Strategy Tester Report
R2
| Symbol | GBPUSD (Great Britain Pound vs US Dollar) | ||||
| Period | Daily (D1) 1999.10.22 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=15; OscillatorHighLevel=45; OscillatorLowLevel=60; OscillatorExitHighLevel=65; OscillatorExitLowLevel=30; | ||||
| Bars in test | 2049 | Ticks modelled | 31040 | Modelling quality | 28.00% |
| Initial deposit | 10000.00 | ||||
| Total net profit | 55777.13 | Gross profit | 68938.45 | Gross loss | -13161.33 |
| Profit factor | 5.24 | Expected payoff | 1467.82 | ||
| Absolute drawdown | 2405.72 | Maximal drawdown | 6080.33 (22.79%) | Relative drawdown | 26.79% (2778.30) |
| Total trades | 38 | Short positions (won %) | 11 (54.55%) | Long positions (won %) | 27 (66.67%) |
| Profit trades (% of total) | 24 (63.16%) | Loss trades (% of total) | 14 (36.84%) | ||
| Largest | profit trade | 7114.94 | loss trade | -2202.53 | |
| Average | profit trade | 2872.44 | loss trade | -940.09 | |
| Maximum | consecutive wins (profit in money) | 9 (40103.35) | consecutive losses (loss in money) | 5 (-6080.33) | |
| Maximal | consecutive profit (count of wins) | 40103.35 (9) | consecutive loss (count of losses) | -6080.33 (5) | |
| Average | consecutive wins | 5 | consecutive losses | 2 | |
| # | Time | Type | Order | Lots | Price | S / L | T / P | Profit | Balance |
| 1 | 1999.11.30 00:00 | buy | 1 | 1.00 | 1.6062 | 0.0000 | 0.0000 | ||
| 2 | 1999.12.01 00:00 | close | 1 | 1.00 | 1.5976 | 0.0000 | 0.0000 | -860.41 | 9139.59 |
| 3 | 1999.12.02 00:00 | buy | 2 | 1.00 | 1.6010 | 0.0000 | 0.0000 | ||
| 4 | 1999.12.03 00:00 | buy | 3 | 1.00 | 1.6004 | 0.0000 | 0.0000 | ||
| 5 | 1999.12.06 00:00 | buy | 4 | 1.00 | 1.6023 | 0.0000 | 0.0000 | ||
| 6 | 1999.12.16 00:00 | close | 2 | 1.00 | 1.6057 | 0.0000 | 0.0000 | 464.19 | 9603.78 |
| 7 | 1999.12.16 00:00 | close | 4 | 1.00 | 1.6057 | 0.0000 | 0.0000 | 335.02 | 9938.80 |
| 8 | 1999.12.20 00:00 | close | 3 | 1.00 | 1.6048 | 0.0000 | 0.0000 | 433.78 | 10372.58 |
| 9 | 2000.03.08 00:00 | buy | 5 | 1.00 | 1.5813 | 0.0000 | 0.0000 | ||
| 10 | 2000.03.16 00:00 | close | 5 | 1.00 | 1.5726 | 0.0000 | 0.0000 | -874.15 | 9498.43 |
| 11 | 2000.03.17 00:00 | buy | 6 | 1.00 | 1.5758 | 0.0000 | 0.0000 | ||
| 12 | 2000.03.20 00:00 | buy | 7 | 1.00 | 1.5743 | 0.0000 | 0.0000 | ||
| 13 | 2000.03.21 00:00 | close | 6 | 1.00 | 1.5695 | 0.0000 | 0.0000 | -630.83 | 8867.60 |
| 14 | 2000.03.22 00:00 | close | 7 | 1.00 | 1.5690 | 0.0000 | 0.0000 | -530.83 | 8336.77 |
| 15 | 2000.08.07 00:00 | buy | 8 | 1.00 | 1.5049 | 0.0000 | 0.0000 | ||
| 16 | 2000.08.11 00:00 | close | 8 | 1.00 | 1.4975 | 0.0000 | 0.0000 | -742.49 | 7594.28 |
| 17 | 2000.11.28 00:00 | buy | 9 | 1.00 | 1.4175 | 0.0000 | 0.0000 | ||
| 18 | 2000.12.11 00:00 | close | 9 | 1.00 | 1.4461 | 0.0000 | 0.0000 | 2854.61 | 10448.89 |
| 19 | 2001.02.13 00:00 | buy | 10 | 1.00 | 1.4535 | 0.0000 | 0.0000 | ||
| 20 | 2001.02.14 00:00 | buy | 11 | 1.00 | 1.4523 | 0.0000 | 0.0000 | ||
| 21 | 2001.02.20 00:00 | buy | 12 | 1.00 | 1.4471 | 0.0000 | 0.0000 | ||
| 22 | 2001.02.21 00:00 | buy | 13 | 1.00 | 1.4465 | 0.0000 | 0.0000 | ||
| 23 | 2001.02.22 00:00 | buy | 14 | 1.00 | 1.4426 | 0.0000 | 0.0000 | ||
| 24 | 2001.02.23 00:00 | buy | 15 | 1.00 | 1.4449 | 0.0000 | 0.0000 | ||
| 25 | 2001.03.12 00:00 | close | 10 | 1.00 | 1.4663 | 0.0000 | 0.0000 | 1268.80 | 11717.69 |
| 26 | 2001.03.12 00:00 | close | 12 | 1.00 | 1.4663 | 0.0000 | 0.0000 | 1911.70 | 13629.40 |
| 27 | 2001.03.12 00:00 | close | 14 | 1.00 | 1.4663 | 0.0000 | 0.0000 | 2363.36 | 15992.76 |
| 28 | 2001.03.13 00:00 | close | 11 | 1.00 | 1.4641 | 0.0000 | 0.0000 | 1168.80 | 17161.56 |
| 29 | 2001.03.13 00:00 | close | 15 | 1.00 | 1.4641 | 0.0000 | 0.0000 | 1913.36 | 19074.92 |
| 30 | 2001.03.14 00:00 | close | 13 | 1.00 | 1.4493 | 0.0000 | 0.0000 | 271.29 | 19346.21 |
| 31 | 2001.07.30 00:00 | sell | 16 | 1.00 | 1.4224 | 0.0000 | 0.0000 | ||
| 32 | 2001.07.31 00:00 | sell | 17 | 1.00 | 1.4260 | 0.0000 | 0.0000 | ||
| 33 | 2001.08.02 00:00 | close | 16 | 1.00 | 1.4343 | 0.0000 | 0.0000 | -1191.58 | 18154.63 |
| 34 | 2001.08.03 00:00 | close | 17 | 1.00 | 1.4321 | 0.0000 | 0.0000 | -611.58 | 17543.05 |
| 35 | 2002.08.26 00:00 | buy | 18 | 1.00 | 1.5212 | 0.0000 | 0.0000 | ||
| 36 | 2002.08.27 00:00 | buy | 19 | 1.00 | 1.5217 | 0.0000 | 0.0000 | ||
| 37 | 2002.09.05 00:00 | close | 18 | 1.00 | 1.5640 | 0.0000 | 0.0000 | 4275.02 | 21818.08 |
| 38 | 2002.09.06 00:00 | close | 19 | 1.00 | 1.5651 | 0.0000 | 0.0000 | 4335.02 | 26153.10 |
| 39 | 2002.10.08 00:00 | sell | 20 | 1.00 | 1.5656 | 0.0000 | 0.0000 | ||
| 40 | 2002.10.29 00:00 | close | 20 | 1.00 | 1.5603 | 0.0000 | 0.0000 | 523.36 | 26676.46 |
| 41 | 2003.03.25 00:00 | buy | 21 | 1.00 | 1.5758 | 0.0000 | 0.0000 | ||
| 42 | 2003.03.26 00:00 | buy | 22 | 1.00 | 1.5758 | 0.0000 | 0.0000 | ||
| 43 | 2003.03.28 00:00 | close | 21 | 1.00 | 1.5650 | 0.0000 | 0.0000 | -1082.07 | 25594.39 |
| 44 | 2003.04.03 00:00 | close | 22 | 1.00 | 1.5678 | 0.0000 | 0.0000 | -804.15 | 24790.24 |
| 45 | 2003.05.28 00:00 | sell | 23 | 1.00 | 1.6391 | 0.0000 | 0.0000 | ||
| 46 | 2003.05.29 00:00 | sell | 24 | 1.00 | 1.6389 | 0.0000 | 0.0000 | ||
| 47 | 2003.05.30 00:00 | close | 23 | 1.00 | 1.6549 | 0.0000 | 0.0000 | -1581.26 | 23208.98 |
| 48 | 2003.06.06 00:00 | close | 24 | 1.00 | 1.6609 | 0.0000 | 0.0000 | -2202.53 | 21006.45 |
| 49 | 2003.10.28 00:00 | sell | 25 | 1.00 | 1.6938 | 0.0000 | 0.0000 | ||
| 50 | 2003.10.29 00:00 | close | 25 | 1.00 | 1.6979 | 0.0000 | 0.0000 | -410.32 | 20596.13 |
| 51 | 2003.10.31 00:00 | sell | 26 | 1.00 | 1.6948 | 0.0000 | 0.0000 | ||
| 52 | 2003.11.03 00:00 | sell | 27 | 1.00 | 1.6957 | 0.0000 | 0.0000 | ||
| 53 | 2003.11.14 00:00 | close | 26 | 1.00 | 1.6876 | 0.0000 | 0.0000 | 715.58 | 21311.71 |
| 54 | 2003.11.17 00:00 | close | 27 | 1.00 | 1.6903 | 0.0000 | 0.0000 | 535.58 | 21847.28 |
| 55 | 2004.05.18 00:00 | buy | 28 | 1.00 | 1.7699 | 0.0000 | 0.0000 | ||
| 56 | 2004.05.19 00:00 | buy | 29 | 1.00 | 1.7673 | 0.0000 | 0.0000 | ||
| 57 | 2004.05.28 00:00 | close | 28 | 1.00 | 1.8376 | 0.0000 | 0.0000 | 6765.02 | 28612.31 |
| 58 | 2004.05.31 00:00 | close | 29 | 1.00 | 1.8348 | 0.0000 | 0.0000 | 6745.02 | 35357.33 |
| 59 | 2005.02.14 00:00 | buy | 30 | 1.00 | 1.8698 | 0.0000 | 0.0000 | ||
| 60 | 2005.02.24 00:00 | close | 30 | 1.00 | 1.9074 | 0.0000 | 0.0000 | 3755.02 | 39112.35 |
| 61 | 2005.06.15 00:00 | buy | 31 | 1.00 | 1.8064 | 0.0000 | 0.0000 | ||
| 62 | 2005.06.29 00:00 | close | 31 | 1.00 | 1.8165 | 0.0000 | 0.0000 | 1004.19 | 40116.54 |
| 63 | 2005.09.08 00:00 | sell | 32 | 1.00 | 1.8359 | 0.0000 | 0.0000 | ||
| 64 | 2005.09.09 00:00 | sell | 33 | 1.00 | 1.8356 | 0.0000 | 0.0000 | ||
| 65 | 2005.09.12 00:00 | sell | 34 | 1.00 | 1.8391 | 0.0000 | 0.0000 | ||
| 66 | 2005.09.28 00:00 | close | 32 | 1.00 | 1.7679 | 0.0000 | 0.0000 | 6794.31 | 46910.86 |
| 67 | 2005.09.28 00:00 | close | 34 | 1.00 | 1.7679 | 0.0000 | 0.0000 | 7114.94 | 54025.80 |
| 68 | 2005.09.29 00:00 | close | 33 | 1.00 | 1.7688 | 0.0000 | 0.0000 | 6673.68 | 60699.48 |
| 69 | 2006.06.27 00:00 | buy | 35 | 1.00 | 1.8237 | 0.0000 | 0.0000 | ||
| 70 | 2006.06.28 00:00 | buy | 36 | 1.00 | 1.8214 | 0.0000 | 0.0000 | ||
| 71 | 2006.06.29 00:00 | buy | 37 | 1.00 | 1.8187 | 0.0000 | 0.0000 | ||
| 72 | 2006.07.18 00:00 | close | 35 | 1.00 | 1.8196 | 0.0000 | 0.0000 | -418.71 | 60280.77 |
| 73 | 2006.07.18 00:00 | close | 37 | 1.00 | 1.8196 | 0.0000 | 0.0000 | 82.95 | 60363.72 |
| 74 | 2006.08.04 00:00 | close | 36 | 1.00 | 1.8879 | 0.0000 | 0.0000 | 6633.82 | 66997.54 |
| 75 | 2007.02.15 00:00 | buy | 38 | 1.00 | 1.9631 | 0.0000 | 0.0000 | ||
| 76 | 2007.02.16 00:00 | close | 38 | 1.00 | 1.9509 | 0.0000 | 0.0000 | -1220.41 | 65777.13 |