gistfile1.txt

Test Z9 

Simulated account   AssetsZ9 (NFA)
Bar period          24 hours (avg 2091 min)
Test period         2012-01-02..2017-09-26 (1442 bars)
Lookback period     252 bars (52 weeks)
Montecarlo cycles   200
Simulation mode     Realistic (slippage 5.0 sec)

Gross win/loss      10889$ / -9431$ (+98953p)
Average profit      254$/year, 21$/month, 0.97837822b/day
Max drawdown        -8829$ 605.4% (MAE -11805$ 809.5%)
Total down time     41% (TAE 89%)
Max down time       38 weeks from Jan 2012
Max open margin     8073$
Max open risk       129$
Trade volume        127354$ (22214$/year)
Transaction costs   -985$ spr, 13$ slp, 0 rol, -197$ com
Capital required    14460$

Number of trades    150 (27/year, 1/week, 1/day)
Percent winning     80.0%
Max win/loss        1222$ / -2414$
Avg trade profit    9.72$ 659.7p (+6157.3p / -21330.6p)
Avg trade slippage  0.08549835b 5.8p (+16.6p / -37.5p)
Avg trade bars      126 (+69 / -45)
Max trade bars      404 (83 weeks)
Time in market      1312%
Max open trades     13
Max loss streak     6 (uncorrelated 3)

Annual return       2%
Profit factor       1.15 (PRR 0.89)
Sharpe ratio        0.07
Kelly criterion     0.30
R2 coefficient      0.000
Ulcer index         91.7%

Confidence level     AR   DDMax  Capital

 10%                  3%   316$  8302$
 20%                  3%   316$  8302$
 30%                  3%   316$  8302$
 40%                  3%   316$  8302$
 50%                  3%   372$  8342$
 60%                  3%   567$  8483$
 70%                  3%   727$  8599$
 80%                  2%  6276$  12613$
 90%                  2%  6523$  12792$
 95%                  2%  6723$  12936$
100%                  1%  12650$  17224$

Portfolio analysis  OptF  ProF  Win/Loss  Wgt%

CSJ avg             .999  ++++    2/0      0.2  
HYG avg             .999  132.53    1/1    2.3  
ITB avg             .000  0.02    1/6    -562.5  
SMH avg             .999  4.97   23/3    123.9  
SPY avg             .999  5.76    4/3     15.7  
TLT avg             .999  1.67   11/5     19.0  
XBI avg             .999  68.91   35/3   253.2  
XLI avg             .999  432.64   21/3   98.4  
XLV avg             .999  33.13   22/6   149.8  

CSJ:L               .999  ++++    2/0      0.2  
HYG:L               .999  132.53    1/1    2.3  
ITB:L               .000  0.02    1/6    -562.5  
SMH:L               .999  4.97   23/3    123.9  
SPY:L               .999  5.76    4/3     15.7  
TLT:L               .999  1.67   11/5     19.0  
XBI:L               .999  68.91   35/3   253.2  
XLI:L               .999  432.64   21/3   98.4  
XLV:L               .999  33.13   22/6   149.8