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Title: AmiBroker System Test Report
Settings
Initial Equity:
20000
Periodicity/Positions:
10 minute/ Short
Commissions:
11.50 per trade
Annual interest rate:
0.00%
Range:
21/03/2000 00:00:00 - 28/03/2003
Apply to:
Current Symbol
Margin requirement:
100
Futures mode:
Yes
Def. round lot size:
1
Def. Tick Size
0
Drawdowns based on:
High/Low prices
Long trades
Buy price:
Open
Sell price:
Open
Buy delay:
1
Sell delay:
1
Short trades
Short price:
Open
Cover price:
Open
Short delay:
1
Cover delay:
1
Stops
Maximum loss:
disabled
Profit target:
disabled
Value:
30.00
Value:
0.00
Exit at stop?
no
Exit at stop?
yes
Trailing stop:
disabled
Value:
30.00
Exit at stop?
no
Overall performance summary
Total net profit:
9816.18
Total commissions paid:
368.00
Return on account:
49.08 %
Open position gain/loss
0.00
Buy&Hold profit:
-60071.05
Bars (avg. days) in test:
2079 (79)
Buy&Hold % return:
-300.36%
System to Buy&Hold index:
116.34%
Annual system % return:
532.78%
Annual B&H % return:
N/A
System drawdown:
0.00
B&H drawdown:
-182158.52
Max. system drawdown:
-3740.99
B&H max. drawdown:
-217462.57
Max. system % drawdown:
-12.99%
B&H max. % drawdown:
-1058.45%
Max. trade drawdown:
-2453.00
Max. trade % drawdown:
-11.18%
Trade drawdown:
-2257.60
Total number of trades:
16
Percent profitable:
75.0%
Number winning trades:
12
Number losing trades:
4
Profit of winners:
13742.19
Loss of losers:
-3926.01
Total # of bars in winners:
180
Total # of bars in losers:
60
Commissions paid in winners:
276.00
Commissions paid in losers:
92.00
Largest winning trade:
3369.40
Largest losing trade:
-2116.80
# of bars in largest winner:
15
# bars in largest loser:
15
Commission paid in largest winner:
23.00
Commission paid in largest loser:
23.00
Average winning trade:
1145.18
Average losing trade:
-981.50
Avg. # of bars in winners:
15.0
Avg. # bars in losers:
15.0
Avg. commission paid in winner:
23.00
Avg. commission paid in loser:
23.00
Max consec. winners:
5
Max consec. losers:
2
Bars out of the market:
1839
Interest earned:
0.00
Exposure:
11.5%
Risk adjusted ann. return:
4615.22%
Ratio avg win/avg loss:
1.17
Avg. trade (win & loss):
613.51
Profit factor:
3.50
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