Strategy Tester Report |
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AdmiralMarkets-Demo (Build 1940) |
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Settings |
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| Expert: | eaPermanentPortfolio | |||||||||||
| Symbol: | SHY | |||||||||||
| Period: | Daily (2004.06.01 - 2018.11.13) | |||||||||||
| Inputs: | capital_dedicated_to_strategy=10000 | |||||||||||
| stocks=VTI | ||||||||||||
| bonds=TLTUS | ||||||||||||
| cash=SHY | ||||||||||||
| gold=GLD | ||||||||||||
| magicNumber=12345 | ||||||||||||
| Broker: | Admiral Markets AS | |||||||||||
| Currency: | USD | |||||||||||
| Initial Deposit: | 10 000.00 | |||||||||||
| Leverage: | 1:100 | |||||||||||
Results |
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| History Quality: | 0% | |||||||||||
| Bars: | 3640 | Ticks: | 12637 | Symbols: | 4 | |||||||
| Total Net Profit: | 6 414.57 | Balance Drawdown Absolute: | 4.00 | Equity Drawdown Absolute: | 214.38 | |||||||
| Gross Profit: | 6 691.06 | Balance Drawdown Maximal: | 134.84 (0.83%) | Equity Drawdown Maximal: | 2 362.80 (18.74%) | |||||||
| Gross Loss: | -276.49 | Balance Drawdown Relative: | 0.83% (134.84) | Equity Drawdown Relative: | 18.74% (2 362.80) | |||||||
| Profit Factor: | 24.20 | Expected Payoff: | 206.92 | Margin Level: | 92.30% | |||||||
| Recovery Factor: | 2.71 | Sharpe Ratio: | 0.66 | Z-Score: | -0.40 (31.08%) | |||||||
| AHPR: | 1.0164 (1.64%) | LR Correlation: | 0.94 | OnTester result: | 0 | |||||||
| GHPR: | 1.0161 (1.61%) | LR Standard Error: | 830.20 | |||||||||
| Total Trades: | 31 | Short Trades (won %): | 0 (0.00%) | Long Trades (won %): | 31 (87.10%) | |||||||
| Total Deals: | 49 | Profit Trades (% of total): | 27 (87.10%) | Loss Trades (% of total): | 4 (12.90%) | |||||||
| Largest profit trade: | 1 070.72 | Largest loss trade: | -133.84 | |||||||||
| Average profit trade: | 247.82 | Average loss trade: | -69.12 | |||||||||
| Maximum consecutive wins ($): | 19 (6 186.68) | Maximum consecutive losses ($): | 2 (-97.70) | |||||||||
| Maximal consecutive profit (count): | 6 186.68 (19) | Maximal consecutive loss (count): | -133.84 (1) | |||||||||
| Average consecutive wins: | 7 | Average consecutive losses: | 1 | |||||||||
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| Correlation (Profits,MFE): | 0.97 | Correlation (Profits,MAE): | -0.61 | Correlation (MFE,MAE): | -0.5801 | |||||||
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| Minimal position holding time: | 5399:59:59 | Maximal position holding time: | 86783:59:59 | Average position holding time: | 43594:39:59 | |||||||
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Orders |
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|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Open Time | Order | Symbol | Type | Volume | Price | S / L | T / P | Time | State | Comment | ||
| 2005.01.03 00:00:00 | 2 | VTI | buy | 42.00 / 42.00 | 59.04 | 2005.01.03 00:00:00 | filled | Buy Trade. Magic Number #0 | ||||
| 2005.01.03 00:00:00 | 3 | TLTUS | buy | 28.00 / 28.00 | 88.57 | 2005.01.03 00:00:00 | filled | Buy Trade. Magic Number #12345 | ||||
| 2005.01.03 00:00:00 | 4 | SHY | buy | 31.00 / 31.00 | 81.39 | 2005.01.03 00:00:00 | filled | Buy Trade. Magic Number #12345 | ||||
| 2005.01.03 00:00:00 | 5 | GLD | buy | 57.00 / 57.00 | 43.82 | 2005.01.03 00:00:00 | filled | Buy Trade. Magic Number #12345 | ||||
| 2006.01.03 00:00:00 | 9 | GLD | sell | 6.00 / 6.00 | 52.29 | 2006.01.03 00:00:00 | filled | |||||
| 2007.01.03 00:00:00 | 10 | VTI | sell | 1.00 / 1.00 | 70.11 | 2007.01.03 00:00:00 | filled | |||||
| 2007.01.03 00:00:00 | 13 | GLD | sell | 15.00 / 15.00 | 63.58 | 2007.01.03 00:00:00 | filled | |||||
| 2008.01.02 00:00:00 | 14 | VTI | sell | 1.00 / 1.00 | 72.58 | 2008.01.02 00:00:00 | filled | |||||
| 2008.01.02 00:00:00 | 15 | TLTUS | buy | 9.00 / 9.00 | 93.07 | 2008.01.02 00:00:00 | filled | Buy Trade. Magic Number #12345 | ||||
| 2008.01.02 00:00:00 | 17 | GLD | sell | 22.00 / 22.00 | 83.56 | 2008.01.02 00:00:00 | filled | |||||
| 2009.01.02 00:00:00 | 18 | VTI | buy | 18.00 / 18.00 | 44.76 | 2009.01.02 00:00:00 | filled | Buy Trade. Magic Number #12345 | ||||
| 2009.01.02 00:00:00 | 19 | SHY | buy | 15.00 / 15.00 | 84.70 | 2009.01.02 00:00:00 | filled | Buy Trade. Magic Number #12345 | ||||
| 2009.01.02 00:00:00 | 20 | GLD | sell | 14.00 / 14.00 | 85.93 | 2009.01.02 00:00:00 | filled | |||||
| 2010.01.04 00:00:00 | 21 | VTI | buy | 13.00 / 13.00 | 56.39 | 2010.01.04 00:00:00 | filled | Buy Trade. Magic Number #12345 | ||||
| 2010.01.04 00:00:00 | 22 | TLTUS | buy | 1.00 / 1.00 | 89.91 | 2010.01.04 00:00:00 | filled | Buy Trade. Magic Number #12345 | ||||
| 2011.01.03 00:00:00 | 24 | VTI | buy | 4.00 / 4.00 | 64.95 | 2011.01.03 00:00:00 | filled | Buy Trade. Magic Number #0 | ||||
| 2011.01.03 00:00:00 | 25 | TLTUS | buy | 1.00 / 1.00 | 94.14 | 2011.01.03 00:00:00 | filled | Buy Trade. Magic Number #12345 | ||||
| 2012.01.03 00:00:00 | 27 | VTI | buy | 1.00 / 1.00 | 64.32 | 2012.01.03 00:00:00 | filled | Buy Trade. Magic Number #0 | ||||
| 2012.01.03 00:00:00 | 28 | TLTUS | sell | 5.00 / 5.00 | 121.25 | 2012.01.03 00:00:00 | filled | |||||
| 2013.01.02 00:00:00 | 30 | VTI | sell | 9.00 / 9.00 | 73.28 | 2013.01.02 00:00:00 | filled | |||||
| 2013.01.02 00:00:00 | 31 | TLTUS | sell | 9.00 / 9.00 | 121.18 | 2013.01.02 00:00:00 | filled | |||||
| 2013.01.02 00:00:00 | 32 | SHY | buy | 29.00 / 29.00 | 84.42 | 2013.01.02 00:00:00 | filled | Buy Trade. Magic Number #12345 | ||||
| 2014.01.02 00:00:00 | 33 | VTI | sell | 27.00 / 27.00 | 95.92 | 2014.01.02 00:00:00 | filled | |||||
| 2014.01.02 00:00:00 | 34 | TLTUS | sell | 5.00 / 5.00 | 101.86 | 2014.01.02 00:00:00 | filled | |||||
| 2014.01.02 00:00:00 | 35 | SHY | buy | 37.00 / 37.00 | 84.42 | 2014.01.02 00:00:00 | filled | Buy Trade. Magic Number #12345 | ||||
| 2015.01.02 00:00:00 | 36 | VTI | sell | 4.00 / 4.00 | 106.00 | 2015.01.02 00:00:00 | filled | |||||
| 2015.01.02 00:00:00 | 37 | TLTUS | sell | 4.00 / 4.00 | 125.92 | 2015.01.02 00:00:00 | filled | |||||
| 2015.01.02 00:00:00 | 39 | GLD | buy | 7.00 / 7.00 | 112.51 | 2015.01.02 00:00:00 | filled | Buy Trade. Magic Number #12345 | ||||
| 2016.01.04 00:00:00 | 40 | VTI | sell | 18.00 / 18.00 | 104.30 | 2016.01.04 00:00:00 | filled | |||||
| 2016.01.04 00:00:00 | 41 | TLTUS | sell | 3.00 / 3.00 | 120.58 | 2016.01.04 00:00:00 | filled | |||||
| 2016.01.04 00:00:00 | 43 | GLD | buy | 14.00 / 14.00 | 103.15 | 2016.01.04 00:00:00 | filled | Buy Trade. Magic Number #12345 | ||||
| 2017.01.03 00:00:00 | 44 | VTI | sell | 13.00 / 13.00 | 115.32 | 2017.01.03 00:00:00 | filled | |||||
| 2017.01.03 00:00:00 | 45 | TLTUS | sell | 2.00 / 2.00 | 119.13 | 2017.01.03 00:00:00 | filled | |||||
| 2017.01.03 00:00:00 | 47 | GLD | buy | 16.00 / 16.00 | 109.64 | 2017.01.03 00:00:00 | filled | Buy Trade. Magic Number #12345 | ||||
| 2018.01.02 00:00:00 | 48 | VTI | sell | 4.00 / 4.00 | 137.25 | 2018.01.02 00:00:00 | filled | |||||
| 2018.01.02 00:00:00 | 49 | TLTUS | sell | 3.00 / 3.00 | 126.86 | 2018.01.02 00:00:00 | filled | |||||
| 2018.01.02 00:00:00 | 51 | GLD | buy | 12.00 / 12.00 | 124.68 | 2018.01.02 00:00:00 | filled | Buy Trade. Magic Number #12345 | ||||
| 2018.11.12 23:59:59 | 52 | GLD | sell | 12.00 / 12.00 | 113.61 | 2018.11.12 23:59:59 | filled | end of test | ||||
| 2018.11.12 23:59:59 | 53 | GLD | sell | 16.00 / 16.00 | 113.61 | 2018.11.12 23:59:59 | filled | end of test | ||||
| 2018.11.12 23:59:59 | 54 | GLD | sell | 14.00 / 14.00 | 113.61 | 2018.11.12 23:59:59 | filled | end of test | ||||
| 2018.11.12 23:59:59 | 55 | GLD | sell | 7.00 / 7.00 | 113.61 | 2018.11.12 23:59:59 | filled | end of test | ||||
| 2018.11.12 23:59:59 | 56 | SHY | sell | 37.00 / 37.00 | 82.97 | 2018.11.12 23:59:59 | filled | end of test | ||||
| 2018.11.12 23:59:59 | 57 | SHY | sell | 29.00 / 29.00 | 82.97 | 2018.11.12 23:59:59 | filled | end of test | ||||
| 2018.11.12 23:59:59 | 58 | VTI | sell | 1.00 / 1.00 | 139.81 | 2018.11.12 23:59:59 | filled | end of test | ||||
| 2018.11.12 23:59:59 | 59 | TLTUS | sell | 1.00 / 1.00 | 114.09 | 2018.11.12 23:59:59 | filled | end of test | ||||
| 2018.11.12 23:59:59 | 60 | TLTUS | sell | 1.00 / 1.00 | 114.09 | 2018.11.12 23:59:59 | filled | end of test | ||||
| 2018.11.12 23:59:59 | 61 | SHY | sell | 15.00 / 15.00 | 82.97 | 2018.11.12 23:59:59 | filled | end of test | ||||
| 2018.11.12 23:59:59 | 62 | TLTUS | sell | 6.00 / 6.00 | 114.09 | 2018.11.12 23:59:59 | filled | end of test | ||||
| 2018.11.12 23:59:59 | 63 | SHY | sell | 31.00 / 31.00 | 82.97 | 2018.11.12 23:59:59 | filled | end of test | ||||
Deals |
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| Time | Deal | Symbol | Type | Direction | Volume | Price | Order | Commission | Swap | Profit | Balance | Comment |
| 2004.06.01 00:00:00 | 1 | balance | 0.00 | 0.00 | 10 000.00 | 10 000.00 | ||||||
| 2005.01.03 00:00:00 | 2 | VTI | buy | in | 42.00 | 59.04 | 2 | -1.00 | 0.00 | 0.00 | 9 999.00 | Buy Trade. Magic Number #0 |
| 2005.01.03 00:00:00 | 3 | TLTUS | buy | in | 28.00 | 88.57 | 3 | -1.00 | 0.00 | 0.00 | 9 998.00 | Buy Trade. Magic Number #12345 |
| 2005.01.03 00:00:00 | 4 | SHY | buy | in | 31.00 | 81.39 | 4 | -1.00 | 0.00 | 0.00 | 9 997.00 | Buy Trade. Magic Number #12345 |
| 2005.01.03 00:00:00 | 5 | GLD | buy | in | 57.00 | 43.82 | 5 | -1.00 | 0.00 | 0.00 | 9 996.00 | Buy Trade. Magic Number #12345 |
| 2006.01.03 00:00:00 | 6 | GLD | sell | out | 6.00 | 52.29 | 9 | -1.00 | 0.00 | 50.82 | 10 045.82 | |
| 2007.01.03 00:00:00 | 7 | VTI | sell | out | 1.00 | 70.11 | 10 | -1.00 | 0.00 | 11.07 | 10 055.89 | |
| 2007.01.03 00:00:00 | 8 | GLD | sell | out | 15.00 | 63.58 | 13 | -1.00 | 0.00 | 296.40 | 10 351.29 | |
| 2008.01.02 00:00:00 | 9 | VTI | sell | out | 1.00 | 72.58 | 14 | -1.00 | 0.00 | 13.54 | 10 363.83 | |
| 2008.01.02 00:00:00 | 10 | TLTUS | buy | in | 9.00 | 93.07 | 15 | -1.00 | 0.00 | 0.00 | 10 362.83 | Buy Trade. Magic Number #12345 |
| 2008.01.02 00:00:00 | 11 | GLD | sell | out | 22.00 | 83.56 | 17 | -1.00 | 0.00 | 874.28 | 11 236.11 | |
| 2009.01.02 00:00:00 | 12 | VTI | buy | in | 18.00 | 44.76 | 18 | -1.00 | 0.00 | 0.00 | 11 235.11 | Buy Trade. Magic Number #12345 |
| 2009.01.02 00:00:00 | 13 | SHY | buy | in | 15.00 | 84.70 | 19 | -1.00 | 0.00 | 0.00 | 11 234.11 | Buy Trade. Magic Number #12345 |
| 2009.01.02 00:00:00 | 14 | GLD | sell | out | 14.00 | 85.93 | 20 | -1.00 | 0.00 | 589.54 | 11 822.65 | |
| 2010.01.04 00:00:00 | 15 | VTI | buy | in | 13.00 | 56.39 | 21 | -1.00 | 0.00 | 0.00 | 11 821.65 | Buy Trade. Magic Number #12345 |
| 2010.01.04 00:00:00 | 16 | TLTUS | buy | in | 1.00 | 89.91 | 22 | -1.00 | 0.00 | 0.00 | 11 820.65 | Buy Trade. Magic Number #12345 |
| 2011.01.03 00:00:00 | 17 | VTI | buy | in | 4.00 | 64.95 | 24 | -1.00 | 0.00 | 0.00 | 11 819.65 | Buy Trade. Magic Number #0 |
| 2011.01.03 00:00:00 | 18 | TLTUS | buy | in | 1.00 | 94.14 | 25 | -1.00 | 0.00 | 0.00 | 11 818.65 | Buy Trade. Magic Number #12345 |
| 2012.01.03 00:00:00 | 19 | VTI | buy | in | 1.00 | 64.32 | 27 | -1.00 | 0.00 | 0.00 | 11 817.65 | Buy Trade. Magic Number #0 |
| 2012.01.03 00:00:00 | 20 | TLTUS | sell | out | 5.00 | 121.25 | 28 | -1.00 | 0.00 | 163.40 | 11 980.05 | |
| 2013.01.02 00:00:00 | 21 | VTI | sell | out | 9.00 | 73.28 | 30 | -1.00 | 0.00 | 128.16 | 12 107.21 | |
| 2013.01.02 00:00:00 | 22 | TLTUS | sell | out | 9.00 | 121.18 | 31 | -1.00 | 0.00 | 293.49 | 12 399.70 | |
| 2013.01.02 00:00:00 | 23 | SHY | buy | in | 29.00 | 84.42 | 32 | -1.00 | 0.00 | 0.00 | 12 398.70 | Buy Trade. Magic Number #12345 |
| 2014.01.02 00:00:00 | 24 | VTI | sell | out | 27.00 | 95.92 | 33 | -1.00 | 0.00 | 995.76 | 13 393.46 | |
| 2014.01.02 00:00:00 | 25 | TLTUS | sell | out | 5.00 | 101.86 | 34 | -1.00 | 0.00 | 66.45 | 13 458.91 | |
| 2014.01.02 00:00:00 | 26 | SHY | buy | in | 37.00 | 84.42 | 35 | -1.00 | 0.00 | 0.00 | 13 457.91 | Buy Trade. Magic Number #12345 |
| 2015.01.02 00:00:00 | 27 | VTI | sell | out | 4.00 | 106.00 | 36 | -1.00 | 0.00 | 187.84 | 13 644.75 | |
| 2015.01.02 00:00:00 | 28 | TLTUS | sell | out | 4.00 | 125.92 | 37 | -1.00 | 0.00 | 149.40 | 13 793.15 | |
| 2015.01.02 00:00:00 | 29 | GLD | buy | in | 7.00 | 112.51 | 39 | -1.00 | 0.00 | 0.00 | 13 792.15 | Buy Trade. Magic Number #12345 |
| 2016.01.04 00:00:00 | 30 | VTI | sell | out | 18.00 | 104.30 | 40 | -1.00 | 0.00 | 1 071.72 | 14 862.87 | |
| 2016.01.04 00:00:00 | 31 | TLTUS | sell | out | 3.00 | 120.58 | 41 | -1.00 | 0.00 | 96.03 | 14 957.90 | |
| 2016.01.04 00:00:00 | 32 | GLD | buy | in | 14.00 | 103.15 | 43 | -1.00 | 0.00 | 0.00 | 14 956.90 | Buy Trade. Magic Number #12345 |
| 2017.01.03 00:00:00 | 33 | VTI | sell | out | 13.00 | 115.32 | 44 | -1.00 | 0.00 | 766.09 | 15 721.99 | |
| 2017.01.03 00:00:00 | 34 | TLTUS | sell | out | 2.00 | 119.13 | 45 | -1.00 | 0.00 | 61.12 | 15 782.11 | |
| 2017.01.03 00:00:00 | 35 | GLD | buy | in | 16.00 | 109.64 | 47 | -1.00 | 0.00 | 0.00 | 15 781.11 | Buy Trade. Magic Number #12345 |
| 2018.01.02 00:00:00 | 36 | VTI | sell | out | 4.00 | 137.25 | 48 | -1.00 | 0.00 | 289.20 | 16 069.31 | |
| 2018.01.02 00:00:00 | 37 | TLTUS | sell | out | 3.00 | 126.86 | 49 | -1.00 | 0.00 | 101.37 | 16 169.68 | |
| 2018.01.02 00:00:00 | 38 | GLD | buy | in | 12.00 | 124.68 | 51 | -1.00 | 0.00 | 0.00 | 16 168.68 | Buy Trade. Magic Number #12345 |
| 2018.11.12 23:59:59 | 39 | GLD | sell | out | 12.00 | 113.61 | 52 | -1.00 | 0.00 | -132.84 | 16 034.84 | end of test |
| 2018.11.12 23:59:59 | 40 | GLD | sell | out | 16.00 | 113.61 | 53 | -1.00 | 0.00 | 63.52 | 16 097.36 | end of test |
| 2018.11.12 23:59:59 | 41 | GLD | sell | out | 14.00 | 113.61 | 54 | -1.00 | 0.00 | 146.44 | 16 242.80 | end of test |
| 2018.11.12 23:59:59 | 42 | GLD | sell | out | 7.00 | 113.61 | 55 | -1.00 | 0.00 | 7.70 | 16 249.50 | end of test |
| 2018.11.12 23:59:59 | 43 | SHY | sell | out | 37.00 | 82.97 | 56 | -1.00 | 0.00 | -53.65 | 16 194.85 | end of test |
| 2018.11.12 23:59:59 | 44 | SHY | sell | out | 29.00 | 82.97 | 57 | -1.00 | 0.00 | -42.05 | 16 151.80 | end of test |
| 2018.11.12 23:59:59 | 45 | VTI | sell | out | 1.00 | 139.81 | 58 | -1.00 | 0.00 | 75.49 | 16 226.29 | end of test |
| 2018.11.12 23:59:59 | 46 | TLTUS | sell | out | 1.00 | 114.09 | 59 | -1.00 | 0.00 | 19.95 | 16 245.24 | end of test |
| 2018.11.12 23:59:59 | 47 | TLTUS | sell | out | 1.00 | 114.09 | 60 | -1.00 | 0.00 | 24.18 | 16 268.42 | end of test |
| 2018.11.12 23:59:59 | 48 | SHY | sell | out | 15.00 | 82.97 | 61 | -1.00 | 0.00 | -25.95 | 16 241.47 | end of test |
| 2018.11.12 23:59:59 | 49 | TLTUS | sell | out | 6.00 | 114.09 | 62 | -1.00 | 0.00 | 126.12 | 16 366.59 | end of test |
| 2018.11.12 23:59:59 | 50 | SHY | sell | out | 31.00 | 82.97 | 63 | -1.00 | 0.00 | 48.98 | 16 414.57 | end of test |
| -49.00 | 0.00 | 6 463.57 | 16 414.57 | |||||||||