Below is the report from Amibroker. I'm just curious if I am on to something or whether I am doing something completely wrong. Both long and short are using the same parameters, just reversed. As in, buy = cover and sell = short. The data used is the USDJPY pair for the full 2012 year. The time period is the five minute chart. I believe it's what Bandy terms, "out of sample" because I only 'designed' it using recent data from over the summer. That data produced similar results. Obviously, it's not entirely realistic. There is no commission or interest factors. It's neglecting the spread. The initial capital is based on the idea of trading one microlot ($20usd leveraged.) There's probably something else I'm missing, because Amibroker isn't really designed well for forex. The only way around this would, that I could think of, be to use the foreign data function to work around buying/selling the ask/bid and that's beyond my programming skills ATM. I really believe that I'm doing something completely wrong because I have no idea how I could have stumbled upon a system that generates 400+ % points a year. Thanks. Long: Code: All trades Long trades Short trades Initial capital 1000.00 1000.00 1000.00 Ending capital 1095.98 1095.98 1000.00 Net Profit 95.98 95.98 0.00 Net Profit % 9.60 % 9.60 % 0.00 % Exposure % 25.85 % 25.85 % 0.00 % Net Risk Adjusted Return % 37.14 % 37.14 % N/A Annual Return % 9.63 % 9.63 % 0.00 % Risk Adjusted Return % 37.24 % 37.24 % N/A Total transaction costs 0.00 0.00 0.00 -------------------------------------------------------------------------------- All trades 1274 1274 (100.00 %) 0 (0.00 %) Avg. Profit/Loss 0.08 0.08 N/A Avg. Profit/Loss % 0.01 % 0.01 % N/A Avg. Bars Held 16.13 16.13 N/A -------------------------------------------------------------------------------- Winners 573 (44.98 %) 573 (44.98 %) 0 (0.00 %) Total Profit 549.29 549.29 0.00 Avg. Profit 0.96 0.96 N/A Avg. Profit % 0.09 % 0.09 % N/A Avg. Bars Held 21.46 21.46 N/A Max. Consecutive 9 9 0 Largest win 9.94 9.94 0.00 # bars in largest win 8 8 0 -------------------------------------------------------------------------------- Losers 701 (55.02 %) 701 (55.02 %) 0 (0.00 %) Total Loss -453.30 -453.30 0.00 Avg. Loss -0.65 -0.65 N/A Avg. Loss % -0.06 % -0.06 % N/A Avg. Bars Held 11.78 11.78 N/A Max. Consecutive 12 12 0 Largest loss -1.27 -1.27 0.00 # bars in largest loss 6 6 0 -------------------------------------------------------------------------------- Max. trade drawdown -4.64 -4.64 0.00 Max. trade % drawdown -0.44 % -0.44 % 0.00 % Max. system drawdown -24.71 -24.71 0.00 Max. system % drawdown -2.35 % -2.35 % 0.00 % Recovery Factor 3.89 3.89 N/A CAR/MaxDD 4.10 4.10 N/A RAR/MaxDD 15.85 15.85 N/A Profit Factor 1.21 1.21 N/A Payoff Ratio 1.48 1.48 N/A Standard Error 9.39 9.39 0.00 Risk-Reward Ratio 10.27 10.27 N/A Ulcer Index 0.75 0.75 0.00 Ulcer Performance Index 5.67 5.67 N/A Sharpe Ratio of trades 4.54 4.54 0.00 K-Ratio 0.0108 0.0108 N/A Short: Code: Statistics All trades Long trades Short trades Initial capital 1000.00 1000.00 1000.00 Ending capital 1015.51 1000.00 1015.51 Net Profit 15.51 0.00 15.51 Net Profit % 1.55 % 0.00 % 1.55 % Exposure % 46.44 % 0.00 % 46.44 % Net Risk Adjusted Return % 3.34 % N/A 3.34 % Annual Return % 1.56 % 0.00 % 1.56 % Risk Adjusted Return % 3.35 % N/A 3.35 % Total transaction costs 0.00 0.00 0.00 -------------------------------------------------------------------------------- All trades 1919 0 (0.00 %) 1919 (100.00 %) Avg. Profit/Loss 0.01 N/A 0.01 Avg. Profit/Loss % 0.00 % N/A 0.00 % Avg. Bars Held 19.05 N/A 19.05 -------------------------------------------------------------------------------- Winners 666 (34.71 %) 0 (0.00 %) 666 (34.71 %) Total Profit 820.55 0.00 820.55 Avg. Profit 1.23 N/A 1.23 Avg. Profit % 0.12 % N/A 0.12 % Avg. Bars Held 27.48 N/A 27.48 Max. Consecutive 9 0 9 Largest win 8.72 0.00 8.72 # bars in largest win 54 0 54 -------------------------------------------------------------------------------- Losers 1253 (65.29 %) 0 (0.00 %) 1253 (65.29 %) Total Loss -805.04 0.00 -805.04 Avg. Loss -0.64 N/A -0.64 Avg. Loss % -0.06 % N/A -0.06 % Avg. Bars Held 14.57 N/A 14.57 Max. Consecutive 20 0 20 Largest loss -9.83 0.00 -9.83 # bars in largest loss 18 0 18 -------------------------------------------------------------------------------- Max. trade drawdown -10.87 0.00 -10.87 Max. trade % drawdown -1.05 % 0.00 % -1.05 % Max. system drawdown -56.66 0.00 -56.66 Max. system % drawdown -5.31 % 0.00 % -5.31 % Recovery Factor 0.27 N/A 0.27 CAR/MaxDD 0.29 N/A 0.29 RAR/MaxDD 0.63 N/A 0.63 Profit Factor 1.02 N/A 1.02 Payoff Ratio 1.92 N/A 1.92 Standard Error 14.68 0.00 14.68 Risk-Reward Ratio 4.39 N/A 4.39 Ulcer Index 1.56 0.00 1.56 Ulcer Performance Index -2.47 N/A -2.47 Sharpe Ratio of trades -0.25 0.00 -0.25 K-Ratio 0.0046 N/A 0.0046
This is easily achieved through curve fitting past data. In the real market, the market-maker/bank on the other side of your trade cannot be curve fitted. Their business is to make money and they are professionals with money to move prices. So it would be unreasonable to expect these professionals to give you 400% of their money. Instead, they are likely to take 100% of your money.
Backtest same year on EUR futures (6E), use 1-tick slippage for entries and for exits, $5 comms per contract per trade. This will give you a better idea.
Your profit factor is non-existent, meaning that with the absolute minimum of slippage (or spread) the strategy will die.