Trading system back testing
We have performed 10 years back testing for our mechanical trading system on the historical data
of EUR/USD pair, on daily chart, from 2001 till 2011.
The back testing has generated 137 trades with a compounded return +192.8%.
Profitability %: 89.5%
Maximum Peak to Trough DrawDown: -2%
Average Stop loss: 180 pips
Average Monthly return: +1.25%
Standard Deviation: 1.23%
Sharp Ratio: 3.30
Monthly VaR at 95% confidence level: -1%
Average Trade Life Span: 4 days