RBOにマネーマネジメント導入しました。
検証期間
1978/5/24～2009/12/8
Expert Advisors Report ～
Bars in test 8315
Ticks modelled 245466
Modelling quality n/a
Mismatched charts errors 192
Initial deposit 10000.00
Total net profit 2224119.76
Gross profit 6161234.88
Gross loss -3937115.12
Profit factor 1.56
Expected payoff 911.90
Absolute drawdown 219.41
Maximal drawdown 173268.66 (7.41%)
Relative drawdown 19.31% (22558.77)
Total trades 2439
Short positions (won %) 1410 (52.13%)
Long positions (won %) 1029 (59.57%)
Profit trades (% of total) 1348 (55.27%)
Loss trades (% of total) 1091 (44.73%)
Largest
profit trade 46662.87
loss trade -45939.10
Average
profit trade 4570.65
loss trade -3608.72
Maximum
consecutive wins (profit in money) 12 (98056.89)
consecutive losses (loss in money) 16 (-1253.02)
Maximal
consecutive profit (count of wins) 169297.25 (8)
consecutive loss (count of losses) -104020.92 (4)
Average
consecutive wins 2
consecutive losses 2
そろそろフォワードテストをしてみたいと思います。