WFO Summary (In-Sample) (DC Rocks US ES5)

Run Inputs Period Days Bars NetProfit MaxDD MaxDD% #Trades %Profitable Avg W/L AvgTrd StdDev Median PFact R/R Ratio t-Test Inputs
1 1997/09/18 – 2003/06/30 2,111 277,422 44,460.36 -14,179.78 14.18% 430 55.58% 1.03 103.4 1038.22 128.4 1.29 0.54 1.98%
2 2000/01/25 – 2004/11/19 1,760 277,422 31,623.61 -14,179.78 14.18% 350 57.43% 0.94 90.35 998.34 128.41 1.27 0.46 4.57%
3 2002/01/09 – 2006/03/30 1,541 277,422 16,772.91 -5,780.18 5.78% 289 56.40% 0.94 58.04 787.43 78.41 1.21 0.69 10.56%
4 2003/07/01 – 2007/08/08 1,499 277,422 21,195.28 -5,780.18 5.78% 263 57.41% 1.03 80.59 652.65 78.41 1.39 0.89 2.31%
5 2004/12/01 – 2008/12/15 1,475 277,422 129,167.44 -5,780.18 5.78% 258 66.28% 2.03 500.65 1192.15 278.41 4 5.53 0.00%
6 2006/04/17 – 2010/04/01 1,445 277,422 163,561.11 -3,507.39 3.51% 275 70.55% 2.06 594.77 1178.52 403.41 4.93 11.78 0.00%
7 2007/08/17 – 2011/08/10 1,454 277,422 166,147.48 -3,507.39 3.51% 269 71.38% 1.76 617.65 1242.66 503.41 4.38 11.89 0.00%
8 2008/12/22 – 2012/11/28 1,437 277,422 73,784.91 -4,368.77 4.37% 281 64.77% 1.16 262.58 893.61 278.41 2.13 4.29 0.00%
9 2010/04/22 – 2014/04/01 1,440 277,422 68,335.94 -4,368.77 4.37% 291 60.82% 1.34 234.83 866.19 203.41 2.08 3.96 0.00%
10 2011/08/17 – 2015/07/30 1,443 277,422 85,605.09 -4,368.77 4.37% 293 63.48% 1.46 292.17 829.93 253.38 2.53 4.96 0.00%
TOTAL 15,605 2,774,220 800,654.13 2,999
Largest 166,147.48 -14,179.78 14.18% 430 71.38% 2.06 617.65 1242.66 503.41 4.93 11.89 10.56%
Average 80,065.41 -6,582.12 6.58% 300 62.41% 1.37 283.5 967.97 233.4 2.52 4.5 1.94%
Smallest 16,772.91 -3,507.39 3.51% 258 55.58% 0.94 58.04 652.65 78.41 1.21 0.46 0.00%
Annualized P/L 18,727.25
PostOptimization Risk 9,873.18
Recommended parameters
for next 489 days: (92474 bars)
Current 2012/12/11 – 2016/11/21 1,441 277,422 98,435.06 -6,240.39 6.24% 305 60.98% 1.63 322.74 938.09 228.38 2.55 4 0.00%