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SP500 backtest

(2011-11-19 23:50:52) 下一个
Strategy Tester Report
EA_chzhshch1_2_8
AlpariUK-Demo (Build 409)

Symbol_US500 (US 500)
Period15 Minutes (M15) 2011.10.04 00:00 - 2011.11.18 22:14 (2011.10.04 - 2011.11.19)
ModelOpen prices only (only for Expert Advisors that explicitly control bar opening)
ParametersMaxLossPerTrade=0.1; MaxMarginPerTrade=0.1; isDebugMode=false; sp500Future="US500.H"; crudeFuture="T.H1"; nq100Future="NQ100.H";
Bars in test4130Ticks modelled7259Modelling qualityn/a
Mismatched charts errors0
Initial deposit10000.00
Total net profit11378.75Gross profit14223.75Gross loss-2845.00
Profit factor5.00Expected payoff598.88
Absolute drawdown487.50Maximal drawdown5920.00 (28.64%)Relative drawdown28.64% (5920.00)
Total trades19Short positions (won %)10 (60.00%)Long positions (won %)9 (55.56%)
Profit trades (% of total)11 (57.89%)Loss trades (% of total)8 (42.11%)
Largestprofit trade2843.75loss trade-1100.00
Averageprofit trade1293.07loss trade-355.63
Maximumconsecutive wins (profit in money)5 (9600.00)consecutive losses (loss in money)4 (-1145.00)
Maximalconsecutive profit (count of wins)9600.00 (5)consecutive loss (count of losses)-1327.50 (2)
Averageconsecutive wins3consecutive losses2
Graph
#TimeTypeOrderSizePriceS / LT / PProfitBalance
12011.10.04 15:45buy11.001076.751071.500.00
22011.10.04 16:00s/l11.001071.501071.500.00-262.509737.50
32011.10.04 17:00buy20.401086.501067.750.00
42011.10.10 06:00buy31.901169.251159.000.00
52011.10.14 13:30close20.101206.501067.750.00600.0010337.50
62011.10.14 13:30buy40.301086.501067.750.00
72011.10.14 13:30close30.601206.501159.000.001117.5011455.00
82011.10.14 13:30buy51.301169.251159.000.00
92011.10.14 13:30sell61.401206.501209.750.00
102011.10.14 14:00s/l61.401209.751209.750.00-227.5011227.50
112011.10.20 10:00buy72.001206.751195.750.00
122011.10.20 18:00s/l72.001195.751195.750.00-1100.0010127.50
132011.11.03 10:00buy80.601226.501213.250.00
142011.11.08 09:15close80.201255.251213.250.00287.5010415.00
152011.11.08 09:15buy90.401226.501213.250.00
162011.11.08 09:15sell100.801255.251263.250.00
172011.11.08 10:15s/l100.801263.251263.250.00-320.0010095.00
182011.11.08 15:45sell111.301264.501267.000.00
192011.11.08 16:00s/l111.301267.001267.000.00-162.509932.50
202011.11.08 17:15sell120.601254.751268.000.00
212011.11.08 20:00s/l120.601268.001268.000.00-397.509535.00
222011.11.09 04:15sell131.101270.751274.750.00
232011.11.09 08:15sell140.801268.001274.750.00
242011.11.14 09:45sell150.901264.751270.250.00
252011.11.17 18:45s/l90.401213.251213.250.00-265.009270.00
262011.11.18 04:00close130.401215.751274.750.001100.0010370.00
272011.11.18 04:00sell160.701270.751274.750.00
282011.11.18 04:00close150.301215.751270.250.00735.0011105.00
292011.11.18 04:00sell170.601264.751270.250.00
302011.11.18 04:00close140.301215.751274.750.00783.7511888.75
312011.11.18 04:00sell180.501268.001274.750.00
322011.11.18 04:00buy190.801215.751206.250.00
332011.11.18 22:14close at stop190.801213.001206.250.00-110.0011778.75
342011.11.18 22:14close at stop180.501214.001274.750.001350.0013128.75
352011.11.18 22:14close at stop170.601214.001270.250.001522.5014651.25
362011.11.18 22:14close at stop160.701214.001274.750.001986.2516637.50
372011.11.18 22:14close at stop51.301213.001159.000.002843.7519481.25
382011.11.18 22:14close at stop40.301213.001067.750.001897.5021378.75






































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