BUILD SUMMARY Strategy Build Date: 7/24/2019 5:17:05 PM Population Build Date: 7/25/2019 12:04:04 AM Population Build Time: 7 hours 38 min Total Generations: 2,718 Number of Rebuilds: 36 Adaptrade Builder Version: 2.4.1.0 Project File: LongTermIndex_Top.gpstrat STRATEGY DESCRIPTION Population Member: 9 Max Bars Back: 78 Market Sides: Long trades only INDICATORS USED Long Entry Condition: Or, Crosses Below, Day of Week, Greater Than/Equals, Ave True Range, True Range Long Exit Condition: None ENTRY ORDERS Long Entry: Enter at Limit (Price) EXIT ORDERS Long Exit: Protective Stop (%), Exit After N Bars Profit POSITION SIZING Position Sizing Method: Percentage of equity Position Sizing Parameter Value: 200.000% Round position size to the nearest 1 shares Minimum Number of Shares Strategy will Trade: 1 Maximum Number of Shares Strategy is Allowed to Trade: 100 OTHER STRATEGY FEATURES No new entries until prior trade exits BUILD SETTINGS MARKET Symbol: MES (Daily bars) Date Range: 01/07/2000 04:00 PM to 07/18/2019 04:00 PM Session Times: 5:00:00 PM to 4:00:00 PM Point Value: $5.00 Costs Per Share (round-turn): 10.00 Price File: @ES#C 1 Day.txt Training Segment: 01/07/2000 04:00 PM to 07/18/2019 04:00 PM (100.00% of range, 4942 bars) Test Segment: 07/18/2019 04:00 PM to 07/18/2019 04:00 PM (0.00% of range) Validation Segment: 07/18/2019 04:00 PM to 07/18/2019 04:00 PM (0.00% of range) EVALUATION OPTIONS Starting Equity: $20,000.00 Position Sizing Method: Percentage of equity Position Sizing Parameter Value: 200.000% Round position size to the nearest 1 shares Minimum Number of Shares Strategy will Trade: 1 Maximum Number of Shares Strategy is Allowed to Trade: 100 When building, use the position sizing settings as selected; don't evolve position sizing Fill limit order only when price is exceeded Code Format: TradeStation 6 or newer BUILD SET Indicators Considered: Simple Mov Ave, Exp Mov Ave, Momentum, Rate of Change, Fast K Stochastic, Fast D Stochastic, Slow D Stochastic, RSI, DI-/DI+, DMI, ADX, Ave True Range, True Range, Standard Deviation, Bollinger Band, Lowest, Highest, Crosses Above/Below, Price Patterns, Day of Week, Absolute Value Order Types Considered: Enter at Market, Enter on Stop (Price), Enter at Limit (Price), Exit at Target (Price), Trailing Stop (ATR Floor), Exit After N Bars, Protective Stop (%), Protective Stop (Price), Exit at Market, Exit at Target (%), Exit After N Bars Profit, Exit After N Bars Loss, Enter on Stop (%), Enter at Limit (%) Order Types Included: None STRATEGY OPTIONS Market Sides: Long trades only No new entries until prior trade exits Nested indicators allowed Parameter Ranges: Percentage Stop Size: 0.50% to 10.00% Percentage Target Size: 0.50% to 10.00% Price Difference Multiple, Entries: 0.500 to 5.000 Price Difference Multiple, Exits: 0.500 to 5.000 Lookback Length, Indicators: 1 to 100 Lookback Length, Price Patterns: 1 to 20 Exit-After Number of Bars: 1 to 100 Indicator Shift: 1 to 20 Probability of Applying Indicator Shift: 20.00% BUILD OBJECTIVES AND CONDITIONS Maximize Net Profit, weight 1.000 Maximize Corr Coeff, weight 1.000 Maximize Trade Sig, weight 1.000 Ave Annual Return >= 10.000% (Train) Trades Per Year <= 10.00 (Train) Corr Coeff >= 0.9500 (Train) Trade Sig >= 95.0000% (Train) CONDITIONS FOR SELECTING TOP STRATEGIES Max Drawdown (%) <= 40.000% (All Segs) Ave Annual Return >= 12.000% (All Segs) PL/Buy&Hold Ratio >= 2.000 (All Segs) Trades Per Year <= 10.00 (All Segs) BUILD OPTIONS Population Size: 500 Subpopulations: 1 Mix subpopulations every 1 generations Reset population when building Save 100 best strategies from population Crossover Percentage: 60.00% Mutation Percentage: 50.00% Tree Depth: 3 Tournament Size: 2 At end of generation 75, start over if average Net Profit on test segment of top 10 strategies is less than $10,000,000.00 Minimum Generations: 10 Maximum Generations: 80