Strategy Tester Report
R2
| Symbol | USDJPY (US Dollar vs Japanese Yen) | ||||
| Period | Daily (D1) 1999.10.21 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 | 30990 | Modelling quality | 28.00% |
| Initial deposit | 10000.00 | ||||
| Total net profit | 7715.39 | Gross profit | 20208.53 | Gross loss | -12493.14 |
| Profit factor | 1.62 | Expected payoff | 275.55 | ||
| Absolute drawdown | 2903.75 | Maximal drawdown | 5241.05 (32.12%) | Relative drawdown | 32.12% (5241.05) |
| Total trades | 28 | Short positions (won %) | 10 (50.00%) | Long positions (won %) | 18 (38.89%) |
| Profit trades (% of total) | 12 (42.86%) | Loss trades (% of total) | 16 (57.14%) | ||
| Largest | profit trade | 3645.43 | loss trade | -1773.40 | |
| Average | profit trade | 1684.04 | loss trade | -780.82 | |
| Maximum | consecutive wins (profit in money) | 5 (7767.38) | consecutive losses (loss in money) | 5 (-5241.05) | |
| Maximal | consecutive profit (count of wins) | 7767.38 (5) | consecutive loss (count of losses) | -5241.05 (5) | |
| Average | consecutive wins | 2 | consecutive losses | 3 | |
| # | Time | Type | Order | Lots | Price | S / L | T / P | Profit | Balance |
| 1 | 2000.02.07 00:00 | sell | 1 | 1.00 | 107.19 | 0.00 | 0.00 | ||
| 2 | 2000.02.08 00:00 | close | 1 | 1.00 | 108.69 | 0.00 | 0.00 | -1380.21 | 8619.79 |
| 3 | 2000.04.05 00:00 | buy | 2 | 1.00 | 105.26 | 0.00 | 0.00 | ||
| 4 | 2000.04.06 00:00 | buy | 3 | 1.00 | 104.91 | 0.00 | 0.00 | ||
| 5 | 2000.04.07 00:00 | buy | 4 | 1.00 | 104.76 | 0.00 | 0.00 | ||
| 6 | 2000.04.10 00:00 | buy | 5 | 1.00 | 105.40 | 0.00 | 0.00 | ||
| 7 | 2000.04.17 00:00 | close | 2 | 1.00 | 104.70 | 0.00 | 0.00 | -533.33 | 8086.46 |
| 8 | 2000.04.17 00:00 | close | 4 | 1.00 | 104.70 | 0.00 | 0.00 | -56.29 | 8030.17 |
| 9 | 2000.04.18 00:00 | close | 3 | 1.00 | 104.67 | 0.00 | 0.00 | -228.02 | 7802.15 |
| 10 | 2000.04.19 00:00 | close | 5 | 1.00 | 104.66 | 0.00 | 0.00 | -705.90 | 7096.25 |
| 11 | 2000.06.27 00:00 | buy | 6 | 1.00 | 105.80 | 0.00 | 0.00 | ||
| 12 | 2000.07.12 00:00 | close | 6 | 1.00 | 107.09 | 0.00 | 0.00 | 1206.50 | 8302.75 |
| 13 | 2000.08.01 00:00 | sell | 7 | 1.00 | 109.30 | 0.00 | 0.00 | ||
| 14 | 2000.08.30 00:00 | close | 7 | 1.00 | 106.08 | 0.00 | 0.00 | 3031.41 | 11334.15 |
| 15 | 2000.12.22 00:00 | sell | 8 | 1.00 | 112.19 | 0.00 | 0.00 | ||
| 16 | 2000.12.25 00:00 | close | 8 | 1.00 | 112.94 | 0.00 | 0.00 | -664.21 | 10669.94 |
| 17 | 2001.05.09 00:00 | buy | 9 | 1.00 | 121.35 | 0.00 | 0.00 | ||
| 18 | 2001.05.24 00:00 | close | 9 | 1.00 | 120.05 | 0.00 | 0.00 | -1080.72 | 9589.23 |
| 19 | 2001.07.10 00:00 | sell | 10 | 1.00 | 125.35 | 0.00 | 0.00 | ||
| 20 | 2001.07.31 00:00 | close | 10 | 1.00 | 125.17 | 0.00 | 0.00 | 140.88 | 9730.11 |
| 21 | 2001.10.29 00:00 | sell | 11 | 1.00 | 122.69 | 0.00 | 0.00 | ||
| 22 | 2001.11.16 00:00 | close | 11 | 1.00 | 122.43 | 0.00 | 0.00 | 209.59 | 9939.70 |
| 23 | 2002.01.29 00:00 | sell | 12 | 1.00 | 133.53 | 0.00 | 0.00 | ||
| 24 | 2002.02.01 00:00 | close | 12 | 1.00 | 134.77 | 0.00 | 0.00 | -920.79 | 9018.91 |
| 25 | 2002.10.17 00:00 | sell | 13 | 1.00 | 124.57 | 0.00 | 0.00 | ||
| 26 | 2002.10.18 00:00 | close | 13 | 1.00 | 125.16 | 0.00 | 0.00 | -471.54 | 8547.37 |
| 27 | 2002.10.22 00:00 | sell | 14 | 1.00 | 124.91 | 0.00 | 0.00 | ||
| 28 | 2002.10.23 00:00 | sell | 15 | 1.00 | 125.18 | 0.00 | 0.00 | ||
| 29 | 2002.11.05 00:00 | close | 14 | 1.00 | 122.20 | 0.00 | 0.00 | 2215.73 | 10763.10 |
| 30 | 2002.11.06 00:00 | close | 15 | 1.00 | 122.02 | 0.00 | 0.00 | 2587.79 | 13350.90 |
| 31 | 2003.01.21 00:00 | buy | 16 | 1.00 | 118.07 | 0.00 | 0.00 | ||
| 32 | 2003.01.22 00:00 | buy | 17 | 1.00 | 118.20 | 0.00 | 0.00 | ||
| 33 | 2003.02.05 00:00 | close | 16 | 1.00 | 119.65 | 0.00 | 0.00 | 1322.43 | 14673.33 |
| 34 | 2003.02.06 00:00 | close | 17 | 1.00 | 120.09 | 0.00 | 0.00 | 1575.98 | 16249.31 |
| 35 | 2003.10.31 00:00 | buy | 18 | 1.00 | 108.82 | 0.00 | 0.00 | ||
| 36 | 2003.11.11 00:00 | close | 18 | 1.00 | 108.89 | 0.00 | 0.00 | 65.44 | 16314.75 |
| 37 | 2003.12.29 00:00 | buy | 19 | 1.00 | 107.36 | 0.00 | 0.00 | ||
| 38 | 2003.12.30 00:00 | close | 19 | 1.00 | 107.02 | 0.00 | 0.00 | -317.57 | 15997.18 |
| 39 | 2004.01.01 00:00 | buy | 20 | 1.00 | 107.27 | 0.00 | 0.00 | ||
| 40 | 2004.01.05 00:00 | close | 20 | 1.00 | 107.00 | 0.00 | 0.00 | -252.09 | 15745.09 |
| 41 | 2004.06.22 00:00 | buy | 21 | 1.00 | 109.00 | 0.00 | 0.00 | ||
| 42 | 2004.06.23 00:00 | buy | 22 | 1.00 | 109.12 | 0.00 | 0.00 | ||
| 43 | 2004.06.24 00:00 | buy | 23 | 1.00 | 108.54 | 0.00 | 0.00 | ||
| 44 | 2004.06.25 00:00 | close | 21 | 1.00 | 107.10 | 0.00 | 0.00 | -1773.40 | 13971.69 |
| 45 | 2004.06.25 00:00 | close | 23 | 1.00 | 107.10 | 0.00 | 0.00 | -1344.41 | 12627.27 |
| 46 | 2004.06.28 00:00 | close | 22 | 1.00 | 107.45 | 0.00 | 0.00 | -1553.57 | 11073.70 |
| 47 | 2004.06.29 00:00 | buy | 24 | 1.00 | 107.97 | 0.00 | 0.00 | ||
| 48 | 2004.06.30 00:00 | buy | 25 | 1.00 | 108.30 | 0.00 | 0.00 | ||
| 49 | 2004.07.30 00:00 | close | 24 | 1.00 | 112.05 | 0.00 | 0.00 | 3645.43 | 14719.13 |
| 50 | 2004.08.02 00:00 | close | 25 | 1.00 | 111.09 | 0.00 | 0.00 | 2515.68 | 17234.82 |
| 51 | 2005.10.21 00:00 | sell | 26 | 1.00 | 115.31 | 0.00 | 0.00 | ||
| 52 | 2005.10.24 00:00 | close | 26 | 1.00 | 115.93 | 0.00 | 0.00 | -534.95 | 16699.87 |
| 53 | 2006.01.13 00:00 | buy | 27 | 1.00 | 114.63 | 0.00 | 0.00 | ||
| 54 | 2006.01.16 00:00 | close | 27 | 1.00 | 113.86 | 0.00 | 0.00 | -676.14 | 16023.73 |
| 55 | 2006.08.08 00:00 | buy | 28 | 1.00 | 115.25 | 0.00 | 0.00 | ||
| 56 | 2006.08.29 00:00 | close | 28 | 1.00 | 117.23 | 0.00 | 0.00 | 1691.66 | 17715.39 |