SP500 backtest

Strategy Tester Report

EA_chzhshch1_2_8

AlpariUK-Demo (Build 409)

Symbol		_US500 (US 500)
Period		15 Minutes (M15) 2011.10.04 00:00 - 2011.11.18 22:14 (2011.10.04 - 2011.11.19)
Model		Open prices only (only for Expert Advisors that explicitly control bar opening)
Parameters		MaxLossPerTrade=0.1; MaxMarginPerTrade=0.1; isDebugMode=false; sp500Future="US500.H"; crudeFuture="T.H1"; nq100Future="NQ100.H";
Bars in test	4130	Ticks modelled	7259	Modelling quality	n/a
Mismatched charts errors	0
Initial deposit	10000.00
Total net profit	11378.75	Gross profit	14223.75	Gross loss	-2845.00
Profit factor	5.00	Expected payoff	598.88
Absolute drawdown	487.50	Maximal drawdown	5920.00 (28.64%)	Relative drawdown	28.64% (5920.00)
Total trades	19	Short 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%)
Largest		profit trade	2843.75	loss trade	-1100.00
Average		profit trade	1293.07	loss trade	-355.63
Maximum		consecutive wins (profit in money)	5 (9600.00)	consecutive losses (loss in money)	4 (-1145.00)
Maximal		consecutive profit (count of wins)	9600.00 (5)	consecutive loss (count of losses)	-1327.50 (2)
Average		consecutive wins	3	consecutive losses	2

#	Time	Type	Order	Size	Price	S / L	T / P	Profit	Balance
1	2011.10.04 15:45	buy	1	1.00	1076.75	1071.50	0.00
2	2011.10.04 16:00	s/l	1	1.00	1071.50	1071.50	0.00	-262.50	9737.50
3	2011.10.04 17:00	buy	2	0.40	1086.50	1067.75	0.00
4	2011.10.10 06:00	buy	3	1.90	1169.25	1159.00	0.00
5	2011.10.14 13:30	close	2	0.10	1206.50	1067.75	0.00	600.00	10337.50
6	2011.10.14 13:30	buy	4	0.30	1086.50	1067.75	0.00
7	2011.10.14 13:30	close	3	0.60	1206.50	1159.00	0.00	1117.50	11455.00
8	2011.10.14 13:30	buy	5	1.30	1169.25	1159.00	0.00
9	2011.10.14 13:30	sell	6	1.40	1206.50	1209.75	0.00
10	2011.10.14 14:00	s/l	6	1.40	1209.75	1209.75	0.00	-227.50	11227.50
11	2011.10.20 10:00	buy	7	2.00	1206.75	1195.75	0.00
12	2011.10.20 18:00	s/l	7	2.00	1195.75	1195.75	0.00	-1100.00	10127.50
13	2011.11.03 10:00	buy	8	0.60	1226.50	1213.25	0.00
14	2011.11.08 09:15	close	8	0.20	1255.25	1213.25	0.00	287.50	10415.00
15	2011.11.08 09:15	buy	9	0.40	1226.50	1213.25	0.00
16	2011.11.08 09:15	sell	10	0.80	1255.25	1263.25	0.00
17	2011.11.08 10:15	s/l	10	0.80	1263.25	1263.25	0.00	-320.00	10095.00
18	2011.11.08 15:45	sell	11	1.30	1264.50	1267.00	0.00
19	2011.11.08 16:00	s/l	11	1.30	1267.00	1267.00	0.00	-162.50	9932.50
20	2011.11.08 17:15	sell	12	0.60	1254.75	1268.00	0.00
21	2011.11.08 20:00	s/l	12	0.60	1268.00	1268.00	0.00	-397.50	9535.00
22	2011.11.09 04:15	sell	13	1.10	1270.75	1274.75	0.00
23	2011.11.09 08:15	sell	14	0.80	1268.00	1274.75	0.00
24	2011.11.14 09:45	sell	15	0.90	1264.75	1270.25	0.00
25	2011.11.17 18:45	s/l	9	0.40	1213.25	1213.25	0.00	-265.00	9270.00
26	2011.11.18 04:00	close	13	0.40	1215.75	1274.75	0.00	1100.00	10370.00
27	2011.11.18 04:00	sell	16	0.70	1270.75	1274.75	0.00
28	2011.11.18 04:00	close	15	0.30	1215.75	1270.25	0.00	735.00	11105.00
29	2011.11.18 04:00	sell	17	0.60	1264.75	1270.25	0.00
30	2011.11.18 04:00	close	14	0.30	1215.75	1274.75	0.00	783.75	11888.75
31	2011.11.18 04:00	sell	18	0.50	1268.00	1274.75	0.00
32	2011.11.18 04:00	buy	19	0.80	1215.75	1206.25	0.00
33	2011.11.18 22:14	close at stop	19	0.80	1213.00	1206.25	0.00	-110.00	11778.75
34	2011.11.18 22:14	close at stop	18	0.50	1214.00	1274.75	0.00	1350.00	13128.75
35	2011.11.18 22:14	close at stop	17	0.60	1214.00	1270.25	0.00	1522.50	14651.25
36	2011.11.18 22:14	close at stop	16	0.70	1214.00	1274.75	0.00	1986.25	16637.50
37	2011.11.18 22:14	close at stop	5	1.30	1213.00	1159.00	0.00	2843.75	19481.25
38	2011.11.18 22:14	close at stop	4	0.30	1213.00	1067.75	0.00	1897.50	21378.75