I develped an EA for MetaTrader 4 and tested it on USDCHF. The result for a 2 year period from Sep 20,04 to Sep 20, 06 with 1% VAR (Value At Risk) is as follows. If I increase the VAR to 5% the net profit will increase to over 170,000.00 USD.
Strategy Tester Report
USDCHF_Pip_Boxer
<TABLE cellSpacing=1 cellPadding=3 width=820 border=0><TBODY><TR align=left><TD colSpan=2>Symbol</TD><TD colSpan=4>USDCHF (US Dollar Vs Swiss Franc)</TD></TR><TR align=left><TD colSpan=2>Period</TD><TD colSpan=4>15 Minutes (M15) 2004.09.20 00:00 - 2006.09.20 00:00 (2004.09.20 - 2006.09.20)</TD></TR><TR align=left><TD colSpan=2>Model</TD><TD colSpan=4>Every tick (based on all available least timeframes with fractal interpolation of every tick)</TD></TR><TR align=left><TD colSpan=2>Parameters</TD><TD colSpan=4>Value_At_Risk=1%</TD></TR><TR align=left><TD colSpan=2><TR align=left><TD>Bars in test</TD><TD align=right>55987</TD><TD>Ticks modelled</TD><TD align=right>2620676</TD><TD>Modelling quality</TD><TD align=right>90.00%</TD></TR><TR height=8><TD colSpan=6></TD></TR><TR align=left><TD>Initial deposit</TD><TD align=right>10000.00</TD><TD></TD><TD align=right></TD><TD></TD><TD align=right></TD></TR><TR align=left><TD>Total net profit</TD><TD align=right>7838.19</TD><TD>Gross profit</TD><TD align=right>33759.03</TD><TD>Gross loss</TD><TD align=right>-25920.83</TD></TR><TR align=left><TD>Profit factor</TD><TD align=right>1.30</TD><TD>Expected payoff</TD><TD align=right>14.57</TD><TD></TD><TD align=right></TD></TR><TR align=left><TD>Absolute drawdown</TD><TD align=right>150.82</TD><TD>Maximal drawdown</TD><TD align=right>1509.74 (9.49%)</TD><TD>Relative drawdown</TD><TD align=right>9.49% (1509.74)</TD></TR><TR height=8><TD colSpan=6></TD></TR><TR align=left><TD>Total trades</TD><TD align=right>538</TD><TD>Short positions (won %)</TD><TD align=right>275 (65.09%)</TD><TD>Long positions (won %)</TD><TD align=right>263 (65.78%)</TD></TR><TR align=left><TD align=right colSpan=2></TD><TD>Profit trades (% of total)</TD><TD align=right>352 (65.43%)</TD><TD>Loss trades (% of total)</TD><TD align=right>186 (34.57%)</TD></TR><TR align=left><TD align=right colSpan=2>Largest</TD><TD>profit trade</TD><TD align=right>206.83</TD><TD>loss trade</TD><TD align=right>-189.51</TD></TR><TR align=left><TD align=right colSpan=2>Average</TD><TD>profit trade</TD><TD align=right>95.91</TD><TD>loss trade</TD><TD align=right>-139.36</TD></TR><TR align=left><TD align=right colSpan=2>Maximum</TD><TD>consecutive wins (profit in money)</TD><TD align=right>12 (1694.08)</TD><TD>consecutive losses (loss in money)</TD><TD align=right>5 (-698.82)</TD></TR><TR align=left><TD align=right colSpan=2>Maximal</TD><TD>consecutive profit (count of wins)</TD><TD align=right>1694.08 (12)</TD><TD>consecutive loss (count of losses)</TD><TD align=right>-698.82 (5)</TD></TR><TR align=left><TD align=right colSpan=2>Average</TD><TD>consecutive wins</TD><TD align=right>3</TD><TD>consecutive losses</TD><TD align=right>2</TD></TR></TBODY></TABLE>
http://www.fxnewstrader.com/fximages...p_boxer_b1.gif
Strategy Tester Report
USDCHF_Pip_Boxer
<TABLE cellSpacing=1 cellPadding=3 width=820 border=0><TBODY><TR align=left><TD colSpan=2>Symbol</TD><TD colSpan=4>USDCHF (US Dollar Vs Swiss Franc)</TD></TR><TR align=left><TD colSpan=2>Period</TD><TD colSpan=4>15 Minutes (M15) 2004.09.20 00:00 - 2006.09.20 00:00 (2004.09.20 - 2006.09.20)</TD></TR><TR align=left><TD colSpan=2>Model</TD><TD colSpan=4>Every tick (based on all available least timeframes with fractal interpolation of every tick)</TD></TR><TR align=left><TD colSpan=2>Parameters</TD><TD colSpan=4>Value_At_Risk=1%</TD></TR><TR align=left><TD colSpan=2><TR align=left><TD>Bars in test</TD><TD align=right>55987</TD><TD>Ticks modelled</TD><TD align=right>2620676</TD><TD>Modelling quality</TD><TD align=right>90.00%</TD></TR><TR height=8><TD colSpan=6></TD></TR><TR align=left><TD>Initial deposit</TD><TD align=right>10000.00</TD><TD></TD><TD align=right></TD><TD></TD><TD align=right></TD></TR><TR align=left><TD>Total net profit</TD><TD align=right>7838.19</TD><TD>Gross profit</TD><TD align=right>33759.03</TD><TD>Gross loss</TD><TD align=right>-25920.83</TD></TR><TR align=left><TD>Profit factor</TD><TD align=right>1.30</TD><TD>Expected payoff</TD><TD align=right>14.57</TD><TD></TD><TD align=right></TD></TR><TR align=left><TD>Absolute drawdown</TD><TD align=right>150.82</TD><TD>Maximal drawdown</TD><TD align=right>1509.74 (9.49%)</TD><TD>Relative drawdown</TD><TD align=right>9.49% (1509.74)</TD></TR><TR height=8><TD colSpan=6></TD></TR><TR align=left><TD>Total trades</TD><TD align=right>538</TD><TD>Short positions (won %)</TD><TD align=right>275 (65.09%)</TD><TD>Long positions (won %)</TD><TD align=right>263 (65.78%)</TD></TR><TR align=left><TD align=right colSpan=2></TD><TD>Profit trades (% of total)</TD><TD align=right>352 (65.43%)</TD><TD>Loss trades (% of total)</TD><TD align=right>186 (34.57%)</TD></TR><TR align=left><TD align=right colSpan=2>Largest</TD><TD>profit trade</TD><TD align=right>206.83</TD><TD>loss trade</TD><TD align=right>-189.51</TD></TR><TR align=left><TD align=right colSpan=2>Average</TD><TD>profit trade</TD><TD align=right>95.91</TD><TD>loss trade</TD><TD align=right>-139.36</TD></TR><TR align=left><TD align=right colSpan=2>Maximum</TD><TD>consecutive wins (profit in money)</TD><TD align=right>12 (1694.08)</TD><TD>consecutive losses (loss in money)</TD><TD align=right>5 (-698.82)</TD></TR><TR align=left><TD align=right colSpan=2>Maximal</TD><TD>consecutive profit (count of wins)</TD><TD align=right>1694.08 (12)</TD><TD>consecutive loss (count of losses)</TD><TD align=right>-698.82 (5)</TD></TR><TR align=left><TD align=right colSpan=2>Average</TD><TD>consecutive wins</TD><TD align=right>3</TD><TD>consecutive losses</TD><TD align=right>2</TD></TR></TBODY></TABLE>
http://www.fxnewstrader.com/fximages...p_boxer_b1.gif