Backtesting
USD/CNH — H1
MAGIC 2.6.14 · Short only · 27 Jun 2012 → 25 Sept 2025 · 13.25 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 13.51% 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2012 | +1.8 | +0.5 | +2.2 | +2.1 | -1.6 | -3.4 | +1.4 | ||||||
| 2013 | +0.5 | -0.6 | +0.5 | +2.3 | +3.3 | +1.6 | +0.3 | -1.6 | -0.9 | -1.8 | -0.5 | -0.4 | +2.7 |
| 2014 | -1.3 | +0.0 | +1.6 | +0.0 | +1.2 | +0.9 | +1.5 | -1.4 | +0.7 | -0.7 | -0.5 | +2.0 | |
| 2015 | -1.7 | -1.0 | -0.6 | +0.9 | -0.9 | -0.2 | -0.3 | -0.8 | -0.7 | -1.0 | -1.6 | -7.7 | |
| 2016 | -0.5 | -0.1 | +0.4 | -0.9 | -0.6 | -0.3 | +2.7 | +0.1 | -1.9 | -2.3 | -3.3 | ||
| 2017 | +4.6 | -0.7 | -0.3 | +3.2 | -1.3 | -0.1 | +1.6 | -0.3 | +1.9 | +0.4 | +3.5 | +13.2 | |
| 2018 | +4.1 | +0.1 | -0.0 | +0.3 | +0.9 | -1.5 | -1.3 | +0.7 | +2.5 | +5.8 | |||
| 2019 | -0.2 | +1.8 | +2.1 | -0.6 | -0.6 | +0.2 | -0.2 | -0.8 | +2.2 | -0.3 | -1.1 | -1.1 | +1.2 |
| 2020 | +0.7 | -0.5 | -0.3 | -1.4 | -0.1 | +2.4 | +0.4 | +4.3 | -0.3 | -2.0 | -1.1 | +2.0 | |
| 2021 | +1.9 | -0.7 | -0.9 | -0.6 | +5.1 | -1.6 | -0.2 | -0.4 | -1.4 | +2.9 | -0.4 | +0.3 | +3.9 |
| 2022 | -1.4 | -1.4 | -2.0 | -0.2 | -0.8 | -0.4 | +1.1 | +1.3 | -0.1 | -3.9 | |||
| 2023 | +1.4 | +0.9 | -0.7 | -1.2 | -0.1 | -0.4 | +0.3 | +0.7 | -0.8 | +4.5 | +4.6 | ||
| 2024 | -0.4 | +0.8 | +1.3 | -0.4 | +0.0 | -1.4 | +2.9 | +1.9 | +0.4 | -0.1 | -0.2 | +4.8 | |
| 2025 | +1.8 | +1.3 | -0.6 | +0.2 | +0.7 | -0.4 | +0.2 | +1.4 | +0.2 | +5.0 |
Trade composition
Winning vs losing trades
206 wins(50.9%)199 losses
Gross profit vs gross loss
$16,858 won(55.8%)$13,380 lost
Average win vs average loss
$81.83 per win(54.9%)$67.24 per loss
Longest winning vs losing streak
8 wins in a row(50.0%)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
- 1.04
- Payout ratio
- 1.22
- Expectancy
- $8.59
- Standard deviation
- $95.60
- Market exposure
- 1.53%
- Average bars in trade
- 12.52
- AHPR
- 2.48
- Z-score
- -0.99
- Z-probability
- 83.89%
- Longest stagnation
- 1,664 d
- Stagnation
- 34.66%
Trades
- Winning trades
- 206
- Losing trades
- 199
- Gross profit
- $16,857.99
- Gross loss
- $13,379.91
- Average win
- $81.83
- Average loss
- $67.24
- Largest win
- $465.54
- Largest loss
- -$131.34
- Longest winning streak
- 8
- Longest losing streak
- 8
- Average bars in wins
- 14.95
- Average bars in losses
- 10.01
Headline metrics
- Net profit
- $3,478.08
- Total return
- +34.8%
- Sharpe ratio
- 0.49
- Average trade
- $8.59
- Average yearly profit
- $267.54
- Average yearly return
- 2.68%
- Maximum drawdown
- $1,481.25
- Annual return / max drawdown
- 0.17
- R expectancy
- 0.13
- Strategy quality number
- 0.90
- SQN score
- 0.21
- Profit in ticks
- 7,680
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-2562fd23d7870932f69f091b01801c00d4e602bb1c22aabdb2876766d6f6b1c52f3
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.