Strategy Overview

Forex Strategy Builder v2.10.0.0
Strategy name: Generated
Date: 17/12/2009 14.08.51

Table of Contents

Description
Logic
Environment
Strategy Properties
Indicator Slots
Statistic Information
Additional Statistics

Description

Modified by the strategy generator on 12/12/2009 8.01.
Out of sample testing [percent of bars]: 30%
Balance: 173537,64 USD (10/07/2007 0.00 Bar: 1432)

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Logic

Opening (Entry Signal)

Open a new long position at an Up Fractal when the following logic condition is satisfied:

Open a new short position at a Down Fractal when the following logic condition is satisfied:

Closing (Exit Signal)

Close an existing long position at the end of the week.

Close an existing short position at the end of the week.

Handling of Additional Entry Signals**

Entry signal in the direction of the present position:

Entry signal in the opposite direction:

Trading Size

Trade percent of your account.

Permanent Protection

The strategy does not provide a permanent loss limitation.

The Permanent Take Profit closes a position at 190 pips profit.

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* Use the indicator value from the previous bar for all asterisk-marked indicators!
** The averaging rules apply to the entry signals only. Exit signals close a position. They cannot open, add or reduce one.

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Environment

Market

Symbol - USDJPY
Time frame - 1 Day

Account

Initial account - 10000,00 USD
Lot size - 100000
Leverage - 1/100
Required margin - 1125,19 USD* for each open lot

Charges

Spread - 3 pips(33,76 USD*)
Swap number for a long position rollover - 1 pips(11,25 USD*)
Swap number for a short position rollover - -1 pips(11,25 USD*)
Commission per lot at opening and closing - 0 pips(0,00 USD*)
Slippage - 0 pips(0,00 USD*)

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* This value may vary!

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Strategy Properties

Handling of Additional Entry Signals

Next same direction signal behavior - Does nothing
Next opposite direction signal behavior - Does nothing

Trading Size

Trade percent of your account. The percentage values show the part of the account equity used to cover the required margin.

Maximum number of open lots - 100
Number of entry lots for a new position - 20% of the account equity
In case of addition - number of lots to add - 3% of the account equity
In case of reduction - number of lots to close - 1% of the account equity

Permanent Protection

Permanent Stop Loss - None

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Indicator Slots

The slots show the logic for the long positions only. Forex Strategy Builder automatically computes the proper logic for the short positions.

Strategy Properties
Same direction signal - Nothing
Opposite direction signal - Nothing
Permanent Stop Loss - None
Permanent Take Profit - 190
Opening Point of the Position
Fractal
Enter long at an Up Fractal
Visibility - The fractal is visible
Vertical shift - 0
Opening Logic Condition
Envelopes
The bar opens below the Upper Band
Smoothing method - Smoothed
Base price - Close
MA period - 18
Deviation % - 3,46
Use previous bar value - Yes
Closing Point of the Position
Week Closing
Exit the market at the end of the week
Base price - Close

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Statistic Information

MarketAccount
SymbolUSDJPYIntrabar scanningNot accomplished
Period1 DayInterpolation methodPessimistic scenario
Number of bars2047Ambiguous bars0
Date of updating20/11/09Tested bars2026
Time of updating00.00Initial account10000,00 USD
Date of beginning18/01/02Account balance4934539,34 USD
Time of beginning00.00Minimum account10000,00 USD
Minimum price87,096Maximum account4968806,94 USD
Maximum price135,19Maximum drawdown285530,04 USD
Average Gap4 pipsGross profit9531925,18 USD
Maximum Gap198 pipsGross loss-4607385,84 USD
Average High-Low110 pipsSent orders6556
Maximum High-Low707 pipsExecuted orders493
Average Close-Open53 pipsTraded lots37712,72
Maximum Close-Open493 pipsWinning trades143
Maximum days off4Losing trades103
Maximum data bars50000Win/loss ratio0,58
No data older thanNo limitsTime in position35 %
No data newer thanNo limitsCharged spread523399,30 USD
Fill In Data GapsSwitched offCharged rollover313419,74 USD
Cut Off Bad DataAccomplishedCharged commission0,00 USD
Charged slippage0,00 USD
Total charges836819,03 USD
Balance without charges5771358,38 USD
Account exchange rateDeal price

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Additional Statistics

ParameterLong + ShortLongShort
Initial account10000,00 USD10000,00 USD10000,00 USD
Account balance4934539,34 USD1856913,64 USD3087625,71 USD
Net profit4924539,34 USD1846913,64 USD3077625,71 USD
Net profit %49245,39%18469,14%30776,26%
Gross profit9531925,18 USD3983607,56 USD5548317,62 USD
Gross loss-4607385,84 USD-2136693,93 USD-2470691,91 USD
Profit factor2,071,862,25
Annualized profit627822,86 USD235460,52 USD392362,34 USD
Annualized profit %6278,23%2354,61%3923,62%
Minimum account10000,00 USD2540,40 USD-26041,90 USD
Minimum account date18/01/200214/06/200215/10/2004
Maximum account4968806,94 USD1856913,64 USD3239348,37 USD
Maximum account date25/09/200923/10/200925/09/2009
Absolute drawdown0,00 USD7459,60 USD36041,90 USD
Maximum drawdown285530,04 USD264086,46 USD300574,04 USD
Maximum drawdown %32,31%14,62%11,48%
Maximum drawdown date10/03/200629/05/200913/03/2009
Historical bars204720472047
Tested bars202620262026
Bars with trades706345361
Bars with trades %34,85%17,03%17,82%
Number of trades246115131
Winning trades1437073
Losing trades1034558
Win/loss ratio1,391,561,26
Maximum profit207404,10 USD196140,80 USD207404,10 USD
Average profit66656,82 USD56908,68 USD76004,35 USD
Maximum loss-179656,09 USD-179656,09 USD-176571,10 USD
Average loss-44731,90 USD-47482,09 USD-42598,14 USD
Expected payoff20018,45 USD16060,12 USD23493,33 USD
Average holding period returns3,50%8,89%27,20%
Geometric holding period returns2,55%4,65%4,47%
Sharpe ratio0,250,230,11

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