TRADING STRATEGY

Adaptive_EU5.cht
Adaptive JMA HP
2009.04.18 11:35:17 PM


OPTIMIZATION

Full Optimization


LONG ENTRY

Generate a buy long  market order if all of the following are true
+ A<B(Lag(Z Adaptive JMA(Series,Hodrick-Prescott Window(Input Series,Period,Smoothing,Detrend flag),LowLimit,HighLimit,NormalizationBars,Phase),Periods Back),Z Adaptive JMA(Series,Hodrick-Prescott Window(Input Series,Period,Smoothing,Detrend flag),LowLimit,HighLimit,NormalizationBars,Phase))


SHORT ENTRY

Generate a sell short   market order if all of the following are true
+ A>B(Lag(Z Adaptive JMA(Series,Hodrick-Prescott Window(Input Series,Period,Smoothing,Detrend flag),LowLimit,HighLimit,NormalizationBars,Phase),Periods Back),Z Adaptive JMA(Series,Hodrick-Prescott Window(Input Series,Period,Smoothing,Detrend flag),LowLimit,HighLimit,NormalizationBars,Phase))


TRADING STRATEGY PARAMETERS

Trading Rule Optimization
        Full Optimization - Finds the best rules and the best parameters for each rule.

Size of trades used to evaluate trading strategy
        Buy a fixed number of units (1 unit)

Other Trading Parameters
        (none)

Optimization of trading strategy
        Optimize across 2 weeks of data prior to paper trading

Optimal Evaluation of trading strategy
        Evaluate optimization across paper trading

Trading of trading strategy
        Begin 1 day before last date on chart
        End at last chart date

Entry Commission(s)
        (none)

Exit Commission(s)
        (none)

Other costs
        (none)

Objective used during optmization
        Maximize Return on Account

Optimization parameters
        Shortest average trade span = 6 bars


TRADING STRATEGY RESULTS SUMMARY

Name	Symbol	Data Set	1yr Ret on Account	Ret on Trades	1yr Ret on Trades	Ret on Account	Net Profit	Gross Profit	Gross Loss	Ratio Gross Profit/Loss	%Profitable Trades	#Trades	#Winning Trades	#Losing Trades	Largest Win	Largest Loss	Avg Trade Profit	Avg Win	Avg Loss	Ratio Avg Win/Avg Loss	Max Consecutive Winners	Max Consecutive Losers	Avg Trade Span	Avg Winning Trade Span	Avg Losing Trade Span	Longest Trade Span	Longest Winning Trade Span	Longest Losing Trade Span	Largest Units Traded	Largest Winning Units Traded	Largest Losing Units Traded	Avg Units Traded	Avg Units Traded	Avg Losing Units Traded	Commissions Paid	Max Drawdown	Max Open Trade Drawdown	Required Account Size	Start Date	End Date	Start Price	End Price	Price Change	% Price Change	% Annual Price Change
EURUSD	EURUSD	Optimization	262.2%	6.1%	261.4%	6.2%	$ 0.08132	$ 0.19005	$ 0.10873	1.75	42.9%	340	146	189	$ 0.011	$ 0.00225	$ 0.00	$ 0.00	$ 0.00	2.26	7	8	7 bars	9 bars	4 bars	4 bars	28 bars	15 bars	1	1	1	1	1	1	$ 0.00	$ 0.00901	$ 0.00256	$ 1.31922	2009.04.08 9:05:00 AM	2009.04.16 11:00:00 PM	1.31695	1.31842	0.00147	0.1%	4.7%
EURUSD	EURUSD	Trading	-177.2%	-0.5%	-179.5%	-0.5%	$ -0.00638	$ 0.02227	$ 0.02865	0.78	37.7%	77	29	47	$ 0.00356	$ 0.00223	$ 0.00	$ 0.00	$ 0.00	1.26	4	7	5 bars	7 bars	3 bars	3 bars	20 bars	11 bars	1	1	1	1	1	1	$ 0.00	$ 0.0124	$ 0.00277	$ 1.31861	2009.04.16 11:05:00 PM	2009.04.17 11:00:00 PM	1.31866	1.30419	-0.01447	-1.1%	-401.9%