Strategy Tester Report
R2
| Symbol | GBPJPY (Great Britain Pound vs Japanese Yen) | ||||
| Period | Daily (D1) 1999.10.11 00:00 - 2007.04.03 00:00 (1970.01.01 - 2007.04.03) | ||||
| Model | Control points (based on the nearest less timeframe with fractal interpolation of 12 control points) | ||||
| Parameters | MovingAverage=5; MAPeriod=200; JMAPhase=0; Oscillator=2; OscillatorPeriod=2; OscillatorHighLevel=40; OscillatorLowLevel=60; OscillatorExitHighLevel=70; OscillatorExitLowLevel=30; | ||||
| Bars in test | 2049 | Ticks modelled | 31309 | Modelling quality | 28.00% |
| Initial deposit | 10000.00 | ||||
| Total net profit | -9637.63 | Gross profit | 11066.73 | Gross loss | -20704.36 |
| Profit factor | 0.53 | Expected payoff | -385.51 | ||
| Absolute drawdown | 9637.63 | Maximal drawdown | 11885.01 (97.04%) | Relative drawdown | 97.04% (11885.01) |
| Total trades | 25 | Short positions (won %) | 13 (23.08%) | Long positions (won %) | 12 (50.00%) |
| Profit trades (% of total) | 9 (36.00%) | Loss trades (% of total) | 16 (64.00%) | ||
| Largest | profit trade | 2724.57 | loss trade | -3511.50 | |
| Average | profit trade | 1229.64 | loss trade | -1294.02 | |
| Maximum | consecutive wins (profit in money) | 4 (5441.66) | consecutive losses (loss in money) | 6 (-5949.74) | |
| Maximal | consecutive profit (count of wins) | 5441.66 (4) | consecutive loss (count of losses) | -8345.29 (3) | |
| Average | consecutive wins | 2 | consecutive losses | 3 | |
| # | Time | Type | Order | Lots | Price | S / L | T / P | Profit | Balance |
| 1 | 1999.12.20 00:00 | buy | 1 | 1.00 | 165.73 | 0.00 | 0.00 | ||
| 2 | 1999.12.22 00:00 | close | 1 | 1.00 | 164.71 | 0.00 | 0.00 | -809.43 | 9190.57 |
| 3 | 2000.06.09 00:00 | buy | 2 | 1.00 | 159.92 | 0.00 | 0.00 | ||
| 4 | 2000.06.12 00:00 | close | 2 | 1.00 | 161.14 | 0.00 | 0.00 | 1051.52 | 10242.08 |
| 5 | 2000.07.21 00:00 | sell | 3 | 1.00 | 162.63 | 0.00 | 0.00 | ||
| 6 | 2000.07.24 00:00 | close | 3 | 1.00 | 165.19 | 0.00 | 0.00 | -2180.69 | 8061.39 |
| 7 | 2000.11.14 00:00 | sell | 4 | 1.00 | 154.55 | 0.00 | 0.00 | ||
| 8 | 2000.11.15 00:00 | sell | 5 | 1.00 | 154.77 | 0.00 | 0.00 | ||
| 9 | 2000.11.16 00:00 | close | 4 | 1.00 | 155.20 | 0.00 | 0.00 | -653.08 | 7408.31 |
| 10 | 2000.11.17 00:00 | close | 5 | 1.00 | 155.36 | 0.00 | 0.00 | -602.59 | 6805.72 |
| 11 | 2001.08.28 00:00 | buy | 6 | 1.00 | 173.12 | 0.00 | 0.00 | ||
| 12 | 2001.08.29 00:00 | close | 6 | 1.00 | 174.65 | 0.00 | 0.00 | 1312.45 | 8118.17 |
| 13 | 2001.09.04 00:00 | buy | 7 | 1.00 | 172.75 | 0.00 | 0.00 | ||
| 14 | 2001.09.06 00:00 | close | 7 | 1.00 | 175.87 | 0.00 | 0.00 | 2724.57 | 10842.74 |
| 15 | 2001.11.19 00:00 | sell | 8 | 1.00 | 175.42 | 0.00 | 0.00 | ||
| 16 | 2001.11.20 00:00 | close | 8 | 1.00 | 174.29 | 0.00 | 0.00 | 924.33 | 11767.07 |
| 17 | 2002.01.22 00:00 | sell | 9 | 1.00 | 190.82 | 0.00 | 0.00 | ||
| 18 | 2002.01.28 00:00 | close | 9 | 1.00 | 190.06 | 0.00 | 0.00 | 480.31 | 12247.38 |
| 19 | 2002.02.28 00:00 | buy | 10 | 1.00 | 190.72 | 0.00 | 0.00 | ||
| 20 | 2002.03.01 00:00 | close | 10 | 1.00 | 188.87 | 0.00 | 0.00 | -1532.66 | 10714.72 |
| 21 | 2002.03.15 00:00 | sell | 11 | 1.00 | 183.55 | 0.00 | 0.00 | ||
| 22 | 2002.03.18 00:00 | sell | 12 | 1.00 | 184.06 | 0.00 | 0.00 | ||
| 23 | 2002.03.19 00:00 | close | 11 | 1.00 | 187.41 | 0.00 | 0.00 | -3301.14 | 7413.59 |
| 24 | 2002.03.20 00:00 | close | 12 | 1.00 | 188.17 | 0.00 | 0.00 | -3511.50 | 3902.09 |
| 25 | 2002.04.16 00:00 | sell | 13 | 1.00 | 189.91 | 0.00 | 0.00 | ||
| 26 | 2002.04.17 00:00 | close | 13 | 1.00 | 189.02 | 0.00 | 0.00 | 722.38 | 4624.47 |
| 27 | 2002.07.18 00:00 | sell | 14 | 1.00 | 182.86 | 0.00 | 0.00 | ||
| 28 | 2002.07.19 00:00 | sell | 15 | 1.00 | 183.19 | 0.00 | 0.00 | ||
| 29 | 2002.07.23 00:00 | close | 14 | 1.00 | 183.66 | 0.00 | 0.00 | -752.77 | 3871.70 |
| 30 | 2002.07.24 00:00 | close | 15 | 1.00 | 183.75 | 0.00 | 0.00 | -550.83 | 3320.87 |
| 31 | 2003.02.07 00:00 | buy | 16 | 1.00 | 196.43 | 0.00 | 0.00 | ||
| 32 | 2003.02.11 00:00 | close | 16 | 1.00 | 197.18 | 0.00 | 0.00 | 680.47 | 4001.34 |
| 33 | 2003.03.19 00:00 | buy | 17 | 1.00 | 185.86 | 0.00 | 0.00 | ||
| 34 | 2003.03.20 00:00 | close | 17 | 1.00 | 188.23 | 0.00 | 0.00 | 2068.68 | 6070.02 |
| 35 | 2003.03.28 00:00 | buy | 18 | 1.00 | 187.76 | 0.00 | 0.00 | ||
| 36 | 2003.04.01 00:00 | close | 18 | 1.00 | 186.68 | 0.00 | 0.00 | -859.93 | 5210.09 |
| 37 | 2003.06.05 00:00 | buy | 19 | 1.00 | 193.98 | 0.00 | 0.00 | ||
| 38 | 2003.06.06 00:00 | close | 19 | 1.00 | 195.26 | 0.00 | 0.00 | 1102.02 | 6312.11 |
| 39 | 2003.08.08 00:00 | buy | 20 | 1.00 | 192.60 | 0.00 | 0.00 | ||
| 40 | 2003.08.11 00:00 | buy | 21 | 1.00 | 190.82 | 0.00 | 0.00 | ||
| 41 | 2003.08.12 00:00 | close | 20 | 1.00 | 190.54 | 0.00 | 0.00 | -1684.84 | 4627.27 |
| 42 | 2003.08.13 00:00 | close | 21 | 1.00 | 190.09 | 0.00 | 0.00 | -565.32 | 4061.94 |
| 43 | 2003.10.17 00:00 | sell | 22 | 1.00 | 183.85 | 0.00 | 0.00 | ||
| 44 | 2003.10.21 00:00 | close | 22 | 1.00 | 184.52 | 0.00 | 0.00 | -616.86 | 3445.09 |
| 45 | 2003.11.17 00:00 | sell | 23 | 1.00 | 183.19 | 0.00 | 0.00 | ||
| 46 | 2003.11.18 00:00 | close | 23 | 1.00 | 184.37 | 0.00 | 0.00 | -1019.47 | 2425.61 |
| 47 | 2004.05.27 00:00 | sell | 24 | 1.00 | 202.75 | 0.00 | 0.00 | ||
| 48 | 2004.05.28 00:00 | close | 24 | 1.00 | 203.90 | 0.00 | 0.00 | -994.22 | 1431.39 |
| 49 | 2004.10.04 00:00 | buy | 25 | 1.00 | 198.99 | 0.00 | 0.00 | ||
| 50 | 2004.10.04 02:00 | close at stop | 25 | 1.00 | 197.72 | 0.00 | 0.00 | -1069.02 | 362.37 |