RESULTS 2003 - 2020

MacBook-Pro-Mal-Transparent_results_ea-f

ALGORITHM

EA/FX/01

APAC PM

21 /   01   /   2020

Type: Day trading
Time frame: 15-minute and 1-hour

Instruments: 13 G10 currency pairs

Risk/Reward: up to 1:2
Strike rate: 74%
Risk: Max 1% per trade
Average trade length: 7 hours

Details: this algorithm plays into a price action pattern that forms and finalizes during the New York and Asian Session overlap. The algorithms is really good a harvesting middle-sized profits quickly. Stops are far away enough for spread not to cause being stopped out before the trade has had a chance to play out, but are trailed once price moves into our favor, thereby locking in profit.

95% of the time trades are opened and closed within 6 hours and before the London session opens. In 5% of the time, the algorithm will not be able to close the position for a profit before that time. In this case it will try to find the best possible exit, being BE or a small loss. In a very few instances the trade will not work out resulting in a full loss.

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 2003 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.

Monitor Trade Analysis.png

MONTHLY RESULTS BY YEAR

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

Monitor results 2003-2020.png

EQUITY CURVE

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

Monitor results 2003-2020 equity.png

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.

Monitor results 2003-2020 Monte Carlo.pn

MONTE CARLO PREDICTION

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

Monitor results 2003-2020 mc predict.png

LIVE RESULTS

Below you'll find the results of the account that is traded by this algorithm. The algorithm has traded with six times the risk that is fed into the overarching Master-account. This means that the results as well as drawdown is dampened by 83%. As the Master-account is traded by many systems, the exposure of the individual trading systems is reduced accordingly.

The FXBLUE dashboard is best viewed on desktop, for mobile click HERE for a better viewing experience. Be sure to click "Refresh" in the left top corner of the dashboard each time you checks its status.