Backtesting
Full portfolio — H1 / H4
Six-strategy portfolio · Long and short · 1 May 2003 → 30 Sept 2025 · 22.42 years
Portfolio simulation · $1,000,000 initial deposit
Cumulative return
Cumulative return on the $1,000,000 simulated account, from the report's month-by-month record.
Drawdown
How far the account sat below its own previous high at every point in the test. The deepest point is the maximum drawdown — rebuilt here from the trade record, and it matches the 9.80% the report states.
Return by year
Compounded return for each calendar year of the test.
Month by month
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | +1.0 | -0.5 | +1.0 | +0.6 | -0.3 | +2.3 | -3.0 | -4.0 | -3.0 | ||||
| 2004 | +0.6 | +0.5 | -1.7 | +0.8 | -0.2 | +0.1 | -1.1 | +3.3 | -1.5 | +0.5 | +1.6 | +0.0 | +2.9 |
| 2005 | +1.2 | +4.4 | +0.3 | -1.4 | -1.1 | -0.6 | +0.6 | -0.9 | +0.4 | +2.5 | +0.4 | -0.8 | +5.0 |
| 2006 | +0.4 | +0.9 | +2.7 | -0.9 | +0.1 | +1.8 | -2.6 | +1.3 | -1.1 | +2.6 | +0.4 | +2.2 | +8.0 |
| 2007 | -0.5 | -1.0 | -0.6 | +6.1 | -2.1 | +1.5 | +1.5 | -0.3 | +3.2 | +1.2 | -0.4 | +2.9 | +11.7 |
| 2008 | +2.0 | +2.3 | +1.7 | +1.6 | +2.1 | +1.6 | -0.9 | +0.3 | -0.2 | +1.2 | +0.2 | +1.9 | +14.6 |
| 2009 | +1.9 | +1.1 | +2.0 | -0.2 | +2.8 | +1.1 | +3.1 | -1.5 | -2.0 | +1.5 | +0.5 | +1.4 | +12.4 |
| 2010 | +2.8 | -0.8 | +2.1 | +5.5 | -1.7 | +3.4 | +1.5 | -0.2 | +2.5 | +0.1 | -0.4 | -0.2 | +15.6 |
| 2011 | +0.6 | +2.3 | +0.3 | +0.9 | +0.9 | -1.3 | +1.3 | +4.1 | +2.4 | +1.7 | -0.3 | -1.6 | +11.6 |
| 2012 | +4.3 | +1.5 | +2.5 | +1.4 | -0.9 | +1.4 | -2.0 | +3.4 | +3.3 | +1.5 | +3.8 | -1.0 | +20.6 |
| 2013 | +3.8 | -0.4 | +1.0 | +3.0 | +1.6 | -0.3 | -0.1 | +1.8 | +1.3 | -0.4 | -1.0 | +0.7 | +11.5 |
| 2014 | -0.1 | -1.6 | +1.3 | -1.8 | +0.1 | +2.9 | +0.6 | -1.0 | +1.9 | +1.1 | +3.0 | +0.4 | +6.8 |
| 2015 | +2.9 | -0.7 | -1.2 | +1.6 | -1.0 | +0.1 | -0.8 | +2.3 | +1.3 | -1.0 | -0.2 | -0.4 | +2.9 |
| 2016 | -0.1 | +0.9 | +1.3 | +1.9 | -0.8 | +3.7 | -0.0 | +3.3 | -0.3 | -0.1 | -0.4 | +1.6 | +11.5 |
| 2017 | +1.3 | +0.8 | -0.6 | +0.2 | +1.2 | +1.4 | -0.3 | +1.3 | -0.9 | +1.2 | -0.9 | +2.2 | +7.2 |
| 2018 | +1.9 | +0.3 | -0.1 | -0.1 | -0.9 | +1.0 | +1.1 | +1.6 | -0.9 | +0.8 | -0.8 | +1.6 | +5.7 |
| 2019 | +0.9 | +0.5 | +2.7 | -0.7 | +0.1 | +1.1 | +0.0 | -1.1 | +0.7 | +0.1 | -0.0 | +1.1 | +5.4 |
| 2020 | +1.9 | -0.0 | +0.4 | -0.5 | +0.6 | +0.5 | +2.4 | -0.0 | +0.9 | +0.8 | -1.0 | +1.4 | +7.4 |
| 2021 | -0.0 | +0.2 | +0.2 | +0.0 | +2.7 | -0.7 | +0.3 | -0.9 | -0.6 | +1.6 | -0.3 | +1.3 | +4.0 |
| 2022 | -0.2 | +0.4 | -0.9 | +0.9 | +0.0 | +1.1 | -0.7 | +0.9 | +0.5 | +0.0 | +0.3 | +0.4 | +2.9 |
| 2023 | +0.8 | +0.9 | +1.6 | +1.0 | +0.9 | +1.6 | -0.3 | -0.1 | -0.9 | +0.6 | +1.5 | +0.9 | +8.8 |
| 2024 | -0.0 | +0.7 | +0.6 | +1.1 | +0.1 | +0.0 | +0.9 | +0.6 | +0.3 | +0.2 | -0.1 | -0.1 | +4.6 |
| 2025 | -0.2 | +0.2 | +1.2 | +0.5 | +0.1 | +0.4 | -0.1 | +0.4 | +0.3 | +2.9 |
Trade composition
Winning vs losing trades
2,619 wins(52.8%)2,340 losses
Gross profit vs gross loss
$17,016,100 won(57.7%)$12,453,842 lost
Average win vs average loss
$6,497.17 per win(55.0%)$5,322.15 per loss
Longest winning vs losing streak
11 wins in a row(55.0%)9 losses in a row
How the result breaks down across every trade in the test.
Portfolio simulation · $1,000,000 initial deposit
Statistics
- Wins / losses ratio
- 1.12
- Payout ratio
- 1.22
- Expectancy
- $920.00
- Standard deviation
- $7,943.48
- Market exposure
- 27.04%
- Average bars in trade
- 6.41
- AHPR
- 19.84
- Z-score
- 1.62
- Z-probability
- 5.26%
- Longest stagnation
- 484 d
- Stagnation
- 5.92%
Trades
- Winning trades
- 2,619
- Losing trades
- 2,340
- Cancelled / expired
- 1
- Gross profit
- $17,016,100.00
- Gross loss
- $12,453,842.00
- Average win
- $6,497.17
- Average loss
- $5,322.15
- Largest win
- $122,093.06
- Largest loss
- -$13,456.38
- Longest winning streak
- 11
- Longest losing streak
- 9
- Average bars in wins
- 7.07
- Average bars in losses
- 5.67
Headline metrics
- Net profit
- $4,562,258.50
- Total return
- +456.2%
- Sharpe ratio
- 1.69
- Average trade
- $920.00
- Average yearly profit
- $207,375.36
- Average yearly return
- 20.74%
- Maximum drawdown
- $115,535.75
- Annual return / max drawdown
- 0.83
- R expectancy
- 0.17
- Strategy quality number
- 1.16
- SQN score
- 2.56
- Profit in ticks
- 1,027,728
Source document
The source report also contains breakdown charts (profit by hour, by weekday, long versus short, by trade duration) and the trade-by-trade list.
SHA-2568f17b4055cc3190ac2102e50f11fbf6e1e2a045dab5fb121e781e09b70b85a51
Simulated results. These figures come from historical backtests, not live trading. Backtested performance is hypothetical, benefits from hindsight, and is not a reliable indicator of future results.
Our live, independently verified track record is on the results page.