First live strategy

After doing some significant testing, I’ve decided to go with the Panic and Retracement strategy for extreme movements. The inputs for this I will go with are:

  • Change Units                                                  3 (Pips)
  • Change Bars                                                   1
  • Change Threshold                                          120 pips
  • Take profit                                                       120 pips
  • Stop loss                                                         120 pips
  • Amount at one lot, i.e.,                                   10,000
  • Wait For Reversal                                             False
  • Allow Multiple Trades                                      False
  • Smart Stop                                                       False

Testing shows this strategy is robust, and doesn’t fall apart when the parameters are changed. Additionally, the idea behind the strategy is solid and could work against any instrument. It was difficult to decide between going with standard deviations or pips for the change units. In the end, if there had been a period very low moves, the standard deviation could be quite high for small moves. Some of these can be profitable but most of them were not, therefore, measuring the change in pips was more reliable.

The statistics for the above strategy were over the last 3 and a half years, trading 40k:

  • Win/Loss Ratio:                                   2.00
  • Expected Profit:                                  $1,053
  • Expected Loss:                                    $595
  • Expectancy Ratio:                               1.77
  • Total Profit:                                         $12,636
  • Total Loss:                                           $3,575
  • Profit Factor:                                       3.53
  • Min Equity:                                          $6,535

Now I need to figure out how to get a VPS so this strategy can run all the time. Given that the trading opportunities present here are very infrequent, I don’t want to miss any.

Posted in Backtesting, Retracement, Strategies and tagged , , , .

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