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Just for fun-video backtest

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Threshold

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6 years ago #113662

I recorded one of my older EAs made in EA Wizard backtesting USDJPY D1 2000-current date. It stops it OCT 2014 because too much data.

Its based on volatility (ATR) and trend (ADX) and support/resistance.

Its very robust pattern that occurs in all markets, stocks, bonds, commodities, ETFs, fx with minimal parameter adjustment. I mainly run it on the FX majors but also a couple crosses. Good win rate. Averages about 65%. Good profit factor. Low drawdown. On this backtest with starting amount $10,000 the final balance was about $28,000. Max DD was 12.5%. On just 1 pair.

Its just 1 weapon in my portfolio. The portfolio is live and public today.

This set up/pattern is actually in USDJPY right now. This EA waiting for a certain price level to enter. It may take a few day’s to reach the level, but I think data in Friday might move the market enough.

For entertainment purposes only. Enjoy.

https://www.youtube.com/watch?v=A4mr7HCIlYA&feature=youtu.be

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Threshold

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6 years ago #130198

Again, this must be emphasized: ***You are looking at 1 pair.*** It trades about 8. D1 frequency will always be low, but the signals are more reliable. (especially one that works across all markets and it not a mere data fitted random generation)

Stagnation is less than 1 year for this 1 pattern on the portfolio of pairs its trading, and its part of a portfolio of EAs across all different time frames. I’d worry more about portfolio stagnation. That’s what you would be sitting through. If you were just trading this 1 pattern on USDJPY, then yes, it would be brutally painful 😀

I’d take a pattern with 70% (if using profit targets, ~60% or less if used for trend following) wins across 8 pairs with high profit factor and minimal DD any day as a weapon in my portfolio.

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Threshold

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6 years ago #130200

I’m not affiliated with them in any way:
http://www.deskshare.com/screen-recorder.aspx

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Threshold

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6 years ago #130222

By failing you mean exceeding its worst case scenarios from backtests right?
That’s how I judge. Wondering how others are doing it.
I will test it on as large a sample as possible. Find its max DD%, how long they last, max stagnation, max losing streak, and any excess of those #s its “cut off”. If if hasn’t violated any of those from backtests then it still is fine, and most likely, simply in a normal DD or stagnation period. I actually talk about that in the optimization video.

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Threshold

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6 years ago #130386

This system just went long USDJPY today.

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jack_jazz

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6 years ago #130459

May I ask how You define support and ressistance? Do You use an idicator for that?

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Threshold

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6 years ago #130465

Donchian Channel but there’s so many other ways. This system happens to use Donchian (HIGHEST[X]/LOWEST[X]). Zigzag is pretty flexible for defining swing levels as well.

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seaton

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6 years ago #130740

Nice work

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