Strategy Tester: 35 день

Удалённая мною информация, на мой взгляд, несёт

комерческую тайну

The information removed by me, in my opinion, contains

a trade secret

Strategy Tester Report

35 день

Symbol				USDCHF (Swiss Franc vs US Dollar)
Period				30 Minutes (M30) 2002.01.08 20:30 - 2007.04.25 20:30 (2005.01.01 - 2007.03.01)
Model				Open prices only (fastest method to analyze the bar just completed)
Parameters				Slippage=7; MinLot=0.1; LotRaven=1000; PeriodStocha=199; ZamedlenieStocha=17; UrovenVerx=84; UrovenNiz=24; TakeProfit=88; LotSdelki=0.3; StopLoss=60; Otstup=76; ZakritieMA=true; PeriodMA=171; PostoiannoeIzmenenieLota=true; Chast=0.1; StopMAStDev12=true; PeriodStDev1=163; PeriodStDev2=219; FiltrOsChayka=true; PeriodOsChayka=43; ZamedlenieOsChayka=5; FiltrMomUsrednenniy=true; PeriodMoma=211; ZamedlenieMoma=57; FiltrMomUsrednenniy2=true; UrovenMomUsrednenniy2=1.1; PeriodMoma2=1; ZamedlenieMoma2=3;

Bars in test	65933		Ticks modelled		131766		Modelling quality		n/a

Initial deposit	3000.00
Total net profit	26437.18		Gross profit		50827.07		Gross loss		-24389.89
Profit factor	2.08		Expected payoff		181.08
Absolute drawdown	0.00		Maximal drawdown		3404.50 (12.86%)		Relative drawdown		24.46% (2499.94)

Total trades	146		Short positions (won %)		88 (44.32%)		Long positions (won %)		58 (58.62%)
			Profit trades (% of total)		73 (50.00%)		Loss trades (% of total)		73 (50.00%)
Largest			profit trade		2551.42		loss trade		-1656.03
Average			profit trade		696.26		loss trade		-334.11
Maximum			consecutive wins (profit in money)		6 (1265.89)		consecutive losses (loss in money)		7 (-1841.34)
Maximal			consecutive profit (count of wins)		5950.28 (4)		consecutive loss (count of losses)		-3404.50 (3)
Average			consecutive wins		2		consecutive losses		2

Символ				USDCHF (Swiss Franc vs US Dollar)
Период				30 Минут (M30) 2002.01.08 20:30 - 2007.03.29 13:30 (2005.01.01 - 2007.03.01)
Модель				По ценам открытия (быстрый метод на сформировавшихся барах)
Параметры				Slippage=7; MinLot=0.1; LotRaven=1000; PeriodStocha=199; ZamedlenieStocha=17; UrovenVerx=84; UrovenNiz=24; TakeProfit=88; LotSdelki=0.3; StopLoss=60; Otstup=76; ZakritieMA=true; PeriodMA=171; PostoiannoeIzmenenieLota=true; Chast=0.1; StopMAStDev12=true; PeriodStDev1=163; PeriodStDev2=219; FiltrOsChayka=true; PeriodOsChayka=43; ZamedlenieOsChayka=5; FiltrMomUsrednenniy=true; PeriodMoma=211; ZamedlenieMoma=57; FiltrMomUsrednenniy2=true; UrovenMomUsrednenniy2=1.1; PeriodMoma2=1; ZamedlenieMoma2=3;

Баров в истории		65000		Смоделировано тиков		129900		Качество моделирования		n/a

Начальный депозит		3000.00
Чистая прибыль		26437.18		Общая прибыль		50827.07		Общий убыток		-24389.89
Прибыльность		2.08		Матожидание выигрыша		181.08
Абсолютная просадка		0.00		Максимальная просадка		3404.50 (12.86%)		Относительная просадка		24.46% (2499.94)

Всего сделок		146		Короткие позиции (% выигравших)		88 (44.32%)		Длинные позиции (% выигравших)		58 (58.62%)
				Прибыльные сделки (% от всех)		73 (50.00%)		Убыточные сделки (% от всех)		73 (50.00%)
Самая большая				прибыльная сделка		2551.42		убыточная сделка		-1656.03
Средняя				прибыльная сделка		696.26		убыточная сделка		-334.11
Максимальное количество				непрерывных выигрышей (прибыль)		6 (1265.89)		непрерывных проигрышей (убыток)		7 (-1841.34)
Максимальная				непрерывная прибыль (число выигрышей)		5950.28 (4)		непрерывный убыток (число проигрышей)		-3404.50 (3)
Средний				непрерывный выигрыш		2		непрерывный проигрыш		2

Graph

#	Time	Type	Order	Lots	Price	S / L	T / P	Profit	Balance
1	2005.01.13 15:30	buy	1	0.30
2	2005.01.14 05:00	t/p	1	0.30				214.34	3214.34
3		sell	2	0.30
4		close	2	0.30				-57.82	3156.52
5		sell	3	0.30
6		t/p	3	0.30				212.31	3368.83
7		sell	4	0.30
8		t/p	4	0.30				212.80	3581.63
9		buy	5	0.40
10		t/p	5	0.40				283.53	3865.16
11		sell	6	0.40
12		t/p	6	0.40				269.71	4134.87
13		buy	7	0.40
14		close	7	0.40				0.00	4134.87
15		buy	8	0.40
16		t/p	8	0.40				287.54	4422.41
17		sell	9	0.40
18		s/l	9	0.40				-254.27	4168.14
19		buy	10	0.40
20		t/p	10	0.40				289.38	4457.51
21		sell	11	0.40
22		t/p	11	0.40				291.79	4749.30
23		sell	12	0.50
24		t/p	12	0.50				348.41	5097.72
25		buy	13	0.50
26		s/l	13	0.50				-183.25	4914.47
27		sell	14	0.50
28		t/p	14	0.50				336.58	5251.06
29		buy	15	0.50
30		s/l	15	0.50				-270.20	4980.86
31		buy	16	0.50
32		t/p	16	0.50				354.95	5335.81
33		sell	17	0.50
34		close	17	0.50				-20.22	5315.59
35		sell	18	0.50
36		s/l	18	0.50				-201.26	5114.33
37		sell	19	0.50
38		s/l	19	0.50				-174.05	4940.29
39		sell	20	0.50
40		t/p	20	0.50				349.74	5290.03
41		sell	21	0.50
42		t/p	21	0.50				343.31	5633.34
43		sell	22	0.60
44		t/p	22	0.60				402.04	6035.38
45		sell	23	0.60
46		modify	23	0.60
47		close	23	0.60				237.84	6273.23
48		buy	24	0.60
49		t/p	24	0.60				405.12	6678.35
50		sell	25	0.70
51		close	25	0.70				-410.70	6267.65
52		sell	26	0.60
53		t/p	26	0.60				382.91	6650.56
54		sell	27	0.70
55		t/p	27	0.70				459.14	7109.70
56		sell	28	0.70
57		close	28	0.70				-300.08	6809.62
58		sell	29	0.70
59		close	29	0.70				-142.94	6666.68
60		sell	30	0.70
61		t/p	30	0.70				456.48	7123.16
62		buy	31	0.70
63		t/p	31	0.70				460.54	7583.70
64		sell	32	0.80
65		close	32	0.80				-191.43	7392.27
66		sell	33	0.70
67		t/p	33	0.70				451.23	7843.51
68		sell	34	0.80
69		t/p	34	0.80				504.68	8348.19
70		buy	35	0.80
71		close	35	0.80				-367.77	7980.42
72		buy	36	0.80
73		modify	36	0.80
74		close	36	0.80				-25.26	7955.16
75		sell	37	0.80
76		close	37	0.80				-57.19	7897.97
77		sell	38	0.80
78		modify	38	0.80
79		t/p	38	0.80				1032.74	8930.71
80		buy	39	0.90
81		t/p	39	0.90				597.13	9527.84
82		sell	40	1.00
83		close	40	1.00				9.02	9536.86
84		buy	41	1.00
85		t/p	41	1.00				684.98	10221.84
86		sell	42	1.00
87		s/l	42	1.00				-465.94	9755.90
88		sell	43	1.00
89		s/l	43	1.00				-660.37	9095.53
90		sell	44	0.90
91		s/l	44	0.90				-383.76	8711.77
92		sell	45	0.90
93		close	45	0.90				-63.40	8648.37
94		sell	46	0.90
95		s/l	46	0.90				-482.87	8165.50
96		sell	47	0.80
97		close	47	0.80				-443.60	7721.90
98		sell	48	0.80
99		t/p	48	0.80				499.40	8221.30
100		sell	49	0.80
101		close	49	0.80				-110.49	8110.81
102		sell	50	0.80
103		close	50	0.80				-171.85	7938.96
104		sell	51	0.80
105		close	51	0.80				-104.49	7834.47
106		sell	52	0.80
107		t/p	52	0.80				504.76	8339.23
108		sell	53	0.80
109		modify	53	0.80
110		close	53	0.80				-24.88	8314.35
111		sell	54	0.80
112		t/p	54	0.80				519.15	8833.50
113		buy	55	0.90
114		t/p	55	0.90				582.99	9416.49
115		sell	56	0.90
116		s/l	56	0.90				-439.90	8976.59
117		sell	57	0.90
118		t/p	57	0.90				568.45	9545.04
119		buy	58	1.00
120		close	58	1.00				-338.82	9206.22
121		buy	59	0.90
122		s/l	59	0.90				-479.83	8726.39
123		buy	60	0.90
124		t/p	60	0.90				588.04	9314.43
125		sell	61	0.90
126		close	61	0.90				-223.13	9091.30
127		sell	62	0.90
128		t/p	62	0.90				591.32	9682.62
129		sell	63	1.00
130		close	63	1.00				-151.52	9531.10
131		buy	64	1.00
132		modify	64	1.00
133		close	64	1.00				-68.24	9462.86
134		buy	65	0.90
135		modify	65	0.90
136		close	65	0.90				-27.35	9435.51
137		sell	66	0.90
138		t/p	66	0.90				576.00	10011.51
139		buy	67	1.00
140		s/l	67	1.00				-429.68	9581.83
141		buy	68	1.00
142		close	68	1.00				-424.15	9157.68
143		buy	69	0.90
144		modify	69	0.90
145		close	69	0.90				-27.89	9129.79
146		sell	70	0.90
147		close	70	0.90				-320.88	8808.91
148		sell	71	0.90
149		close	71	0.90				-272.84	8536.07
150		sell	72	0.90
151		s/l	72	0.90				-340.89	8195.18
152		sell	73	0.80
153		modify	73	0.80
154		close	73	0.80				-25.02	8170.16
155		sell	74	0.80
156		t/p	74	0.80				526.15	8696.31
157		buy	75	0.90
158		s/l	75	0.90				-327.59	8368.73
159		buy	76	0.80
160		t/p	76	0.80				527.75	8896.48
161		sell	77	0.90
162		s/l	77	0.90				-252.00	8644.48
163		buy	78	0.90
164		t/p	78	0.90				595.49	9239.97
165		sell	79	0.90
166		t/p	79	0.90				592.33	9832.30
167		sell	80	1.00
168		s/l	80	1.00				-402.31	9429.99
169		sell	81	0.90
170		s/l	81	0.90				-475.69	8954.30
171		sell	82	0.90
172		s/l	82	0.90				-314.70	8639.60
173		sell	83	0.90
174		s/l	83	0.90				-205.63	8433.97
175		buy	84	0.80
176		close	84	0.80				-43.13	8390.85
177		buy	85	0.80
178		t/p	85	0.80				512.18	8903.03
179		sell	86	0.90
180		close	86	0.90				-197.56	8705.47
181		sell	87	0.90
182		t/p	87	0.90				577.19	9282.66
183		buy	88	0.90
184		t/p	88	0.90				580.42	9863.08
185		sell	89	1.00
186		close	89	1.00				-89.00	9774.08
187		sell	90	1.00
188		modify	90	1.00
189		close	90	1.00				-184.32	9589.76
190		sell	91	1.00
191		t/p	91	1.00				631.95	10221.72
192		buy	92	1.00
193		t/p	92	1.00				642.76	10864.47
194		sell	93	1.10
195		t/p	93	1.10				670.43	11534.90
196		buy	94	1.20
197		close	94	1.20				18.90	11553.80
198		buy	95	1.20
199		s/l	95	1.20				-616.73	10937.08
200		buy	96	1.10
201		modify	96	1.10
202		close	96	1.10				698.24	11635.32
203		buy	97	1.20
204		t/p	97	1.20				832.40	12467.72
205		sell	98	1.20
206		s/l	98	1.20				-538.21	11929.50
207		buy	99	1.20
208		close	99	1.20				171.30	12100.81
209		sell	100	1.20
210		t/p	100	1.20				820.98	12921.78
211		buy	101	1.30
212		t/p	101	1.30				901.75	13823.54
213		buy	102	1.40
214		close	102	1.40				-557.77	13265.77
215		buy	103	1.30
216		modify	103	1.30
217		t/p	103	1.30				897.13	14162.90
218		sell	104	1.40
219		close	104	1.40				-181.46	13981.44
220		sell	105	1.40
221		s/l	105	1.40				-475.12	13506.32
222		buy	106	1.40
223		s/l	106	1.40				-455.35	13050.97
224		buy	107	1.30
225		s/l	107	1.30				-667.88	12383.09
226		buy	108	1.20
227		t/p	108	1.20				820.30	13203.39
228		sell	109	1.30
229		t/p	109	1.30				846.52	14049.91
230		buy	110	1.40
231		modify	110	1.40
232		close	110	1.40				555.21	14605.13
233		buy	111	1.50
234		modify	111	1.50
235		close	111	1.50				389.96	14995.09
236		buy	112	1.50
237		modify	112	1.50
238		close	112	1.50				-48.73	14946.36
239		sell	113	1.50
240		t/p	113	1.50				1015.10	15961.46
241		buy	114	1.60
242		t/p	114	1.60				1089.49	17050.95
243		sell	115	1.70
244		close	115	1.70				-179.21	16871.74
245		sell	116	1.70
246		s/l	116	1.70				-881.18	15990.56
247		sell	117	1.60
248		t/p	117	1.60				1043.22	17033.77
249		buy	118	1.70
250		t/p	118	1.70				1151.30	18185.07
251		sell	119	1.80
252		t/p	119	1.80				1204.35	19389.42
253		buy	120	1.90
254		modify	120	1.90
255		t/p	120	1.90				2551.42	21940.84
256		sell	121	2.20
257		close	121	2.20				-120.82	21820.02
258		sell	122	2.20
259		close	122	2.20				-293.40	21526.62
260		sell	123	2.20
261		t/p	123	2.20				1446.12	22972.74
262		buy	124	2.30
263		s/l	124	2.30				-1050.95	21921.79
264		sell	125	2.20
265		close	125	2.20				-245.54	21676.25
266		sell	126	2.20
267		t/p	126	2.20				1483.98	23160.23
268		buy	127	2.30
269		t/p	127	2.30				1555.01	24715.25
270		sell	128	2.50
271		close	128	2.50				-217.70	24497.54
272		buy	129	2.40
273		modify	129	2.40
274		close	129	2.40				-148.65	24348.90
275		buy	130	2.40
276		modify	130	2.40
277		close	130	2.40				59.53	24408.43
278		buy	131	2.40
279		modify	131	2.40
280		close	131	2.40				-1221.58	23186.85
281		buy	132	2.30
282		modify	132	2.30
283		close	132	2.30				-76.85	23110.00
284		sell	133	2.30
285		t/p	133	2.30				1593.66	24703.66
286		sell	134	2.50
287		s/l	134	2.50				-654.13	24049.53
288		sell	135	2.40
289		t/p	135	2.40				1612.28	25661.81
290		buy	136	2.60
291		close	136	2.60				803.84	26465.65
292		sell	137	2.60
293		s/l	137	2.60				-1056.22	25409.43
294		sell	138	2.50
295		s/l	138	2.50				-1656.03	23753.40
296		sell	139	2.40
297		close	139	2.40				-692.25	23061.15
298		buy	140	2.30
299		modify	140	2.30
300		close	140	2.30				1808.04	24869.19
301		sell	141	2.50
302		t/p	141	2.50				1670.28	26539.47
303		buy	142	2.70
304		close	142	2.70				-543.65	25995.82
305		buy	143	2.60
306		modify	143	2.60
307		close	143	2.60				-83.47	25912.35
308		buy	144	2.60
309		t/p	144	2.60				1747.20	27659.55
310		sell	145	2.80
311		t/p	145	2.80				1874.51	29534.06
312		sell	146	3.00
313	2007.02.22 19:30	modify	146	3.00
314	2007.02.22 19:30	close	146	3.00				-96.88	29437.18