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				USDJPY (US Dollar vs Japanise Yen)
Period				30 Minutes (M30) 2002.01.08 06:30 - 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=191; ZamedlenieStocha=48; UrovenVerx=80; UrovenNiz=20; TakeProfit=210; LotSdelki=0.3; StopLoss=60; Otstup=81; ZakritieMA=true; PeriodMA=110; PostoiannoeIzmenenieLota=true; Chast=0.1; StopMAStDev12=true; PeriodStDev1=150; PeriodStDev2=112; FiltrOsChayka=false; PeriodOsChayka=10; ZamedlenieOsChayka=1; FiltrMomUsrednenniy=true; PeriodMoma=112; ZamedlenieMoma=8; FiltrMomUsrednenniy2=true; UrovenMomUsrednenniy2=1.1; PeriodMoma2=55; ZamedlenieMoma2=1;

Bars in test	66034		Ticks modelled		131968		Modelling quality		n/a

Initial deposit	3000.00
Total net profit	20783.41		Gross profit		31867.60		Gross loss		-11084.18
Profit factor	2.88		Expected payoff		158.65
Absolute drawdown	11.05		Maximal drawdown		1760.67 (11.66%)		Relative drawdown		22.67% (1092.36)

Total trades	131		Short positions (won %)		88 (29.55%)		Long positions (won %)		43 (62.79%)
			Profit trades (% of total)		53 (40.46%)		Loss trades (% of total)		78 (59.54%)
Largest			profit trade		4662.52		loss trade		-443.76
Average			profit trade		601.28		loss trade		-142.10
Maximum			consecutive wins (profit in money)		5 (10446.62)		consecutive losses (loss in money)		9 (-1092.36)
Maximal			consecutive profit (count of wins)		10446.62 (5)		consecutive loss (count of losses)		-1253.41 (4)
Average			consecutive wins		2		consecutive losses		3

Символ				USDJPY (US Dollar vs Japanise Yen)
Период				30 Минут (M30) 2002.01.08 06:30 - 2007.03.27 11:30 (2005.01.01 - 2007.03.01)
Модель				По ценам открытия (быстрый метод на сформировавшихся барах)
Параметры				Slippage=7; MinLot=0.1; LotRaven=1000; PeriodStocha=191; ZamedlenieStocha=48; UrovenVerx=80; UrovenNiz=20; TakeProfit=210; LotSdelki=0.3; StopLoss=60; Otstup=81; ZakritieMA=true; PeriodMA=110; PostoiannoeIzmenenieLota=true; Chast=0.1; StopMAStDev12=true; PeriodStDev1=150; PeriodStDev2=112; FiltrOsChayka=false; PeriodOsChayka=10; ZamedlenieOsChayka=1; FiltrMomUsrednenniy=true; PeriodMoma=112; ZamedlenieMoma=8; FiltrMomUsrednenniy2=true; UrovenMomUsrednenniy2=1.1; PeriodMoma2=55; ZamedlenieMoma2=1;

Баров в истории		65001		Смоделировано тиков		129902		Качество моделирования		n/a

Начальный депозит		3000.00
Чистая прибыль		20783.41		Общая прибыль		31867.60		Общий убыток		-11084.18
Прибыльность		2.88		Матожидание выигрыша		158.65
Абсолютная просадка		11.05		Максимальная просадка		1760.67 (11.66%)		Относительная просадка		22.67% (1092.36)

Всего сделок		131		Короткие позиции (% выигравших)		88 (29.55%)		Длинные позиции (% выигравших)		43 (62.79%)
				Прибыльные сделки (% от всех)		53 (40.46%)		Убыточные сделки (% от всех)		78 (59.54%)
Самая большая				прибыльная сделка		4662.52		убыточная сделка		-443.76
Средняя				прибыльная сделка		601.28		убыточная сделка		-142.10
Максимальное количество				непрерывных выигрышей (прибыль)		5 (10446.62)		непрерывных проигрышей (убыток)		9 (-1092.36)
Максимальная				непрерывная прибыль (число выигрышей)		10446.62 (5)		непрерывный убыток (число проигрышей)		-1253.41 (4)
Средний				непрерывный выигрыш		2		непрерывный проигрыш		3

Graph

#	Time	Type	Order	Lots	Price	S / L	T / P	Profit	Balance
1	2005.01.03 18:00	buy	1	0.30
2	2005.01.04 14:30	modify	1	0.30
3		close	1	0.30				266.62	3266.62
4		sell	2	0.30
5		s/l	2	0.30				-257.61	3009.01
6		sell	3	0.30
7		close	3	0.30				-20.06	2988.95
8		sell	4	0.30
9		modify	4	0.30
10		close	4	0.30				490.53	3479.48
11		buy	5	0.30
12		close	5	0.30				55.49	3534.97
13		sell	6	0.40
14		close	6	0.40				-98.37	3436.60
15		sell	7	0.30
16		close	7	0.30				-5.79	3430.81
17		sell	8	0.30
18		s/l	8	0.30				-112.59	3318.22
19		sell	9	0.30
20		close	9	0.30				18.86	3337.08
21		buy	10	0.30
22		close	10	0.30				90.72	3427.80
23		sell	11	0.30
24		modify	11	0.30
25		close	11	0.30				233.92	3661.71
26		sell	12	0.40
27		close	12	0.40				-89.09	3572.62
28		buy	13	0.40
29		modify	13	0.40
30		close	13	0.40				168.07	3740.70
31		sell	14	0.40
32		close	14	0.40				-62.48	3678.22
33		sell	15	0.40
34		s/l	15	0.40				-106.33	3571.89
35		sell	16	0.40
36		close	16	0.40				-26.03	3545.86
37		sell	17	0.40
38		close	17	0.40				63.40	3609.26
39		sell	18	0.40
40		s/l	18	0.40				-158.56	3450.70
41		sell	19	0.30
42		s/l	19	0.30				-74.53	3376.17
43		buy	20	0.30
44		s/l	20	0.30				-113.98	3262.19
45		buy	21	0.30
46		close	21	0.30				93.38	3355.57
47		buy	22	0.30
48		s/l	22	0.30				-94.57	3261.01
49		buy	23	0.30
50		modify	23	0.30
51		close	23	0.30				262.36	3523.36
52		sell	24	0.40
53		s/l	24	0.40				-124.67	3398.69
54		sell	25	0.30
55		s/l	25	0.30				-120.13	3278.56
56		sell	26	0.30
57		close	26	0.30				-28.30	3250.27
58		sell	27	0.30
59		close	27	0.30				-60.88	3189.39
60		buy	28	0.30
61		modify	28	0.30
62		close	28	0.30				556.81	3746.20
63		sell	29	0.40
64		s/l	29	0.40				-84.18	3662.02
65		sell	30	0.40
66		s/l	30	0.40				-85.82	3576.20
67		sell	31	0.40
68		s/l	31	0.40				-97.80	3478.40
69		sell	32	0.30
70		s/l	32	0.30				-72.26	3406.14
71		sell	33	0.30
72		close	33	0.30				103.49	3509.63
73		buy	34	0.40
74		close	34	0.40				89.35	3598.98
75		sell	35	0.40
76		s/l	35	0.40				-87.03	3511.95
77		sell	36	0.40
78		t/p	36	0.40				750.00	4261.95
79		sell	37	0.40
80		s/l	37	0.40				-119.05	4142.90
81		buy	38	0.40
82		close	38	0.40				74.18	4217.07
83		buy	39	0.40
84		modify	39	0.40
85		close	39	0.40				262.65	4479.72
86		sell	40	0.40
87		s/l	40	0.40				-118.88	4360.84
88		sell	41	0.40
89		modify	41	0.40
90		close	41	0.40				408.07	4768.91
91		buy	42	0.50
92		close	42	0.50				50.20	4819.11
93		sell	43	0.50
94		s/l	43	0.50				-165.20	4653.91
95		sell	44	0.50
96		s/l	44	0.50				-231.39	4422.52
97		sell	45	0.40
98		s/l	45	0.40				-96.97	4325.55
99		sell	46	0.40
100		s/l	46	0.40				-116.82	4208.73
101		sell	47	0.40
102		s/l	47	0.40				-87.78	4120.95
103		sell	48	0.40
104		s/l	48	0.40				-105.16	4015.79
105		sell	49	0.40
106		s/l	49	0.40				-83.65	3932.14
107		sell	50	0.40
108		close	50	0.40				-118.93	3813.21
109		sell	51	0.40
110		s/l	51	0.40				-86.47	3726.74
111		sell	52	0.40
112		modify	52	0.40
113		close	52	0.40				153.24	3879.99
114		sell	53	0.40
115		close	53	0.40				6.73	3886.72
116		sell	54	0.40
117		s/l	54	0.40				-149.32	3737.40
118		sell	55	0.40
119		close	55	0.40				27.99	3765.39
120		buy	56	0.40
121		modify	56	0.40
122		close	56	0.40				170.35	3935.74
123		sell	57	0.40
124		close	57	0.40				19.01	3954.75
125		buy	58	0.40
126		modify	58	0.40
127		close	58	0.40				-10.31	3944.44
128		sell	59	0.40
129		close	59	0.40				-51.06	3893.38
130		buy	60	0.40
131		close	60	0.40				-66.50	3826.88
132		buy	61	0.40
133		modify	61	0.40
134		close	61	0.40				-10.46	3816.42
135		buy	62	0.40
136		close	62	0.40				79.34	3895.75
137		sell	63	0.40
138		s/l	63	0.40				-159.44	3736.31
139		buy	64	0.40
140		modify	64	0.40
141		t/p	64	0.40				1016.87	4753.18
142		sell	65	0.50
143		close	65	0.50				38.38	4791.56
144		sell	66	0.50
145		s/l	66	0.50				-147.25	4644.31
146		sell	67	0.50
147		s/l	67	0.50				-124.31	4520.01
148		sell	68	0.50
149		close	68	0.50				-21.14	4498.87
150		sell	69	0.40
151		s/l	69	0.40				-113.19	4385.68
152		sell	70	0.40
153		modify	70	0.40
154		t/p	70	0.40				983.15	5368.83
155		buy	71	0.50
156		close	71	0.50				-42.47	5326.36
157		sell	72	0.50
158		s/l	72	0.50				-110.25	5216.11
159		sell	73	0.50
160		modify	73	0.50
161		close	73	0.50				284.62	5500.72
162		buy	74	0.60
163		modify	74	0.60
164		close	74	0.60				270.49	5771.21
165		sell	75	0.60
166		modify	75	0.60
167		close	75	0.60				331.21	6102.42
168		buy	76	0.60
169		modify	76	0.60
170		close	76	0.60				421.84	6524.25
171		sell	77	0.70
172		modify	77	0.70
173		close	77	0.70				95.27	6619.52
174		sell	78	0.70
175		close	78	0.70				-147.82	6471.70
176		buy	79	0.60
177		s/l	79	0.60				-221.40	6250.30
178		buy	80	0.60
179		close	80	0.60				-182.45	6067.85
180		buy	81	0.60
181		modify	81	0.60
182		close	81	0.60				-264.86	5802.99
183		buy	82	0.60
184		modify	82	0.60
185		close	82	0.60				-5.41	5797.58
186		buy	83	0.60
187		modify	83	0.60
188		close	83	0.60				-16.30	5781.28
189		buy	84	0.60
190		modify	84	0.60
191		close	84	0.60				679.42	6460.70
192		sell	85	0.60
193		close	85	0.60				-269.65	6191.04
194		sell	86	0.60
195		s/l	86	0.60				-311.53	5879.51
196		sell	87	0.60
197		s/l	87	0.60				-220.25	5659.26
198		buy	88	0.60
199		modify	88	0.60
200		close	88	0.60				927.53	6586.79
201		sell	89	0.70
202		s/l	89	0.70				-278.17	6308.62
203		sell	90	0.60
204		close	90	0.60				-93.20	6215.41
205		sell	91	0.60
206		close	91	0.60				266.18	6481.59
207		sell	92	0.60
208		close	92	0.60				-25.79	6455.80
209		buy	93	0.60
210		close	93	0.60				-95.87	6359.93
211		buy	94	0.60
212		modify	94	0.60
213		close	94	0.60				-15.68	6344.25
214		sell	95	0.60
215		modify	95	0.60
216		close	95	0.60				451.98	6796.23
217		buy	96	0.70
218		modify	96	0.70
219		t/p	96	0.70				1882.20	8678.43
220		sell	97	0.90
221		modify	97	0.90
222		close	97	0.90				162.29	8840.72
223		buy	98	0.90
224		close	98	0.90				177.69	9018.41
225		sell	99	0.90
226		close	99	0.90				199.04	9217.45
227		sell	100	0.90
228		s/l	100	0.90				-331.30	8886.15
229		sell	101	0.90
230		close	101	0.90				-46.03	8840.12
231		sell	102	0.90
232		close	102	0.90				-76.69	8763.43
233		sell	103	0.90
234		modify	103	0.90
235		close	103	0.90				771.57	9535.01
236		buy	104	1.00
237		modify	104	1.00
238		close	104	1.00				1131.25	10666.25
239		sell	105	1.10
240		close	105	1.10				-135.62	10530.63
241		buy	106	1.10
242		modify	106	1.10
243		close	106	1.10				1399.57	11930.20
244		sell	107	1.20
245		s/l	107	1.20				-300.61	11629.59
246		sell	108	1.20
247		s/l	108	1.20				-246.04	11383.56
248		buy	109	1.10
249		s/l	109	1.10				-322.58	11060.98
250		buy	110	1.10
251		close	110	1.10				-37.09	11023.89
252		sell	111	1.10
253		modify	111	1.10
254		close	111	1.10				1148.82	12172.71
255		buy	112	1.20
256		s/l	112	1.20				-359.62	11813.09
257		sell	113	1.20
258		close	113	1.20				-284.81	11528.28
259		buy	114	1.20
260		close	114	1.20				271.60	11799.88
261		sell	115	1.20
262		s/l	115	1.20				-264.84	11535.04
263		buy	116	1.20
264		close	116	1.20				48.71	11583.75
265		buy	117	1.20
266		modify	117	1.20
267		t/p	117	1.20				3513.71	15097.46
268		sell	118	1.50
269		s/l	118	1.50				-380.74	14716.72
270		sell	119	1.50
271		s/l	119	1.50				-241.32	14475.40
272		sell	120	1.40
273		s/l	120	1.40				-212.82	14262.58
274		sell	121	1.40
275		s/l	121	1.40				-418.53	13844.05
276		sell	122	1.40
277		modify	122	1.40
278		close	122	1.40				452.87	14296.92
279		sell	123	1.40
280		close	123	1.40				-64.38	14232.54
281		sell	124	1.40
282		s/l	124	1.40				-208.83	14023.71
283		sell	125	1.40
284		s/l	125	1.40				-443.76	13579.94
285		sell	126	1.40
286		s/l	126	1.40				-243.15	13336.79
287		sell	127	1.30
288		modify	127	1.30
289		close	127	1.30				832.02	14168.81
290		buy	128	1.40
291		modify	128	1.40
292		close	128	1.40				893.31	15062.12
293		sell	129	1.50
294		modify	129	1.50
295		close	129	1.50				2016.27	17078.39
296		buy	130	1.70
297		modify	130	1.70
298		close	130	1.70				2042.50	19120.89
299		sell	131	1.90
300	2007.02.27 09:30	modify	131	1.90
301	2007.02.27 22:30	t/p	131	1.90				4662.52	23783.41