Strategy Tester Report
R2
| Symbol | EURJPY (Euro vs Japanese Yen) | ||||
| Period | Daily (D1) 1999.10.12 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 | 31097 | Modelling quality | 28.00% |
| Initial deposit | 10000.00 | ||||
| Total net profit | -1231.31 | Gross profit | 13840.76 | Gross loss | -15072.07 |
| Profit factor | 0.92 | Expected payoff | -43.98 | ||
| Absolute drawdown | 7300.87 | Maximal drawdown | 12036.10 (81.68%) | Relative drawdown | 81.68% (12036.10) |
| Total trades | 28 | Short positions (won %) | 21 (23.81%) | Long positions (won %) | 7 (42.86%) |
| Profit trades (% of total) | 8 (28.57%) | Loss trades (% of total) | 20 (71.43%) | ||
| Largest | profit trade | 4735.22 | loss trade | -1368.35 | |
| Average | profit trade | 1730.10 | loss trade | -753.60 | |
| Maximum | consecutive wins (profit in money) | 2 (6192.05) | consecutive losses (loss in money) | 11 (-9184.56) | |
| Maximal | consecutive profit (count of wins) | 6192.05 (2) | consecutive loss (count of losses) | -9184.56 (11) | |
| Average | consecutive wins | 2 | consecutive losses | 4 | |
| # | Time | Type | Order | Lots | Price | S / L | T / P | Profit | Balance |
| 1 | 2001.02.19 00:00 | buy | 1 | 1.00 | 105.89 | 0.00 | 0.00 | ||
| 2 | 2001.03.08 00:00 | close | 1 | 1.00 | 111.29 | 0.00 | 0.00 | 4735.22 | 14735.22 |
| 3 | 2001.04.23 00:00 | buy | 2 | 1.00 | 109.93 | 0.00 | 0.00 | ||
| 4 | 2001.04.24 00:00 | close | 2 | 1.00 | 108.74 | 0.00 | 0.00 | -990.34 | 13744.88 |
| 5 | 2001.05.10 00:00 | buy | 3 | 1.00 | 108.41 | 0.00 | 0.00 | ||
| 6 | 2001.05.11 00:00 | buy | 4 | 1.00 | 108.00 | 0.00 | 0.00 | ||
| 7 | 2001.05.14 00:00 | close | 3 | 1.00 | 107.26 | 0.00 | 0.00 | -946.45 | 12798.43 |
| 8 | 2001.05.15 00:00 | buy | 5 | 1.00 | 107.79 | 0.00 | 0.00 | ||
| 9 | 2001.05.22 00:00 | close | 4 | 1.00 | 107.46 | 0.00 | 0.00 | -361.80 | 12436.63 |
| 10 | 2001.05.23 00:00 | close | 5 | 1.00 | 106.21 | 0.00 | 0.00 | -1246.52 | 11190.11 |
| 11 | 2001.07.24 00:00 | sell | 6 | 1.00 | 108.06 | 0.00 | 0.00 | ||
| 12 | 2001.07.25 00:00 | sell | 7 | 1.00 | 108.39 | 0.00 | 0.00 | ||
| 13 | 2001.07.26 00:00 | close | 6 | 1.00 | 108.81 | 0.00 | 0.00 | -680.26 | 10509.85 |
| 14 | 2001.07.27 00:00 | sell | 8 | 1.00 | 108.57 | 0.00 | 0.00 | ||
| 15 | 2001.07.30 00:00 | sell | 9 | 1.00 | 107.94 | 0.00 | 0.00 | ||
| 16 | 2001.07.31 00:00 | close | 7 | 1.00 | 109.38 | 0.00 | 0.00 | -906.91 | 9602.93 |
| 17 | 2001.07.31 00:00 | close | 9 | 1.00 | 109.38 | 0.00 | 0.00 | -1222.84 | 8380.09 |
| 18 | 2001.08.01 00:00 | close | 8 | 1.00 | 109.55 | 0.00 | 0.00 | -861.13 | 7518.96 |
| 19 | 2001.08.03 00:00 | sell | 10 | 1.00 | 109.26 | 0.00 | 0.00 | ||
| 20 | 2001.08.06 00:00 | sell | 11 | 1.00 | 109.24 | 0.00 | 0.00 | ||
| 21 | 2001.08.14 00:00 | close | 10 | 1.00 | 109.95 | 0.00 | 0.00 | -692.14 | 6826.83 |
| 22 | 2001.08.15 00:00 | close | 11 | 1.00 | 109.98 | 0.00 | 0.00 | -734.16 | 6092.67 |
| 23 | 2002.10.11 00:00 | sell | 12 | 1.00 | 121.94 | 0.00 | 0.00 | ||
| 24 | 2002.10.14 00:00 | close | 12 | 1.00 | 122.57 | 0.00 | 0.00 | -542.00 | 5550.66 |
| 25 | 2002.10.16 00:00 | sell | 13 | 1.00 | 122.43 | 0.00 | 0.00 | ||
| 26 | 2002.11.05 00:00 | close | 13 | 1.00 | 122.00 | 0.00 | 0.00 | 112.20 | 5662.86 |
| 27 | 2003.03.21 00:00 | buy | 14 | 1.00 | 127.69 | 0.00 | 0.00 | ||
| 28 | 2003.04.18 00:00 | close | 14 | 1.00 | 130.18 | 0.00 | 0.00 | 2380.66 | 8043.52 |
| 29 | 2003.12.16 00:00 | sell | 15 | 1.00 | 132.55 | 0.00 | 0.00 | ||
| 30 | 2003.12.17 00:00 | sell | 16 | 1.00 | 132.65 | 0.00 | 0.00 | ||
| 31 | 2003.12.18 00:00 | close | 15 | 1.00 | 133.23 | 0.00 | 0.00 | -621.43 | 7422.09 |
| 32 | 2003.12.19 00:00 | close | 16 | 1.00 | 133.68 | 0.00 | 0.00 | -915.61 | 6506.48 |
| 33 | 2003.12.22 00:00 | sell | 17 | 1.00 | 133.44 | 0.00 | 0.00 | ||
| 34 | 2003.12.23 00:00 | sell | 18 | 1.00 | 133.43 | 0.00 | 0.00 | ||
| 35 | 2004.01.01 00:00 | close | 17 | 1.00 | 134.87 | 0.00 | 0.00 | -1351.53 | 5154.96 |
| 36 | 2004.01.02 00:00 | close | 18 | 1.00 | 134.88 | 0.00 | 0.00 | -1368.35 | 3786.61 |
| 37 | 2004.01.05 00:00 | sell | 19 | 1.00 | 134.93 | 0.00 | 0.00 | ||
| 38 | 2004.01.06 00:00 | sell | 20 | 1.00 | 134.76 | 0.00 | 0.00 | ||
| 39 | 2004.01.07 00:00 | close | 19 | 1.00 | 135.20 | 0.00 | 0.00 | -251.86 | 3534.75 |
| 40 | 2004.01.09 00:00 | close | 20 | 1.00 | 135.68 | 0.00 | 0.00 | -835.62 | 2699.13 |
| 41 | 2004.11.25 00:00 | buy | 21 | 1.00 | 135.68 | 0.00 | 0.00 | ||
| 42 | 2004.12.08 00:00 | close | 21 | 1.00 | 138.11 | 0.00 | 0.00 | 2155.97 | 4855.09 |
| 43 | 2004.12.31 00:00 | sell | 22 | 1.00 | 140.54 | 0.00 | 0.00 | ||
| 44 | 2005.01.12 00:00 | close | 22 | 1.00 | 135.59 | 0.00 | 0.00 | 4036.09 | 8891.18 |
| 45 | 2005.03.10 00:00 | sell | 23 | 1.00 | 139.23 | 0.00 | 0.00 | ||
| 46 | 2005.03.11 00:00 | sell | 24 | 1.00 | 139.68 | 0.00 | 0.00 | ||
| 47 | 2005.03.14 00:00 | sell | 25 | 1.00 | 139.88 | 0.00 | 0.00 | ||
| 48 | 2005.03.15 00:00 | sell | 26 | 1.00 | 140.17 | 0.00 | 0.00 | ||
| 49 | 2005.04.05 00:00 | close | 23 | 1.00 | 139.24 | 0.00 | 0.00 | -307.50 | 8583.68 |
| 50 | 2005.04.05 00:00 | close | 25 | 1.00 | 139.24 | 0.00 | 0.00 | 263.78 | 8847.46 |
| 51 | 2005.04.06 00:00 | close | 24 | 1.00 | 139.17 | 0.00 | 0.00 | 129.59 | 8977.05 |
| 52 | 2005.04.07 00:00 | close | 26 | 1.00 | 139.91 | 0.00 | 0.00 | -93.01 | 8884.04 |
| 53 | 2006.04.21 00:00 | sell | 27 | 1.00 | 144.51 | 0.00 | 0.00 | ||
| 54 | 2006.05.05 00:00 | close | 27 | 1.00 | 144.27 | 0.00 | 0.00 | 27.26 | 8911.30 |
| 55 | 2006.06.29 00:00 | sell | 28 | 1.00 | 146.12 | 0.00 | 0.00 | ||
| 56 | 2006.07.03 00:00 | close | 28 | 1.00 | 146.26 | 0.00 | 0.00 | -142.60 | 8768.69 |