RESULTS 2015 - 2020

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ALGORITHM

EA/FX/03

VOLSCALP

30 /   07   /   2020

Type: Day trading
Time frame: 1-hour

Instruments:  EURUSD, USDJPY

Risk/Reward: up to 1:2
Strike rate: 64%
Risk: Max 0,5% per trade
Average trade length: 3 hours

Details: A great number of moving averages as well as key support and resistance zones, are used to calculate golden crosses and death crosses. The algorithm is able to detect trend changes quickly and ride it for as long as possible. Every position has a fixed stop-loss and profit target.  As the stop losses are wide, it uses relatively small position sizes, giving the markets room to breathe and play out.

On average the algorithm adds 30% profit annually to the portfolio. Is is a very relaxed and long slow moving trading system that plays into the rubustness of the overall trading portfolio.

 

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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LIVE RESULTS

Below you'll find the results of the account that is traded by this algorithm. The algorithm has traded with double the risk that is fed into the overarching Master-account. This means that the results as well as drawdown is dampened by 50%. 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.