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Is this the right setup fo fx contracts? ...what am i doing wrong as
anual return is only .05% for nearly every system I try? Once i get
the settings right I will at least be on the rihgt track.
Settings
Initial Equity: 10000 Periodicity/Positions: Daily/Long Short
Commissions: 0.00 per trade Annual interest rate: 0.00%
Range: All quotations Apply to: Current Symbol
Margin requirement: 100 Futures mode: Yes
Def. round lot size: 100 Def. Tick Size 0.0001
Drawdowns based on: High/Low prices
Long trades
Buy price: Close Sell price: Close
Buy delay: 0 Sell delay: 0
Short trades
Short price: Close Cover price: Close
Short delay: 0 Cover delay: 0
Stops
Maximum loss: disabled Profit target: disabled
Value: 0.00 Value: 0.00
Exit at stop? no Exit at stop? no
Trailing stop: point
Value: 40.00
Exit at stop? yes
Formula
// long trades entry and exit rules:
Buy = EMA(Close,7)>EMA(Close,21);
Sell = EMA(Close,7)<EMA(Close,21);
// short trades entry and exit rules:
Short = EMA(Close,7)<EMA(Close,21);
Cover = EMA(Close,7)>EMA(Close,21);
Overall performance summary
Total net profit: 10.00 Total commissions paid: 0.00
Return on account: 0.10 % Open position gain/loss 10.21
Buy&Hold profit: 32.03 Bars (avg. days) in test: 588 (731)
Buy&Hold % return: 0.32% System to Buy&Hold index: -68.77%
Annual system % return: 0.05% Annual B&H % return: 0.16%
System drawdown: -8.42 B&H drawdown: -2.65
Max. system drawdown: -13.39 B&H max. drawdown: -7.97
Max. system % drawdown: -0.13% B&H max. % drawdown: -0.07%
Max. trade drawdown: -4.43
Max. trade % drawdown: -0.04%
Trade drawdown: -3.40
Total number of trades: 26 Percent profitable: 23.1%
Number winning trades: 6 Number losing trades: 20
Profit of winners: 23.02 Loss of losers: -23.22
Total # of bars in winners: 323 Total # of bars in losers: 231
Commissions paid in winners: 0.00 Commissions paid in losers: 0.00
Largest winning trade: 9.77 Largest losing trade: -2.78
# of bars in largest winner: 89 # bars in largest loser: 7
Commission paid in largest winner: 0.00 Commission paid in largest
loser: 0.00
Average winning trade: 3.84 Average losing trade: -1.16
Avg. # of bars in winners: 53.8 Avg. # bars in losers: 11.6
Avg. commission paid in winner: 0.00 Avg. commission paid in
loser: 0.00
Max consec. winners: 1 Max consec. losers: 7
Bars out of the market: 21 Interest earned: 0.00
Exposure: 96.4% Risk adjusted ann. return: 0.05%
Ratio avg win/avg loss: 3.30 Avg. trade (win & loss): -0.01
Profit factor: 0.99
Performance for EURUSD
Total net profit: 10.00 Total commissions paid: 0.00
Return on account: 0.10 % Open position gain/loss 10.21
Buy&Hold profit: 32.03 Bars (days) in test: 588 (731)
Buy&Hold % return: 0.32% System to Buy&Hold index: -68.77%
Annual system % return: 0.05% Annual B&H % return: 0.16%
System drawdown: -8.42 B&H drawdown: -2.65
Max. system drawdown: -13.39 B&H max. drawdown: -7.97
Max. system % drawdown: -0.13% B&H max. % drawdown: -0.07%
Max. trade drawdown: -4.43
Max. trade % drawdown: -0.04%
Trade drawdown: -3.40
Total number of trades: 26 Percent profitable: 23.1%
Number winning trades: 6 Number losing trades: 20
Profit of winners: 23.02 Loss of losers: -23.22
Total # of bars in winners: 323 Total # of bars in losers: 231
Commissions paid in winners: 0.00 Commissions paid in losers: 0.00
Largest winning trade: 9.77 Largest losing trade: -2.78
# of bars in largest winner: 89 # bars in largest loser: 7
Commission paid in largest winner: 0.00 Commission paid in largest
loser: 0.00
Average winning trade: 3.84 Average losing trade: -1.16
Avg. # of bars in winners: 53.8 Avg. # bars in losers: 11.6
Avg. commission paid in winner: 0.00 Avg. commission paid in
loser: 0.00
Max consec. winners: 1 Max consec. losers: 7
Bars out of the market: 21 Interest earned: 0.00
Exposure: 96.4% Risk adjusted ann. return: 0.05%
Ratio avg win/avg loss: 3.30 Avg. trade (win & loss): -0.01
Profit factor: 0.99
Trade list for EURUSD
Trade Entry date Exit date Net Profit Equity value
Out 26/05/2001 1:30:00 AM 17/06/2001 8:30:00 PM 0.00 10000.00
Long 17/06/2001 8:30:00 PM 29/06/2001 11:30:00 PM -1.23 9998.77
Short 29/06/2001 11:30:00 PM 12/07/2001 11:30:00 PM -0.44 9998.33
Long 12/07/2001 11:30:00 PM 5/09/2001 11:30:00 PM 3.20 10001.53
......
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