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[amibroker] test



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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