Strategy Overview
Forex Strategy Builder v2.10.0.0
Strategy name: Generated
Date: 17/12/2009 09:49:59
Table of Contents
DescriptionLogic
Environment
Strategy Properties
Indicator Slots
Statistic Information
Additional Statistics
Description
This is an "empty" strategy.
You can use it as a base to build your strategy from scratch.
Feel free to experiment!
You can set the opening and the closing point of the position, add opening or closing logic conditions, and adjust the strategy properties.
The "Opening Point of the Position" slot shows the price, at which the strategy enters the market and adds/removes from an open position. We enter the market at a price level determined by an indicator value or by time ("Bar Opening" for example). However, before we open position we need confirmation from the "Opening Logic Condition" slots.
The "Opening Logic Conditions" basically tell you whether to enter the market or not when the entry price has been reached. They also determine the position's direction (whether we enter short or long). There is no any "Opening Logic Condition" in this strategy and that leads to undetermined entry direction. Because of that the program doesn’t open positions during the backtest.
The "Closing Point of the Position" sets the exit price. If you set it at "Bar Closing", you can add "Closing Logic Conditions". They will block the exit until at least one of them is fulfilled. If you do not use "Closing Logic Conditions", the position will be closed when the "Closing Point" is reached.
The Strategy Overview explains the strategy logic in an additional window and can be exported to a file.
Look in the forum for help or more information on creating forex strategies.
Remember! The strategy slots describe the long position logic only. Forex Strategy Builder will set the short position logic automatically using the same logic but in the opposite direction.
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Modified by the strategy generator on 06/12/2009 10.12.
Out of sample testing [percent of bars]: 30%
Balance: 64634,00 USD (28/06/2007 7.00 Bar: 34999)
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Modified by the strategy generator on 06/12/2009 10.37.
Out of sample testing [percent of bars]: 30%
Balance: 174961,17 USD (28/06/2007 7.00 Bar: 34999)
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Modified by the strategy generator on 16/12/2009 11.26.
Out of sample testing [percent of bars]: 30%
Balance: 33598,54 USD (20/06/2007 0.00 Bar: 1420)
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Modified by the strategy generator on 16/12/2009 11.33.
Out of sample testing [percent of bars]: 30%
Balance: 386700,47 USD (23/12/2008 0.00 Bar: 511)
Logic
Opening (Entry Signal)
Open a new long position 1 pips above an Up Fractal when the following logic condition is satisfied:
- the bar opens below the Upper Band of Envelopes* (Simple, Close, 22, 3,36).
Open a new short position 1 pips below a Down Fractal when the following logic condition is satisfied:
- the bar opens above the Lower Band of Envelopes* (Simple, Close, 22, 3,36).
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:
- No averaging is allowed. Cancel any additional orders which are in the same direction.
Entry signal in the opposite direction:
- No modification of the present position is allowed. Cancel any additional orders which are in the opposite direction.
Trading Size
Trade percent of your account.
- Opening of a new position - 20% of the account equity.
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.
Environment
Market
| Symbol | - USDJPY |
| Time frame | - 1 Day |
Account
| Initial account | - 10000,00 USD |
| Lot size | - 100000 |
| Leverage | - 1/100 |
| Required margin | - 1110,12 USD* for each open lot |
Charges
| Spread | - 3 pips | (33,30 USD*) |
| Swap number for a long position rollover | - 1 pips | (11,10 USD*) |
| Swap number for a short position rollover | - -1 pips | (11,10 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!
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 | - 20 |
| Number of entry lots for a new position | - 20% of the account equity |
| In case of addition - number of lots to add | - 2% of the account equity |
| In case of reduction - number of lots to close | - 1% of the account equity |
Permanent Protection
Permanent Stop Loss - None
Indicator Slots
The slots show the logic for the long positions only. Forex Strategy Builder automatically computes the proper logic for the short positions.
| Same direction signal | - Nothing |
| Opposite direction signal | - Nothing |
| Permanent Stop Loss | - None |
| Permanent Take Profit | - 190 |
| Visibility | - The fractal is visible |
| Vertical shift | - 1 |
| Smoothing method | - Simple |
| Base price | - Close |
| MA period | - 22 |
| Deviation % | - 3,36 |
| Use previous bar value | - Yes |
| Base price | - Close |
Statistic Information
| Market | Account | ||
|---|---|---|---|
| Symbol | USDJPY | Intrabar scanning | Accomplished |
| Period | 1 Day | Interpolation method | Pessimistic scenario |
| Number of bars | 2030 | Ambiguous bars | 0 |
| Date of updating | 30/10/09 | Tested bars | 2005 |
| Time of updating | 00:00 | Initial account | 10000,00 USD |
| Date of beginning | 02/01/02 | Account balance | 1122581,22 USD |
| Time of beginning | 00:00 | Minimum account | 7656,24 USD |
| Minimum price | 87,11 | Maximum account | 1125977,33 USD |
| Maximum price | 135,15 | Maximum drawdown | 98856,29 USD |
| Average Gap | 3 pips | Gross profit | 2248446,69 USD |
| Maximum Gap | 232 pips | Gross loss | -1135865,47 USD |
| Average High-Low | 107 pips | Sent orders | 6485 |
| Maximum High-Low | 714 pips | Executed orders | 487 |
| Average Close-Open | 54 pips | Traded lots | 9083,38 |
| Maximum Close-Open | 651 pips | Winning trades | 143 |
| Maximum days off | 4 | Losing trades | 100 |
| Maximum data bars | 50000 | Win/loss ratio | 0,59 |
| No data older than | 01/01/2002 | Time in position | 34 % |
| No data newer than | No limits | Charged spread | 125012,89 USD |
| Fill In Data Gaps | Switched off | Charged rollover | 76124,97 USD |
| Cut Off Bad Data | Switched off | Charged commission | 0,00 USD |
| Charged slippage | 0,00 USD | ||
| Total charges | 201137,86 USD | ||
| Balance without charges | 1323719,08 USD | ||
| Account exchange rate | Deal price | ||
Additional Statistics
| Parameter | Long + Short | Long | Short |
|---|---|---|---|
| Initial account | 10000,00 USD | 10000,00 USD | 10000,00 USD |
| Account balance | 1122581,22 USD | 445325,31 USD | 687255,91 USD |
| Net profit | 1112581,22 USD | 435325,31 USD | 677255,91 USD |
| Net profit % | 11125,81% | 4353,25% | 6772,56% |
| Gross profit | 2248446,69 USD | 981167,26 USD | 1267279,43 USD |
| Gross loss | -1135865,47 USD | -545841,95 USD | -590023,52 USD |
| Profit factor | 1,98 | 1,80 | 2,15 |
| Annualized profit | 142089,62 USD | 55596,13 USD | 86493,49 USD |
| Annualized profit % | 1420,90% | 555,96% | 864,93% |
| Minimum account | 7656,24 USD | 7042,85 USD | 8448,53 USD |
| Minimum account date | 19/04/2002 | 14/06/2002 | 19/04/2002 |
| Maximum account | 1125977,33 USD | 445325,31 USD | 714662,33 USD |
| Maximum account date | 25/09/2009 | 23/10/2009 | 25/09/2009 |
| Absolute drawdown | 2343,76 USD | 2957,15 USD | 1551,47 USD |
| Maximum drawdown | 98856,29 USD | 57393,47 USD | 71147,60 USD |
| Maximum drawdown % | 41,05% | 31,99% | 43,16% |
| Maximum drawdown date | 13/02/2004 | 12/11/2004 | 13/02/2004 |
| Historical bars | 2030 | 2030 | 2030 |
| Tested bars | 2005 | 2005 | 2005 |
| Bars with trades | 691 | 355 | 336 |
| Bars with trades % | 34,46% | 17,71% | 16,76% |
| Number of trades | 243 | 116 | 127 |
| Winning trades | 143 | 69 | 74 |
| Losing trades | 100 | 47 | 53 |
| Win/loss ratio | 1,43 | 1,47 | 1,40 |
| Maximum profit | 41485,45 USD | 39232,32 USD | 41485,45 USD |
| Average profit | 15723,40 USD | 14219,82 USD | 17125,40 USD |
| Maximum loss | -36799,32 USD | -36799,32 USD | -31891,61 USD |
| Average loss | -11358,65 USD | -11613,66 USD | -11132,52 USD |
| Expected payoff | 4578,52 USD | 3752,80 USD | 5332,72 USD |
| Average holding period returns | 2,40% | 4,65% | 4,24% |
| Geometric holding period returns | 1,96% | 3,33% | 3,39% |
| Sharpe ratio | 0,25 | 0,26 | 0,30 |