Backtesting
USD/JPY — H1
A.V. MAGIC 4.76.18 · Long only · 5 May 2003 → 1 Aug 2025 · 22.24 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 6.56% 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 | +0.5 | +1.0 | -0.4 | -0.2 | -3.0 | -2.0 | |||||||
| 2004 | -1.0 | +0.9 | -0.5 | -1.0 | -0.4 | -0.5 | -2.4 | ||||||
| 2005 | +2.3 | +1.5 | -0.6 | -1.0 | +0.1 | +2.4 | -0.3 | +1.2 | +0.9 | -0.7 | +5.8 | ||
| 2006 | +0.5 | -0.5 | -0.6 | -0.0 | +1.4 | -1.4 | +2.5 | +1.8 | |||||
| 2007 | +0.2 | +0.3 | +5.6 | -1.5 | +0.8 | -1.0 | +0.6 | +5.0 | |||||
| 2008 | +0.2 | +1.9 | +0.2 | +1.6 | -0.6 | +0.5 | -0.9 | +0.8 | -0.4 | -0.1 | +3.2 | ||
| 2009 | -0.1 | -0.9 | +0.2 | -2.0 | +2.3 | +2.1 | -1.8 | +0.4 | +0.2 | ||||
| 2010 | +1.4 | -0.4 | +1.8 | -0.9 | -0.2 | -0.9 | -0.9 | -0.2 | |||||
| 2011 | +1.6 | +0.7 | -0.9 | -1.5 | +1.8 | -1.8 | -0.5 | -0.7 | |||||
| 2012 | +1.0 | -0.9 | +0.1 | -2.6 | +1.8 | -0.9 | -0.9 | +2.3 | -0.9 | -1.1 | |||
| 2013 | -1.0 | +5.0 | +3.9 | +0.1 | -1.5 | +1.0 | +1.0 | -2.6 | +2.3 | +8.3 | |||
| 2014 | -2.1 | +1.8 | -1.7 | +0.6 | -0.6 | +0.3 | +4.3 | +0.6 | +0.8 | -0.3 | +3.4 | ||
| 2015 | -0.8 | +0.3 | +0.9 | +1.1 | -0.8 | -0.8 | +0.3 | -0.2 | -0.8 | -0.8 | |||
| 2016 | +0.7 | +4.1 | +1.6 | -0.8 | +5.1 | +1.0 | +3.3 | +15.8 | |||||
| 2017 | +0.9 | +1.5 | -0.7 | -0.2 | -1.3 | +0.1 | |||||||
| 2018 | -0.7 | +2.3 | +0.7 | +1.4 | -0.5 | -0.7 | +2.5 | ||||||
| 2019 | +0.5 | +2.3 | +0.6 | +2.5 | -1.4 | -0.2 | -0.3 | +2.3 | +6.4 | ||||
| 2020 | +0.4 | -1.4 | -0.7 | +0.0 | -0.7 | -0.7 | -0.7 | +0.0 | -1.0 | +0.6 | -3.9 | ||
| 2021 | -1.4 | +0.1 | +0.3 | +1.4 | +0.1 | -0.3 | -0.5 | +0.4 | +0.1 | ||||
| 2022 | +2.3 | -0.1 | +1.9 | +0.2 | -1.2 | +2.2 | -0.1 | +0.5 | -0.6 | +5.0 | |||
| 2023 | +1.9 | +1.5 | +2.4 | +2.1 | +0.7 | -0.1 | +0.2 | -0.2 | +8.8 | ||||
| 2024 | +1.0 | +0.3 | +0.2 | +1.4 | +0.5 | +2.1 | +2.2 | +0.3 | +2.2 | +10.7 | |||
| 2025 | -1.1 | -0.1 | +0.6 | +1.4 | +0.3 | -0.6 | +0.5 |
Trade composition
Winning vs losing trades
170 wins(52.3%)155 losses
Gross profit vs gross loss
$20,782 won(63.5%)$11,970 lost
Average win vs average loss
$122.25 per win(61.3%)$77.22 per loss
Longest winning vs losing streak
9 wins in a row(60.0%)6 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
- 1.10
- Payout ratio
- 1.58
- Expectancy
- $27.11
- Standard deviation
- $135.24
- Market exposure
- 0.91%
- Average bars in trade
- 10.27
- AHPR
- 3.83
- Z-score
- 0.48
- Z-probability
- 31.56%
- Longest stagnation
- 1,114 d
- Stagnation
- 13.79%
Trades
- Winning trades
- 170
- Losing trades
- 155
- Gross profit
- $20,782.02
- Gross loss
- $11,969.68
- Average win
- $122.25
- Average loss
- $77.22
- Largest win
- $650.27
- Largest loss
- -$116.73
- Longest winning streak
- 9
- Longest losing streak
- 6
- Average bars in wins
- 12.97
- Average bars in losses
- 7.30
Headline metrics
- Net profit
- $8,812.34
- Total return
- +88.1%
- Sharpe ratio
- 0.73
- Average trade
- $27.11
- Average yearly profit
- $400.55
- Average yearly return
- 4.01%
- Maximum drawdown
- $1,016.46
- Annual return / max drawdown
- 0.44
- R expectancy
- 0.35
- Strategy quality number
- 2.00
- SQN score
- 0.21
- Profit in ticks
- 4,082
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-25648ef209c11ce63d9834f3d2e7f3be2a89a06c8d8634311c5f3e4d8d587f78612
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.