RESULTS 2010 - 2020

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ALGORITHM

EA/FX/02

PTC GOLD

21 /   12   /   2020

Type: Day trading
Time frame: 15 minute

Instruments:  XAUUSD (Gold)

Risk/Reward: up to 1:16
Strike rate: 56%
Risk: Max 0,5% per trade
Average trade length: 3 days

Details: This in house developed algorithm uses the same 'engine' as our execution algorithm for our manually traded Power Trend Continuation (PTC) strategy. By adding a few Gold specific ingredients to the mix, it is able to trade autonomously with very consistent results.

On average the algorithm adds 10-20% profit annually to the portfolio. The management follows a hybrid strategy, where it quickly locks in profit and reduces risk as soon as possible. It is a trend following system, where if the new trend keeps going, it is able to reap massive rewards before closing down the remaining 0,25% open position (up to 1:16 RR).

 

Backtesting was done with 99.9% reliable backtest data from Tickdata Suite. This data was fed into QuantAnalyzer4 to produce these strategy results and details.

**Live trading dashboard on the bottom of this page.

DETAILED STRATEGY ANALYSIS

The image below displays the intricate details of the strategy and the results from 2015 to 2020. It details results per: annum, day of the week, trading side, hour of day and the wins/losses per side and interval.

** Click image to view a high resolution version on desktop.

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MONTHLY RESULTS BY YEAR

Below you'll find the month on month results per annum.

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EQUITY CURVE

As the algorithm harvest profits and the account grows, the lot size increases and the account compounds in value.

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MONTE CARLO TEST

What is Monte Carlo analysis?
Monte Carlo analysis is a process that allows you to get a more accurate picture of the performance of a trading strategy beyond what a standard backtest report can provide.

 

A backtest report shows the results of a series of trades in a specific order but the problem is that’s just history, you don’t know what’s going to happen going forward. What if a lot of losing trades all show up in a row, what type of drawdown will you experience? What’s the chance that you could get a drawdown larger than expected or a string of losing trades longer than expected?

Monte Carlo analysis basically lets you scramble the order of the trades in a backtest to provide a better understanding of possible future performance, based on the assumption that future trades will have similar characteristics to historical trades but in an unknown order.

The results allow you to determine the probabilities of drawdown and profit levels and the chance your trading account could be completely wiped out.

The blue line in the image below represents the raw backtesting results and the colored lines below it represent the various Monte Carlo results per cycle. As you can see there is a certain bandwidth in which to expect results.

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MONTE CARLO PREDICTION

This test uses past Monte Carlo data to predict (within a certain bandwidth) future results.

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RISK OF RUIN

Risk of ruin is the probability that you’ll lose so much money you can no longer continue trading. This doesn’t mean losing all of your trading capital, the ruin point is based on your own personal risk tolerance, so ruin to you could be 15%, it could be 50% or it could be 100%.

Below you'll find that the from backtest data the risk of ruin is 0%.

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