Backtesting
CHF/JPY — H4
A.V. MAGIC 4.4.19 · Long only · 4 Aug 2003 → 25 Sept 2025 · 22.14 years
Fixed-size test · 0.01 lots · $10,000 initial deposit
Cumulative return
Cumulative return on the $10,000 test account, rebuilt from the report's own trade-by-trade 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 45.50% 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 | +22.9 | -7.4 | -18.5 | +13.3 | +5.0 | ||||||||
| 2004 | +13.6 | -8.6 | -3.4 | +12.9 | +1.5 | -1.8 | -6.5 | +6.6 | -10.0 | +11.3 | +10.5 | +4.7 | +30.5 |
| 2005 | -12.7 | +31.9 | +5.8 | -9.5 | -0.5 | -2.8 | -5.4 | +6.4 | -11.2 | +21.1 | -0.7 | +1.3 | +16.1 |
| 2006 | -7.0 | +8.7 | +7.2 | -8.4 | +5.3 | +4.7 | -7.4 | +5.7 | -8.1 | -2.7 | +11.0 | +1.4 | +7.9 |
| 2007 | +1.3 | -3.9 | +2.4 | +8.3 | +0.8 | +7.8 | +2.8 | -7.5 | +13.3 | +0.8 | -7.3 | +4.3 | +23.0 |
| 2008 | -2.0 | +2.9 | +6.0 | -2.7 | +4.6 | -0.1 | -4.3 | -10.2 | +15.0 | -33.1 | +16.5 | -16.1 | |
| 2009 | -17.5 | +17.3 | +33.5 | +1.7 | +4.6 | -2.6 | +4.2 | -14.0 | -18.6 | +12.9 | +1.2 | +5.7 | +18.0 |
| 2010 | -13.2 | -1.7 | +22.1 | +0.1 | -11.2 | +13.4 | +9.5 | +1.7 | -2.6 | -1.7 | -9.0 | -2.5 | -0.5 |
| 2011 | -2.8 | +8.5 | -1.4 | +3.1 | +1.6 | -3.4 | +30.3 | -4.8 | -4.3 | +10.5 | -10.7 | -0.6 | +22.5 |
| 2012 | +6.8 | +9.0 | -2.2 | -3.7 | -6.8 | -2.8 | -4.5 | +4.0 | -1.2 | -1.0 | +6.7 | +7.8 | +10.9 |
| 2013 | +34.7 | -7.8 | +2.7 | +13.0 | -3.9 | +2.4 | +0.0 | +2.2 | -4.5 | +1.9 | +2.6 | +9.4 | +58.1 |
| 2014 | -3.6 | +3.3 | -0.3 | -2.9 | -1.9 | +0.6 | -1.7 | -0.3 | -0.9 | +6.1 | +5.1 | -4.5 | -1.7 |
| 2015 | +53.6 | -8.7 | -4.7 | -4.7 | +1.9 | -1.4 | -0.6 | +3.8 | +0.6 | -2.5 | -1.1 | -2.7 | +24.7 |
| 2016 | -4.1 | -1.4 | +5.5 | +0.3 | -5.9 | +3.9 | +6.1 | +1.1 | -7.0 | +0.0 | +6.1 | +1.9 | +5.5 |
| 2017 | +3.3 | +3.0 | -5.7 | -2.0 | +3.8 | +1.5 | -1.3 | -1.6 | +1.7 | +1.5 | +1.8 | +3.2 | +9.1 |
| 2018 | +9.4 | -2.5 | +2.3 | +0.2 | +0.2 | +0.0 | +1.8 | +4.9 | +2.0 | -2.0 | +0.3 | -0.9 | +16.4 |
| 2019 | +3.0 | +2.9 | +1.7 | +0.2 | -1.1 | +0.3 | +0.1 | -0.9 | +2.7 | +2.0 | -1.0 | +1.2 | +11.4 |
| 2020 | +0.7 | -1.8 | -4.0 | +1.6 | +2.2 | +1.5 | +1.5 | -0.8 | +2.2 | +0.8 | +2.6 | +1.0 | +7.7 |
| 2021 | -1.1 | +0.9 | -0.5 | +0.2 | -0.9 | -0.0 | +1.3 | -2.4 | -1.4 | +0.8 | -1.4 | +0.7 | -3.9 |
| 2022 | -1.8 | +1.4 | +0.8 | +3.2 | -1.4 | +6.8 | -3.3 | +3.2 | -1.6 | -3.7 | -4.1 | +1.1 | +0.1 |
| 2023 | -0.4 | -0.3 | +2.2 | +5.2 | -1.2 | +4.1 | +0.4 | +0.4 | -2.6 | +0.4 | +2.7 | +4.6 | +16.3 |
| 2024 | +1.5 | +0.5 | +1.6 | +1.1 | +2.8 | +0.0 | -1.4 | -2.8 | +0.8 | +6.7 | -1.8 | +2.4 | +11.7 |
| 2025 | -3.2 | +3.6 | +0.3 | +3.7 | +0.0 | +4.4 | -0.1 | +0.5 | +2.0 | +11.5 |
Trade composition
Winning vs losing trades
425 wins(53.1%)376 losses
Gross profit vs gross loss
$438,799 won(57.4%)$326,205 lost
Average win vs average loss
$1,032.47 per win(54.3%)$867.57 per loss
Longest winning vs losing streak
7 wins in a row(46.7%)8 losses in a row
How the result breaks down across every trade in the test.
Fixed-size test · 0.01 lots · $10,000 initial deposit
Statistics
- Wins / losses ratio
- 1.13
- Payout ratio
- 1.19
- Expectancy
- $140.57
- Standard deviation
- $1,491.19
- Market exposure
- 25.22%
- Average bars in trade
- 12.58
- AHPR
- 48.95
- Z-score
- 1.81
- Z-probability
- 3.51%
- Longest stagnation
- 1,110 d
- Stagnation
- 13.78%
Trades
- Winning trades
- 425
- Losing trades
- 376
- Gross profit
- $438,799.44
- Gross loss
- $326,204.84
- Average win
- $1,032.47
- Average loss
- $867.57
- Largest win
- $24,418.61
- Largest loss
- -$4,543.29
- Longest winning streak
- 7
- Longest losing streak
- 8
- Average bars in wins
- 14.07
- Average bars in losses
- 10.91
Headline metrics
- Net profit
- $112,594.60
- Total return
- +1125.9%
- Sharpe ratio
- 0.56
- Average trade
- $140.57
- Average yearly profit
- $5,117.91
- Average yearly return
- 51.18%
- Maximum drawdown
- $16,717.59
- Annual return / max drawdown
- 0.27
- R expectancy
- 0.16
- Strategy quality number
- 0.94
- SQN score
- 0.36
- Profit in ticks
- 902,002
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-256b52e62e50138a8d896c4007afe7d499e3feabe25f160196655e7f5593d57cb78
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.