new EURUSD VolBreakout portfolio report · saved 2026-10-15 18:55 by the UBS Optimizer

Period: the period all ticked strategies cover Compared over 2004.01.01 - 2026.10.15, the period all ticked strategies cover.

6 strategies, 2004.01.01 - 2026.10.15 · max risk 5 % per strategy on 10,000, all sizes × 1.00 for a 10.5 % max drawdown · deposit 10,000 · risk per strategy 5 % · max drawdown target 10.5 % (all sizes × 1.00) · max DD basis: MT5 report, whole backtest

Net profit 24,347 (243.5 %) Max drawdown 1,014 (10.1 %) Recovery factor 24.01 Sharpe ratio 1.11 Profit factor 1.53 Trades 3,994 Avg. correlation 0.40

Sizes per strategy

StrategyTested lots Risk % Max DD at 0.01 lots Ideal lots Lots that trade Effective risk Max DD at those lotsNet at those lots DD share
EURUSD M15 C100.01 3.1 % fine-tuned by you46.99 0.066 0.06 2.8 %2821,984 8 %
EURUSD M15 C200.01 5.5 % fine-tuned by you44.92 0.122 0.12 5.4 %5394,553 8 %
EURUSD M15 C350.01 5.0 % fine-tuned by you107.72 0.046 0.04 4.3 %4313,618 31 %
EURUSD M15 C370.01 8.3 % fine-tuned by you34.51 0.241 0.24 8.3 %8287,108 19 %
EURUSD M15 C550.01 3.8 % fine-tuned by you80.46 0.047 0.04 3.2 %3223,493 26 %
EURUSD M15 C630.01 5.7 % fine-tuned by you24.71 0.231 0.23 5.7 %5683,592 7 %

Growth of the portfolio and its strategies

-1246,04112,20618,37224,53720042005200620072008200920102011201220132014201520162017201820192020202120222023202420252026TotalEURUSD M15 C37EURUSD M15 C20EURUSD M15 C35EURUSD M15 C63EURUSD M15 C55EURUSD M15 C10Portfolio total (bold) and its 6 strategies · closed P/Lends: strategies 1,984 to 7,108 · total 24,347
Year20042005200620072008200920102011201220132014201520162017201820192020202120222023202420252026
P/L2,5841,034287-3631,8881,1671,0961,0041,8851,9221,4804511,6611,491907322-1721,3427902,610311132515

Statistics

Result

Net profit24,347 (243.5 %)
Per year1,068 (10.7 %)
Best year2023: 2,610 (26.1 %)
Worst year2007: -363 (-3.6 %)
Year std. deviation813 (8.1 %)
Positive years21 of 23
Positive months143 of 274 (52 %)
Average month89 (0.9 %)
Month std. deviation278 (2.8 %)
Best month2026.06: 1,116 (11.2 %)
Worst month2013.08: -679 (-6.8 %)

Risk

Max drawdown1,014 (10.1 %)
Drawdown fall210 days
2006.12.07 - 2007.07.05
Longest without a new high769 days
2019.05.10 - 2021.06.17
Worst day-417 (-4.2 %)
Best day623 (6.2 %)
Ulcer index375 (3.7 %)
Members' max DD summed2,970 (29.7 %)
Drawdown vs sum of members39 %

Ratios

Recovery factor24.01
Yearly return ÷ max DD1.05
Profit factor1.53
Sharpe ratio1.11
Sortino ratio2.21
Trades3,994
Trades per year175
Expected payoff6.10
Days with a trade1225 (52 % positive)

Diversification

Strategies6
Average correlation0.40
Highest pair correlation0.63
EURUSD M15 C10 / EURUSD M15 C37
Lowest pair correlation0.24
EURUSD M15 C35 / EURUSD M15 C63
Share of the best strategy29 %
EURUSD M15 C37

Each strategy's daily closed P/L added up at the sizes above: what one account running all 6 would have closed. Drawdowns are from the closed results, once per day (MT5's equity drawdown, which also counts dips inside open trades, is larger). Set files with these sizes are next to this report; the strategies' MT5 reports are in backtests\.

The strategies

EURUSD M15 C10 EURUSD M15 · backtest 2004.01.01 - 2026.10.15 · in-sample 2020.01.01 - 2023.12.31 · MetaQuotes (5057441289)

Size in the portfolio max risk 3.1 % per strategyTested at 0.01 lotsNet 331PF 1.50RF 7.04Max DD 47Trades 454At the portfolio size: net 1,984, max DD 282
in-sample08717326034720042005200620072008200920102011201220132014201520162017201820192020202120222023202420252026EURUSD M15 C10 · closed P/L as tested at 0.01 lots331

Set file: EURUSD_M15_VolBrk_C10.set · MT5 backtest report: backtests/EURUSD_M15_VolBrk_C10.html (the app's growth curve above replaces MT5's balance graph in it; the in-sample window is the optimization window).

EURUSD M15 C20 EURUSD M15 · backtest 2004.01.01 - 2026.10.15 · in-sample 2020.01.01 - 2023.12.31 · MetaQuotes (5057441289)

Size in the portfolio max risk 5.5 % per strategyTested at 0.01 lotsNet 379PF 1.62RF 8.45Max DD 45Trades 450At the portfolio size: net 4,553, max DD 539
in-sample-59419429339320042005200620072008200920102011201220132014201520162017201820192020202120222023202420252026EURUSD M15 C20 · closed P/L as tested at 0.01 lots379

Set file: EURUSD_M15_VolBrk_C20.set · MT5 backtest report: backtests/EURUSD_M15_VolBrk_C20.html (the app's growth curve above replaces MT5's balance graph in it; the in-sample window is the optimization window).

EURUSD M15 C35 EURUSD M15 · backtest 2004.01.01 - 2026.10.15 · in-sample 2020.01.01 - 2023.12.31 · MetaQuotes (5057441289)

Size in the portfolio max risk 5.0 % per strategyTested at 0.01 lotsNet 904PF 1.45RF 8.40Max DD 108Trades 1,168At the portfolio size: net 3,618, max DD 431
in-sample-222645468190920042005200620072008200920102011201220132014201520162017201820192020202120222023202420252026EURUSD M15 C35 · closed P/L as tested at 0.01 lots904

Set file: EURUSD_M15_VolBrk_C35.set · MT5 backtest report: backtests/EURUSD_M15_VolBrk_C35.html (the app's growth curve above replaces MT5's balance graph in it; the in-sample window is the optimization window).

EURUSD M15 C37 EURUSD M15 · backtest 2004.01.01 - 2026.10.15 · in-sample 2020.01.01 - 2023.12.31 · MetaQuotes (5057441289)

Size in the portfolio max risk 8.3 % per strategyTested at 0.01 lotsNet 296PF 1.59RF 8.58Max DD 35Trades 361At the portfolio size: net 7,108, max DD 828
in-sample-37214822329820042005200620072008200920102011201220132014201520162017201820192020202120222023202420252026EURUSD M15 C37 · closed P/L as tested at 0.01 lots296

Set file: EURUSD_M15_VolBrk_C37.set · MT5 backtest report: backtests/EURUSD_M15_VolBrk_C37.html (the app's growth curve above replaces MT5's balance graph in it; the in-sample window is the optimization window).

EURUSD M15 C55 EURUSD M15 · backtest 2004.01.01 - 2026.10.15 · in-sample 2020.01.01 - 2023.12.31 · MetaQuotes (5057441289)

Size in the portfolio max risk 3.8 % per strategyTested at 0.01 lotsNet 873PF 1.48RF 10.85Max DD 80Trades 1,168At the portfolio size: net 3,493, max DD 322
in-sample-1121143465687820042005200620072008200920102011201220132014201520162017201820192020202120222023202420252026EURUSD M15 C55 · closed P/L as tested at 0.01 lots873

Set file: EURUSD_M15_VolBrk_C55.set · MT5 backtest report: backtests/EURUSD_M15_VolBrk_C55.html (the app's growth curve above replaces MT5's balance graph in it; the in-sample window is the optimization window).

EURUSD M15 C63 EURUSD M15 · backtest 2004.01.01 - 2026.10.15 · in-sample 2020.01.01 - 2023.12.31 · MetaQuotes (5057441289)

Size in the portfolio max risk 5.7 % per strategyTested at 0.01 lotsNet 156PF 1.47RF 6.32Max DD 25Trades 393At the portfolio size: net 3,592, max DD 568
in-sample-3398012216420042005200620072008200920102011201220132014201520162017201820192020202120222023202420252026EURUSD M15 C63 · closed P/L as tested at 0.01 lots156

Set file: EURUSD_M15_VolBrk_C63.set · MT5 backtest report: backtests/EURUSD_M15_VolBrk_C63.html (the app's growth curve above replaces MT5's balance graph in it; the in-sample window is the optimization window).