Strategy Tester Report
FIGHTForex_CCI_StickSize
(Build 445)
| Symbol | CADJPY (Canadian Dollar vs Japanise Yen) | ||||
| Period | Daily (D1) 2010.06.14 00:00 - 2012.07.02 00:00 | ||||
| Model | Every tick (the most precise method based on all available least timeframes) | ||||
| Parameters | MaxOrders=1; LotSize=1; CCI_Period=20; CCI_UpperLine=100; CCI_LowerLine=-100; CCI_Step=50; SizeFactor=5; MovingPeriod=20; Bol_Period=20; Bol_Dev=2; StickSizeFactor=3; | ||||
| Bars in test | 741 | Ticks modelled | 28145647 | Modelling quality | n/a |
| Mismatched charts errors | 3304 | ||||
| Initial deposit | 10000.00 | ||||
| Total net profit | 5592.80 | Gross profit | 18800.43 | Gross loss | -13207.62 |
| Profit factor | 1.42 | Expected payoff | 109.66 | ||
| Absolute drawdown | 1792.34 | Maximal drawdown | 4888.65 (34.52%) | Relative drawdown | 34.52% (4888.65) |
| Total trades | 51 | Short positions (won %) | 30 (63.33%) | Long positions (won %) | 21 (66.67%) |
| Profit trades (% of total) | 33 (64.71%) | Loss trades (% of total) | 18 (35.29%) | ||
| Largest | profit trade | 2199.91 | loss trade | -2092.44 | |
| Average | profit trade | 569.71 | loss trade | -733.76 | |
| Maximum | consecutive wins (profit in money) | 5 (2990.55) | consecutive losses (loss in money) | 3 (-2139.73) | |
| Maximal | consecutive profit (count of wins) | 3457.44 (4) | consecutive loss (count of losses) | -2139.73 (3) | |
| Average | consecutive wins | 3 | consecutive losses | 2 | |
| # | Time | Type | Order | Size | Price | S / L | T / P | Profit | Balance |
| 1 | 2010.06.21 05:51 | buy | 1 | 1.00 | 90.048 | 0.000 | 0.000 | ||
| 2 | 2010.06.22 00:00 | close | 1 | 1.00 | 88.950 | 0.000 | 0.000 | -1338.23 | 8661.77 |
| 3 | 2010.06.29 07:21 | sell | 2 | 1.00 | 85.699 | 0.000 | 0.000 | ||
| 4 | 2010.06.30 00:00 | close | 2 | 1.00 | 84.045 | 0.000 | 0.000 | 2015.91 | 10677.68 |
| 5 | 2010.07.06 10:49 | buy | 3 | 1.00 | 82.724 | 0.000 | 0.000 | ||
| 6 | 2010.07.07 00:00 | close | 3 | 1.00 | 83.230 | 0.000 | 0.000 | 620.17 | 11297.84 |
| 7 | 2010.07.07 05:30 | sell | 4 | 1.00 | 82.108 | 0.000 | 0.000 | ||
| 8 | 2010.07.08 00:00 | close | 4 | 1.00 | 83.815 | 0.000 | 0.000 | -2092.44 | 9205.40 |
| 9 | 2010.09.15 07:19 | buy | 5 | 1.00 | 81.594 | 0.000 | 0.000 | ||
| 10 | 2010.09.16 00:00 | close | 5 | 1.00 | 83.390 | 0.000 | 0.000 | 2199.91 | 11405.31 |
| 11 | 2010.09.22 10:49 | sell | 6 | 1.00 | 82.382 | 0.000 | 0.000 | ||
| 12 | 2010.09.23 00:00 | close | 6 | 1.00 | 82.135 | 0.000 | 0.000 | 292.61 | 11697.92 |
| 13 | 2010.10.07 07:55 | sell | 7 | 1.00 | 81.631 | 0.000 | 0.000 | ||
| 14 | 2010.10.08 00:00 | close | 7 | 1.00 | 80.926 | 0.000 | 0.000 | 857.56 | 12555.48 |
| 15 | 2010.10.26 10:46 | buy | 8 | 1.00 | 79.391 | 0.000 | 0.000 | ||
| 16 | 2010.10.27 00:00 | close | 8 | 1.00 | 79.477 | 0.000 | 0.000 | 107.37 | 12662.84 |
| 17 | 2010.10.27 05:23 | buy | 9 | 1.00 | 79.776 | 0.000 | 0.000 | ||
| 18 | 2010.10.28 00:00 | close | 9 | 1.00 | 79.401 | 0.000 | 0.000 | -450.76 | 12212.08 |
| 19 | 2010.11.12 07:38 | sell | 10 | 1.00 | 80.855 | 0.000 | 0.000 | ||
| 20 | 2010.11.14 23:00 | close | 10 | 1.00 | 81.490 | 0.000 | 0.000 | -775.08 | 11437.00 |
| 21 | 2010.11.30 10:29 | sell | 11 | 1.00 | 82.091 | 0.000 | 0.000 | ||
| 22 | 2010.12.01 00:00 | close | 11 | 1.00 | 81.588 | 0.000 | 0.000 | 611.00 | 12048.00 |
| 23 | 2010.12.23 08:36 | sell | 12 | 1.00 | 81.877 | 0.000 | 0.000 | ||
| 24 | 2010.12.24 00:00 | close | 12 | 1.00 | 82.259 | 0.000 | 0.000 | -469.23 | 11578.77 |
| 25 | 2011.01.04 06:03 | buy | 13 | 1.00 | 82.764 | 0.000 | 0.000 | ||
| 26 | 2011.01.05 00:00 | close | 13 | 1.00 | 82.261 | 0.000 | 0.000 | -611.76 | 10967.01 |
| 27 | 2011.01.11 06:37 | buy | 14 | 1.00 | 83.706 | 0.000 | 0.000 | ||
| 28 | 2011.01.12 00:00 | close | 14 | 1.00 | 84.221 | 0.000 | 0.000 | 631.15 | 11598.15 |
| 29 | 2011.01.27 07:27 | buy | 15 | 1.00 | 83.066 | 0.000 | 0.000 | ||
| 30 | 2011.01.28 00:00 | close | 15 | 1.00 | 83.248 | 0.000 | 0.000 | 224.59 | 11822.74 |
| 31 | 2011.02.22 09:02 | sell | 16 | 1.00 | 83.993 | 0.000 | 0.000 | ||
| 32 | 2011.02.23 00:00 | close | 16 | 1.00 | 83.628 | 0.000 | 0.000 | 442.56 | 12265.30 |
| 33 | 2011.02.28 08:36 | buy | 17 | 1.00 | 83.789 | 0.000 | 0.000 | ||
| 34 | 2011.03.01 00:00 | close | 17 | 1.00 | 84.266 | 0.000 | 0.000 | 584.76 | 12850.06 |
| 35 | 2011.03.14 01:18 | buy | 18 | 1.00 | 84.548 | 0.000 | 0.000 | ||
| 36 | 2011.03.15 00:00 | close | 18 | 1.00 | 83.954 | 0.000 | 0.000 | -722.87 | 12127.18 |
| 37 | 2011.03.15 09:43 | sell | 19 | 1.00 | 82.658 | 0.000 | 0.000 | ||
| 38 | 2011.03.16 00:00 | close | 19 | 1.00 | 82.393 | 0.000 | 0.000 | 320.50 | 12447.68 |
| 39 | 2011.04.12 03:13 | sell | 20 | 1.00 | 87.214 | 0.000 | 0.000 | ||
| 40 | 2011.04.13 00:00 | close | 20 | 1.00 | 87.163 | 0.000 | 0.000 | 59.29 | 12506.97 |
| 41 | 2011.04.18 10:43 | sell | 21 | 1.00 | 85.844 | 0.000 | 0.000 | ||
| 42 | 2011.04.19 00:00 | close | 21 | 1.00 | 85.532 | 0.000 | 0.000 | 377.87 | 12884.84 |
| 43 | 2011.04.27 10:16 | buy | 22 | 1.00 | 86.453 | 0.000 | 0.000 | ||
| 44 | 2011.04.28 00:00 | close | 22 | 1.00 | 86.542 | 0.000 | 0.000 | 115.77 | 13000.61 |
| 45 | 2011.05.05 10:18 | sell | 23 | 1.00 | 82.849 | 0.000 | 0.000 | ||
| 46 | 2011.05.06 00:00 | close | 23 | 1.00 | 83.163 | 0.000 | 0.000 | -386.23 | 12614.38 |
| 47 | 2011.05.17 07:43 | buy | 24 | 1.00 | 83.694 | 0.000 | 0.000 | ||
| 48 | 2011.05.18 00:00 | close | 24 | 1.00 | 83.814 | 0.000 | 0.000 | 148.88 | 12763.26 |
| 49 | 2011.05.25 05:44 | sell | 25 | 1.00 | 83.413 | 0.000 | 0.000 | ||
| 50 | 2011.05.26 00:00 | close | 25 | 1.00 | 83.774 | 0.000 | 0.000 | -449.52 | 12313.73 |
| 51 | 2011.05.31 05:19 | buy | 26 | 1.00 | 83.625 | 0.000 | 0.000 | ||
| 52 | 2011.06.01 00:00 | close | 26 | 1.00 | 84.052 | 0.000 | 0.000 | 523.71 | 12837.44 |
| 53 | 2011.07.12 08:18 | sell | 27 | 1.00 | 81.159 | 0.000 | 0.000 | ||
| 54 | 2011.07.13 00:00 | close | 27 | 1.00 | 82.390 | 0.000 | 0.000 | -1505.52 | 11331.92 |
| 55 | 2011.07.18 06:49 | sell | 28 | 1.00 | 82.322 | 0.000 | 0.000 | ||
| 56 | 2011.07.19 00:00 | close | 28 | 1.00 | 82.469 | 0.000 | 0.000 | -182.38 | 11149.54 |
| 57 | 2011.08.04 01:08 | buy | 29 | 1.00 | 81.024 | 0.000 | 0.000 | ||
| 58 | 2011.08.05 00:00 | close | 29 | 1.00 | 80.652 | 0.000 | 0.000 | -451.82 | 10697.71 |
| 59 | 2011.08.05 06:54 | sell | 30 | 1.00 | 79.764 | 0.000 | 0.000 | ||
| 60 | 2011.08.07 22:00 | close | 30 | 1.00 | 79.580 | 0.000 | 0.000 | 224.59 | 10922.30 |
| 61 | 2011.08.08 09:14 | sell | 31 | 1.00 | 78.929 | 0.000 | 0.000 | ||
| 62 | 2011.08.09 00:00 | close | 31 | 1.00 | 78.220 | 0.000 | 0.000 | 862.44 | 11784.74 |
| 63 | 2011.09.12 05:19 | sell | 32 | 1.00 | 76.933 | 0.000 | 0.000 | ||
| 64 | 2011.09.13 00:00 | close | 32 | 1.00 | 77.750 | 0.000 | 0.000 | -1000.19 | 10784.55 |
| 65 | 2011.09.14 07:06 | sell | 33 | 1.00 | 77.321 | 0.000 | 0.000 | ||
| 66 | 2011.09.15 00:00 | close | 33 | 1.00 | 77.473 | 0.000 | 0.000 | -194.41 | 10590.14 |
| 67 | 2011.09.22 09:19 | sell | 34 | 1.00 | 74.491 | 0.000 | 0.000 | ||
| 68 | 2011.09.23 00:00 | close | 34 | 1.00 | 74.347 | 0.000 | 0.000 | 172.81 | 10762.95 |
| 69 | 2011.10.12 09:14 | buy | 35 | 1.00 | 75.066 | 0.000 | 0.000 | ||
| 70 | 2011.10.13 00:00 | close | 35 | 1.00 | 75.724 | 0.000 | 0.000 | 810.48 | 11573.43 |
| 71 | 2011.10.31 01:14 | buy | 36 | 1.00 | 77.489 | 0.000 | 0.000 | ||
| 72 | 2011.11.01 00:00 | close | 36 | 1.00 | 78.363 | 0.000 | 0.000 | 1069.48 | 12642.91 |
| 73 | 2011.11.09 09:35 | sell | 37 | 1.00 | 76.513 | 0.000 | 0.000 | ||
| 74 | 2011.11.10 00:00 | close | 37 | 1.00 | 75.968 | 0.000 | 0.000 | 656.35 | 13299.25 |
| 75 | 2011.11.21 10:09 | sell | 38 | 1.00 | 74.263 | 0.000 | 0.000 | ||
| 76 | 2011.11.22 00:00 | close | 38 | 1.00 | 74.030 | 0.000 | 0.000 | 281.44 | 13580.69 |
| 77 | 2012.01.05 10:01 | sell | 39 | 1.00 | 75.344 | 0.000 | 0.000 | ||
| 78 | 2012.01.06 00:00 | close | 39 | 1.00 | 75.678 | 0.000 | 0.000 | -410.64 | 13170.05 |
| 79 | 2012.01.16 08:06 | buy | 40 | 1.00 | 75.280 | 0.000 | 0.000 | ||
| 80 | 2012.01.17 00:00 | close | 40 | 1.00 | 75.467 | 0.000 | 0.000 | 230.69 | 13400.74 |
| 81 | 2012.02.24 06:57 | buy | 41 | 1.00 | 80.681 | 0.000 | 0.000 | ||
| 82 | 2012.02.26 23:00 | close | 41 | 1.00 | 81.536 | 0.000 | 0.000 | 1043.90 | 14444.64 |
| 83 | 2012.02.27 08:27 | sell | 42 | 1.00 | 80.675 | 0.000 | 0.000 | ||
| 84 | 2012.02.28 00:00 | close | 42 | 1.00 | 80.622 | 0.000 | 0.000 | 61.73 | 14506.37 |
| 85 | 2012.03.06 09:23 | sell | 43 | 1.00 | 81.302 | 0.000 | 0.000 | ||
| 86 | 2012.03.07 00:00 | close | 43 | 1.00 | 80.547 | 0.000 | 0.000 | 918.60 | 15424.96 |
| 87 | 2012.03.19 08:37 | sell | 44 | 1.00 | 83.674 | 0.000 | 0.000 | ||
| 88 | 2012.03.20 00:00 | close | 44 | 1.00 | 84.425 | 0.000 | 0.000 | -919.63 | 14505.33 |
| 89 | 2012.03.21 06:06 | buy | 45 | 1.00 | 84.660 | 0.000 | 0.000 | ||
| 90 | 2012.03.22 00:00 | close | 45 | 1.00 | 83.835 | 0.000 | 0.000 | -1000.18 | 13505.15 |
| 91 | 2012.03.22 08:43 | sell | 46 | 1.00 | 83.277 | 0.000 | 0.000 | ||
| 92 | 2012.03.23 00:00 | close | 46 | 1.00 | 82.634 | 0.000 | 0.000 | 781.89 | 14287.04 |
| 93 | 2012.04.23 01:08 | sell | 47 | 1.00 | 81.947 | 0.000 | 0.000 | ||
| 94 | 2012.04.24 00:00 | close | 47 | 1.00 | 81.823 | 0.000 | 0.000 | 148.39 | 14435.43 |
| 95 | 2012.05.29 07:07 | buy | 48 | 1.00 | 77.857 | 0.000 | 0.000 | ||
| 96 | 2012.05.30 00:00 | close | 48 | 1.00 | 77.653 | 0.000 | 0.000 | -246.70 | 14188.73 |
| 97 | 2012.05.30 07:07 | sell | 49 | 1.00 | 77.415 | 0.000 | 0.000 | ||
| 98 | 2012.05.31 00:00 | close | 49 | 1.00 | 76.669 | 0.000 | 0.000 | 901.69 | 15090.41 |
| 99 | 2012.06.22 05:40 | buy | 50 | 1.00 | 78.338 | 0.000 | 0.000 | ||
| 100 | 2012.06.24 22:00 | close | 50 | 1.00 | 78.396 | 0.000 | 0.000 | 70.82 | 15161.23 |
| 101 | 2012.06.25 09:13 | sell | 51 | 1.00 | 77.791 | 0.000 | 0.000 | ||
| 102 | 2012.06.26 00:00 | close | 51 | 1.00 | 77.435 | 0.000 | 0.000 | 431.57 | 15592.80 |