Trix* (Smoothed, Typical, 60, 58) is lower than the zero line.
Open a new short position 191 points below the Pivot Point Resistance 1 level when the following logic condition is satisfied:
Oscillator of Trix* (Smoothed, Typical, 60, 58) is higher than the zero line.
Input Parameters Account Statistics
Profile name Analysis Acceptance criteria Fulfilled
Data source name ICMARKET Net balance 307891.00 USD
Strategy name New Strategy Intrabar scanning Not accomplished
Chart GBPUSD D1 Ambiguous bars 0
Data bars 2596 Profit per day 45.37 USD
Time of updating 2014-12-31 00:00 Max consecutive losses 7
Time of beginning 2005-01-03 00:00 System quality number 3.33
Spread 20.00 points Sharpe ratio 0.14
Swap long -2.00 points Average HPR 0.15 %
Swap short -2.00 points Profit factor 1.51
Commission 0.00 points Tested bars 2476
Slippage 0.00 points Minimum balance 149041.00 USD
Interpolation method Pessimistic Maximum balance 307891.00 USD
Initial Account 150000 USD Max balance drawdown 27334.00 USD
Leverage 10 Max equity drawdown 29781.00 USD
Account exchange rate Not used Max equity drawdown 15.95 %
Auto scan Switched on Max stagnation 357 days
Trade until Margin Call Switched on Average profit 3525.83 USD
Average loss -2724.94 USD
Executed orders 985
Win/loss ratio 0.54
Time in position 85 %
Additional Statistics
Parameter Long + Short Long Short
Initial account [USD] 150000.00 150000.00 150000.00
Account balance [USD] 307891.00 226449.00 231442.00
Net profit [USD] 157891.00 76449.00 81442.00
Net profit [%] 105.26 50.97 54.29
Gross profit [USD] 467172.00 241991.00 225181.00
Gross loss [USD] -309281.00 -165542.00 -143739.00
Profit factor 1.51 1.46 1.57
Annualized profit [USD] 15797.76 7649.09 8148.67
Annualized profit [%] 10.53 5.10 5.43
Minimum account [USD] 149041.00 150000.00 147435.00
Minimum account date 9/2/2005 1/3/2005 3/14/2008
Maximum account 307891.00 226449.00 231442.00
Maximum account date 12/26/2014 3/7/2014 12/26/2014
Absolute drawdown [USD] 959.00 0.00 2565.00
Maximum drawdown [USD] 27334.00 23331.00 11383.00
Maximum drawdown [%] 15.95 12.99 7.17
Maximum drawdown date 1/3/2005 9/5/2008 3/14/2008
History bars 2596 2596 2596
Tested bars 2476 2476 2476
Bars with trades 2111 1148 963
Bars with trades [%] 85.26 46.37 38.89
Number of trades 492 270 222
Winning trades 265 152 113
Losing trades 227 118 109
Win/loss ratio 0.54 0.56 0.51
Maximum profit [USD] 14378.00 7961.00 14378.00
Average profit [USD] 1762.91 1592.05 1992.75
Maximum loss [USD] -6019.00 -5186.00 -6019.00
Average loss [USD] -1362.47 -1402.90 -1318.71
Expected payoff [USD] 320.92 283.14 366.86
Average HPR [%] 0.15 0.16 0.20
Geometric HPR [%] 0.15 0.15 0.20
Sharpe ratio 0.14 0.14 0.15
EURUSD Opening (Entry Signal)
Open a new long position at the beginning of the bar when all the following logic conditions are satisfied:
Oscillator of BBP* (Simple, 96, 68) is higher than the zero line; and On Balance Volume* changes its direction downward.
Open a new short position at the beginning of the bar when all the following logic conditions are satisfied:
Oscillator of BBP* (Simple, 96, 68) is lower than the zero line; and On Balance Volume* changes its direction upward.
Closing (Exit Signal)
Close an existing long position at the end of the week when the following logic condition is satisfied:
Bulls Power (Simple, 11) rises.
Close an existing short position at the end of the week when the following logic condition is satisfied:
Bulls Power (Simple, 11) falls.
Input Parameters Account Statistics
Profile name Analysis Acceptance criteria Fulfilled
Data source name ICMARKET Net balance 287131.00 USD
Strategy name Baropen bbp obv week... Intrabar scanning Not accomplished
Chart EURUSD D1 Ambiguous bars 0
Data bars 2597 Profit per day 40.14 USD
Time of updating 2014-12-31 00:00 Max consecutive losses 5
Time of beginning 2005-01-03 00:00 System quality number 3.85
Spread 0.00 points Sharpe ratio 0.27
Swap long -2.00 points Average HPR 0.30 %
Swap short -2.00 points Profit factor 1.98
Commission 0.00 points Tested bars 2431
Slippage 2.00 points Minimum balance 149210.00 USD
Interpolation method Pessimistic Maximum balance 287131.00 USD
Initial Account 150000 USD Max balance drawdown 12241.00 USD
Leverage 10 Max equity drawdown 13289.00 USD
Account exchange rate Not used Max equity drawdown 5.39 %
Auto scan Switched on Max stagnation 364 days
Trade until Margin Call Switched on Average profit 4290.95 USD
Average loss -3068.90 USD
Executed orders 441
Win/loss ratio 0.59
Time in position 86 %
Additional Statistics
Parameter Long + Short Long Short
Initial account [USD] 150000.00 150000.00 150000.00
Account balance [USD] 287131.00 220007.00 217124.00
Net profit [USD] 137131.00 70007.00 67124.00
Net profit [%] 91.42 46.67 44.75
Gross profit [USD] 276766.00 141498.00 135268.00
Gross loss [USD] -139635.00 -71491.00 -68144.00
Profit factor 1.98 1.98 1.99
Annualized profit [USD] 13720.62 7004.54 6716.08
Annualized profit [%] 9.15 4.67 4.48
Minimum account [USD] 149210.00 147144.00 149210.00
Minimum account date 9/9/2005 11/18/2005 9/9/2005
Maximum account 287131.00 223104.00 217124.00
Maximum account date 12/19/2014 3/7/2014 12/19/2014
Absolute drawdown [USD] 790.00 2856.00 790.00
Maximum drawdown [USD] 12241.00 9947.00 12241.00
Maximum drawdown [%] 5.39 4.87 6.04
Maximum drawdown date 1/3/2005 1/22/2010 7/30/2010
History bars 2597 2597 2597
Tested bars 2431 2431 2431
Bars with trades 2082 1232 850
Bars with trades [%] 85.64 50.68 34.97
Number of trades 220 123 97
Winning trades 129 73 56
Losing trades 91 50 41
Win/loss ratio 0.59 0.59 0.58
Maximum profit [USD] 8652.00 6992.00 8652.00
Average profit [USD] 2145.47 1938.33 2415.50
Maximum loss [USD] -8140.00 -5048.00 -8140.00
Average loss [USD] -1534.45 -1429.82 -1662.05
Expected payoff [USD] 623.32 569.16 692.00
Average HPR [%] 0.30 0.32 0.39
Geometric HPR [%] 0.30 0.31 0.38
Sharpe ratio 0.27 0.28 0.27
GBP USD Opening (Entry Signal)
Open a new long position at the beginning of the bar when all the following logic conditions are satisfied:
Oscillator of BBP* (Simple, 97, 68) is higher than the zero line; and On Balance Volume* changes its direction downward.
Open a new short position at the beginning of the bar when all the following logic conditions are satisfied:
Oscillator of BBP* (Simple, 97, 68) is lower than the zero line; and On Balance Volume* changes its direction upward.
Closing (Exit Signal)
Close an existing long position at the end of the week when the following logic condition is satisfied:
Bulls Power (Simple, 16) rises.
Close an existing short position at the end of the week when the following logic condition is satisfied:
Bulls Power (Simple, 16) falls.
Input Parameters Account Statistics
Profile name Analysis Acceptance criteria Fulfilled
Data source name ICMARKET Net balance 263842.00 USD
Strategy name Baropen bbp obv week... Intrabar scanning Not accomplished
Chart GBPUSD D1 Ambiguous bars 0
Data bars 2596 Profit per day 33.34 USD
Time of updating 2014-12-31 00:00 Max consecutive losses 6
Time of beginning 2005-01-03 00:00 System quality number 2.67
Spread 20.00 points Sharpe ratio 0.18
Swap long -2.00 points Average HPR 0.26 %
Swap short -2.00 points Profit factor 1.65
Commission 0.00 points Tested bars 2429
Slippage 0.00 points Minimum balance 146282.00 USD
Interpolation method Pessimistic Maximum balance 264557.00 USD
Initial Account 150000 USD Max balance drawdown 12195.00 USD
Leverage 10 Max equity drawdown 16567.00 USD
Account exchange rate Not used Max equity drawdown 7.09 %
Auto scan Switched on Max stagnation 630 days
Trade until Margin Call Switched on Average profit 4149.18 USD
Average loss -4012.09 USD
Executed orders 453
Win/loss ratio 0.62
Time in position 83 %
Additional Statistics
Parameter Long + Short Long Short
Initial account [USD] 150000.00 150000.00 150000.00
Account balance [USD] 263842.00 199057.00 214785.00
Net profit [USD] 113842.00 49057.00 64785.00
Net profit [%] 75.89 32.70 43.19
Gross profit [USD] 288368.00 140910.00 147458.00
Gross loss [USD] -174526.00 -91853.00 -82673.00
Profit factor 1.65 1.53 1.78
Annualized profit [USD] 11390.44 4908.39 6482.05
Annualized profit [%] 7.59 3.27 4.32
Minimum account [USD] 146282.00 144234.00 146282.00
Minimum account date 9/9/2005 11/18/2005 9/9/2005
Maximum account 264557.00 205543.00 215500.00
Maximum account date 12/5/2014 7/4/2014 12/5/2014
Absolute drawdown [USD] 3718.00 5766.00 3718.00
Maximum drawdown [USD] 12195.00 9610.00 10582.00
Maximum drawdown [%] 7.09 5.54 5.20
Maximum drawdown date 1/3/2005 1/11/2008 11/6/2009
History bars 2596 2596 2596
Tested bars 2429 2429 2429
Bars with trades 2013 1113 900
Bars with trades [%] 82.87 45.82 37.05
Number of trades 226 122 104
Winning trades 139 77 62
Losing trades 87 45 42
Win/loss ratio 0.62 0.63 0.60
Maximum profit [USD] 13296.00 10118.00 13296.00
Average profit [USD] 2074.59 1830.00 2378.35
Maximum loss [USD] -6591.00 -5784.00 -6591.00
Average loss [USD] -2006.05 -2041.18 -1968.40
Expected payoff [USD] 503.73 402.11 622.93
Average HPR [%] 0.26 0.24 0.36
Geometric HPR [%] 0.25 0.23 0.35
Sharpe ratio 0.18 0.17 0.20
EURUSD
Opening (Entry Signal)
Open a new long position 666 points below the top price of the previous bar when the following logic condition is satisfied:
Trix Index* (Smoothed, Close, 102) is lower than the Signal line.
Open a new short position 666 points above the bottom price of the previous bar when the following logic condition is satisfied:
Trix Index* (Smoothed, Close, 102) is higher than the Signal line.
Closing (Exit Signal)
Close an existing long position when the market falls 3870 points or rises 3880 points from the last entry price.
Close an existing short position when the market rises 3870 points or falls 3880 points from the last entry price.
Input Parameters Account Statistics
Profile name Analysis Acceptance criteria Fulfilled
Data source name ICMARKET Net balance 298952.00 USD
Strategy name Strategy Intrabar scanning Not accomplished
Chart EURUSD D1 Ambiguous bars 4
Data bars 2597 Profit per day 44.33 USD
Time of updating 2014-12-31 00:00 Max consecutive losses 4
Time of beginning 2005-01-03 00:00 System quality number 4.11
Spread 0.00 points Sharpe ratio 0.43
Swap long -2.00 points Average HPR 0.69 %
Swap short -2.00 points Profit factor 2.22
Commission 0.00 points Tested bars 2391
Slippage 2.00 points Minimum balance 145764.00 USD
Interpolation method Pessimistic Maximum balance 298952.00 USD
Initial Account 150000 USD Max balance drawdown 15576.00 USD
Leverage 10 Max equity drawdown 15576.00 USD
Account exchange rate Not used Max equity drawdown 7.16 %
Auto scan Switched on Max stagnation 637 days
Trade until Margin Call Switched on Average profit 7636.79 USD
Average loss -7880.90 USD
Executed orders 205
Win/loss ratio 0.70
Time in position 97 %
Additional Statistics
Parameter Long + Short Long Short
Initial account [USD] 150000.00 150000.00 150000.00
Account balance [USD] 298952.00 239458.00 209494.00
Net profit [USD] 148952.00 89458.00 59494.00
Net profit [%] 99.30 59.64 39.66
Gross profit [USD] 271106.00 167738.00 103368.00
Gross loss [USD] -122154.00 -78280.00 -43874.00
Profit factor 2.22 2.14 2.36
Annualized profit [USD] 14903.37 8950.70 5952.66
Annualized profit [%] 9.94 5.97 3.97
Minimum account [USD] 145764.00 150000.00 145764.00
Minimum account date 4/18/2006 1/3/2005 4/18/2006
Maximum account 298952.00 243366.00 209494.00
Maximum account date 10/31/2014 2/1/2013 10/31/2014
Absolute drawdown [USD] 4236.00 0.00 4236.00
Maximum drawdown [USD] 15576.00 15576.00 12380.00
Maximum drawdown [%] 7.16 7.69 5.99
Maximum drawdown date 1/3/2005 2/17/2009 3/13/2014
History bars 2597 2597 2597
Tested bars 2391 2391 2391
Bars with trades 2327 1382 946
Bars with trades [%] 97.32 57.80 39.57
Number of trades 102 64 38
Winning trades 71 44 27
Losing trades 31 20 11
Win/loss ratio 0.70 0.69 0.71
Maximum profit [USD] 3876.00 3876.00 3872.00
Average profit [USD] 3818.39 3812.23 3828.44
Maximum loss [USD] -4236.00 -4012.00 -4236.00
Average loss [USD] -3940.45 -3914.00 -3988.55
Expected payoff [USD] 1460.31 1397.78 1565.63
Average HPR [%] 0.69 0.75 0.90
Geometric HPR [%] 0.68 0.73 0.88
Sharpe ratio 0.43 0.41 0.47
GBP USD Opening (Entry Signal)
Open a new long position 750 points below the top price of the previous bar when the following logic condition is satisfied:
Trix Index* (Smoothed, Close, 77) is lower than the Signal line.
Open a new short position 750 points above the bottom price of the previous bar when the following logic condition is satisfied:
Trix Index* (Smoothed, Close, 77) is higher than the Signal line.
Closing (Exit Signal)
Close an existing long position when the market falls 3580 points or rises 3920 points from the last entry price.
Close an existing short position when the market rises 3580 points or falls 3920 points from the last entry price.
Input Parameters Account Statistics
Profile name Analysis Acceptance criteria Fulfilled
Data source name ICMARKET Net balance 232019.00 USD
Strategy name Strategy Intrabar scanning Not accomplished
Chart GBPUSD D1 Ambiguous bars 7
Data bars 2596 Profit per day 23.91 USD
Time of updating 2014-12-31 00:00 Max consecutive losses 4
Time of beginning 2005-01-03 00:00 System quality number 1.76
Spread 20.00 points Sharpe ratio 0.14
Swap long -2.00 points Average HPR 0.30 %
Swap short -2.00 points Profit factor 1.33
Commission 0.00 points Tested bars 2440
Slippage 0.00 points Minimum balance 145502.00 USD
Interpolation method Pessimistic Maximum balance 232019.00 USD
Initial Account 150000 USD Max balance drawdown 44684.00 USD
Leverage 10 Max equity drawdown 47216.00 USD
Account exchange rate Not used Max equity drawdown 24.74 %
Auto scan Switched on Max stagnation 811 days
Trade until Margin Call Switched on Average profit 7740.63 USD
Average loss -7270.38 USD
Executed orders 311
Win/loss ratio 0.55
Time in position 95 %
Additional Statistics
Parameter Long + Short Long Short
Initial account [USD] 150000.00 150000.00 150000.00
Account balance [USD] 232019.00 200220.00 181799.00
Net profit [USD] 82019.00 50220.00 31799.00
Net profit [%] 54.68 33.48 21.20
Gross profit [USD] 332847.00 220690.00 112157.00
Gross loss [USD] -250828.00 -170470.00 -80358.00
Profit factor 1.33 1.29 1.40
Annualized profit [USD] 8206.40 5024.75 3181.64
Annualized profit [%] 5.47 3.35 2.12
Minimum account [USD] 145502.00 141234.00 146356.00
Minimum account date 11/11/2008 11/11/2008 9/1/2005
Maximum account 232019.00 200220.00 182548.00
Maximum account date 12/5/2014 12/18/2013 5/17/2010
Absolute drawdown [USD] 4498.00 8766.00 3644.00
Maximum drawdown [USD] 44684.00 44684.00 14198.00
Maximum drawdown [%] 24.74 24.03 7.78
Maximum drawdown date 1/3/2005 11/11/2008 4/21/2011
History bars 2596 2596 2596
Tested bars 2440 2440 2440
Bars with trades 2322 1409 913
Bars with trades [%] 95.16 57.75 37.42
Number of trades 155 104 51
Winning trades 86 57 29
Losing trades 69 47 22
Win/loss ratio 0.55 0.55 0.57
Maximum profit [USD] 4634.00 4634.00 4209.00
Average profit [USD] 3870.31 3871.75 3867.48
Maximum loss [USD] -3866.00 -3714.00 -3866.00
Average loss [USD] -3635.19 -3627.02 -3652.64
Expected payoff [USD] 529.15 482.88 623.51
Average HPR [%] 0.30 0.30 0.40
Geometric HPR [%] 0.28 0.28 0.38
Sharpe ratio 0.14 0.13 0.18
EURUSD Opening (Entry Signal)
Open a new long position at the peak of a Up Ross hook when the following logic condition is satisfied:
the Moving Average of Oscillator* (Smoothed, Close, Exponential, 97, 110, 94) falls.
Open a new short position at the bottom of a Down Ross hook when the following logic condition is satisfied:
the Moving Average of Oscillator* (Smoothed, Close, Exponential, 97, 110, 94) rises.
Closing (Exit Signal)
Close an existing long position when the market falls 3390 points or rises 2160 points from the last entry price.
Close an existing short position when the market rises 3390 points or falls 2160 points from the last entry price.
Input Parameters Account Statistics
Profile name Analysis Acceptance criteria Fulfilled
Data source name ICMARKET Net balance 259348.00 USD
Strategy name Strategy Intrabar scanning Not accomplished
Chart EURUSD D1 Ambiguous bars 0
Data bars 2597 Profit per day 32.57 USD
Time of updating 2014-12-31 00:00 Max consecutive losses 2
Time of beginning 2005-01-03 00:00 System quality number 4.33
Spread 0.00 points Sharpe ratio 0.37
Swap long -2.00 points Average HPR 0.47 %
Swap short -2.00 points Profit factor 2.22
Commission 0.00 points Tested bars 2388
Slippage 2.00 points Minimum balance 144054.00 USD
Interpolation method Pessimistic Maximum balance 262768.00 USD
Initial Account 150000 USD Max balance drawdown 14018.00 USD
Leverage 10 Max equity drawdown 16562.00 USD
Account exchange rate Not used Max equity drawdown 10.46 %
Auto scan Switched on Max stagnation 619 days
Trade until Margin Call Switched on Average profit 4275.18 USD
Average loss -6880.62 USD
Executed orders 238
Win/loss ratio 0.78
Time in position 62 %
Additional Statistics
Parameter Long + Short Long Short
Initial account [USD] 150000.00 150000.00 150000.00
Account balance [USD] 259348.00 203252.00 206096.00
Net profit [USD] 109348.00 53252.00 56096.00
Net profit [%] 72.90 35.50 37.40
Gross profit [USD] 198796.00 104774.00 94022.00
Gross loss [USD] -89448.00 -51522.00 -37926.00
Profit factor 2.22 2.03 2.48
Annualized profit [USD] 10940.79 5328.12 5612.68
Annualized profit [%] 7.29 3.55 3.74
Minimum account [USD] 144054.00 146578.00 142612.00
Minimum account date 6/13/2007 11/8/2005 6/27/2008
Maximum account 262768.00 206672.00 206096.00
Maximum account date 12/3/2014 10/24/2013 12/3/2014
Absolute drawdown [USD] 5946.00 3422.00 7388.00
Maximum drawdown [USD] 14018.00 7046.00 7388.00
Maximum drawdown [%] 10.46 4.46 4.93
Maximum drawdown date 1/3/2005 6/13/2007 6/27/2008
History bars 2597 2597 2597
Tested bars 2388 2388 2388
Bars with trades 1476 815 661
Bars with trades [%] 61.81 34.13 27.68
Number of trades 119 64 55
Winning trades 93 49 44
Losing trades 26 15 11
Win/loss ratio 0.78 0.77 0.80
Maximum profit [USD] 2556.00 2556.00 2428.00
Average profit [USD] 2137.59 2138.24 2136.86
Maximum loss [USD] -3532.00 -3516.00 -3532.00
Average loss [USD] -3440.31 -3434.80 -3447.82
Expected payoff [USD] 918.89 832.06 1019.93
Average HPR [%] 0.47 0.49 0.59
Geometric HPR [%] 0.46 0.48 0.58
Sharpe ratio 0.37 0.34 0.44
GBPUSD Opening (Entry Signal)
Open a new long position at the peak of a Up Ross hook when the following logic condition is satisfied:
the Moving Average of Oscillator* (Smoothed, Close, Exponential, 97, 110, 94) falls.
Open a new short position at the bottom of a Down Ross hook when the following logic condition is satisfied:
the Moving Average of Oscillator* (Smoothed, Close, Exponential, 97, 110, 94) rises.
Closing (Exit Signal)
Close an existing long position when the market falls 3390 points or rises 2160 points from the last entry price.
Close an existing short position when the market rises 3390 points or falls 2160 points from the last entry price.
Input Parameters Account Statistics
Profile name Analysis Acceptance criteria Not fulfilled
Data source name ICMARKET Net balance 112260.00 USD
Strategy name Ross MAOS STOPLIMIT Intrabar scanning Not accomplished
Chart GBPUSD D1 Ambiguous bars 0
Data bars 2596 Profit per day -11.24 USD
Time of updating 2014-12-31 00:00 Max consecutive losses 4
Time of beginning 2005-01-03 00:00 System quality number -1.22
Spread 20.00 points Sharpe ratio -0.09
Swap long -2.00 points Average HPR -0.21 %
Swap short -2.00 points Profit factor 0.80
Commission 0.00 points Tested bars 2387
Slippage 0.00 points Minimum balance 100624.00 USD
Interpolation method Pessimistic Maximum balance 153654.00 USD
Initial Account 150000 USD Max balance drawdown 53030.00 USD
Leverage 10 Max equity drawdown 53937.00 USD
Account exchange rate Not used Max equity drawdown 35.10 %
Auto scan Switched on Max stagnation 3154 days
Trade until Margin Call Switched on Average profit 4235.37 USD
Average loss -6888.07 USD
Executed orders 249
Win/loss ratio 0.56
Time in position 52 %
Additional Statistics
Parameter Long + Short Long Short
Initial account [USD] 150000.00 150000.00 150000.00
Account balance [USD] 112260.00 141804.00 120456.00
Net profit [USD] -37740.00 -8196.00 -29544.00
Net profit [%] -25.16 -5.46 -19.70
Gross profit [USD] 148238.00 78060.00 70178.00
Gross loss [USD] -185978.00 -86256.00 -99722.00
Profit factor 0.80 0.90 0.70
Annualized profit [USD] -3776.07 -820.05 -2956.02
Annualized profit [%] -2.52 -0.55 -1.97
Minimum account [USD] 100624.00 127872.00 111978.00
Minimum account date 10/10/2011 3/30/2009 7/2/2014
Maximum account 153654.00 153654.00 150836.00
Maximum account date 5/12/2006 5/12/2006 3/5/2007
Absolute drawdown [USD] 49376.00 22128.00 38022.00
Maximum drawdown [USD] 53030.00 25782.00 38858.00
Maximum drawdown [%] 35.10 16.78 25.76
Maximum drawdown date 1/3/2005 3/30/2009 7/2/2014
History bars 2596 2596 2596
Tested bars 2387 2387 2387
Bars with trades 1245 698 547
Bars with trades [%] 52.16 29.24 22.92
Number of trades 124 62 62
Winning trades 70 37 33
Losing trades 54 25 29
Win/loss ratio 0.56 0.60 0.53
Maximum profit [USD] 2140.00 2138.00 2140.00
Average profit [USD] 2117.69 2109.73 2126.61
Maximum loss [USD] -3638.00 -3638.00 -3524.00
Average loss [USD] -3444.04 -3450.24 -3438.69
Expected payoff [USD] -304.35 -132.19 -476.52
Average HPR [%] -0.21 -0.07 -0.33
Geometric HPR [%] -0.23 -0.09 -0.35
Sharpe ratio -0.09 -0.04 -0.15