WFO Summary (Out-of-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 2003/06/30 – 2004/11/19 508 92,474 401.45 -5,018.25 5.02% 90 56.67% 0.78 4.46 601.46 78.41 1.02 0.06 47.20%
2 2004/11/19 – 2006/03/30 496 92,474 -4,286.02 -5,780.18 5.78% 80 50.00% 0.79 -53.58 568.88 -3.7 0.79 -0.55 20.11%
3 2006/03/30 – 2007/08/08 496 92,474 25,079.84 -2,882.39 2.88% 93 64.52% 1.62 269.68 720.58 203.41 2.95 6.4 0.02%
4 2007/08/08 – 2008/12/15 495 92,474 103,123.61 -2,060.80 2.06% 85 83.53% 2.2 1213.22 1502.55 1028.41 11.14 36.9 0.00%
5 2008/12/15 – 2010/04/01 472 92,474 30,107.66 -3,507.39 3.51% 97 64.95% 1.41 310.39 816.48 328.41 2.62 6.64 0.02%
6 2010/04/01 – 2011/08/10 496 92,474 27,666.22 -3,465.94 3.47% 87 66.67% 1.18 318 988.63 353.41 2.36 5.87 0.18%
7 2011/08/10 – 2012/11/28 476 92,474 16,010.75 -4,368.80 4.37% 97 62.89% 0.95 165.06 869.19 253.41 1.61 2.81 3.22%
8 2012/11/28 – 2014/04/01 489 92,474 24,658.69 -4,075.61 4.08% 107 54.21% 2.08 230.46 742.21 103.38 2.46 4.52 0.09%
9 2014/04/01 – 2015/07/30 485 92,474 44,935.16 -3,207.39 3.21% 89 75.28% 1.46 504.89 845.26 478.38 4.46 10.54 0.00%
10 2015/07/30 – 2016/11/21 480 92,474 28,841.00 -6,240.39 6.24% 109 55.96% 1.46 264.6 1139.93 103.38 1.85 3.51 0.85%
TOTAL 4,893 924,740 296,538.36 934
Largest 103,123.61 -6,240.39 6.24% 109 83.53% 2.2 1213.22 1502.55 1028.41 11.14 36.9 47.20%
Average 29,653.84 -4,060.72 4.06% 93 63.47% 1.39 322.72 879.52 292.69 3.13 7.67 7.17%
Smallest -4,286.02 -2,060.80 2.06% 80 50.00% 0.78 -53.58 568.88 -3.7 0.79 -0.55 0.00%
Annualized P/L 22,120.68
Walk-Forward Efficiency 118.12%