Backtesting 7/1/15 to 12/25/16

Initial capital	1000000.00	1000000.00	1000000.00
Ending capital	1001854.95	999298.98	1002555.97
Net Profit	1854.95	-701.02	2555.97
Net Profit %	0.19 %	-0.07 %	0.26 %
Exposure %	2.87 %	2.08 %	0.79 %
Net Risk Adjusted Return %	6.47 %	-3.37 %	32.39 %
Annual Return %	0.13 %	-0.05 %	0.17 %
Risk Adjusted Return %	4.36 %	-2.28 %	21.85 %
Total transaction costs	0.00	0.00	0.00
All trades	172	116 (67.44 %)	56 (32.56 %)
Avg. Profit/Loss	10.78	-6.04	45.64
Avg. Profit/Loss %	0.32 %	0.01 %	0.97 %
Avg. Bars Held	8.68	8.97	8.09
Winners	149 (86.63 %)	99 (57.56 %)	50 (29.07 %)
Total Profit	16034.07	10170.30	5863.76
Avg. Profit	107.61	102.73	117.28
Avg. Profit %	1.68 %	1.55 %	1.94 %
Avg. Bars Held	5.44	5.47	5.36
Max. Consecutive	22	18	12
Largest win	879.00	452.00	879.00
# bars in largest win	2	2	2
Losers	23 (13.37 %)	17 (9.88 %)	6 (3.49 %)
Total Loss	-14179.12	-10871.33	-3307.79
Avg. Loss	-616.48	-639.49	-551.30
Avg. Loss %	-8.45 %	-8.92 %	-7.13 %
Avg. Bars Held	29.70	29.29	30.83
Max. Consecutive	2	2	2
Largest loss	-2505.00	-2505.00	-1207.00
# bars in largest loss	31	31	31
Max. trade drawdown	-2631.00	-2631.00	-1403.00
Max. trade % drawdown	-56.73 %	-56.73 %	-13.45 %
Max. system drawdown	-7781.00	-8710.00	-1057.36
Max. system % drawdown	-0.78 %	-0.87 %	-0.11 %
Recovery Factor	0.24	-0.08	2.42
CAR/MaxDD	0.16	-0.05	1.64
RAR/MaxDD	5.61	-2.62	207.24
Profit Factor	1.13	0.94	1.77
Payoff Ratio	0.17	0.16	0.21
Standard Error	1615.49	1610.78	380.51
Risk-Reward Ratio	0.65	-0.44	4.62
Ulcer Index	0.27	0.39	0.04
Ulcer Performance Index	-19.39	-14.11	-138.67
Sharpe Ratio of trades	0.18	-0.17	1.19
K-Ratio	0.0143	-0.0098	0.1020