First Live Trend Strategy

Ok after a lot of testing I have finally decided on a set of parameters for the TREND_REV strategy I developed. This parameter set makes money during the GFC period and the recent years. It seems to offer a good balance of trade aggressiveness and trend length.

Combined with the superlong trend confirmation, and the update stops intelligence, smart limit, the PnL curve never takes any big hits. Let’s hope this continues as I run it live!

The parameters and statistics on AUDJPY over 2011-01-01 to 2013-08-15 are:

  • Timeframe: m30
  • CCI:         10, -100, 100
  • SSD:         15, 5, 5, 70, 30
  • Trend:         40, Exponential, 30, 1.0, Not Aggressive, H1
  • Superlong:    Confirm, 80, Exponential, 20, 0.9, Not Aggressive, H4
  • Smart Stop:    Yes, 1.4
  • Smart Limit:    Yes, 1.5
  • Update Stops:    Yes
  • Stop in Pips:    100
ACCOUNT STATISTICS
Total profit/loss 3,232.18
Total profit of all trades 4,829.51
Total loss of all trades 1,597.33
Balance statistics:
Start balance 7,000.00
Final balance 10,232.18
Maximal balance 10,232.18
Minimal balance 7,000.00
Maximal fall of balance 273.64 (3.9%)
Equity statistics:
Final equity 10,232.18
Maximal equity 10,232.18
Minimal equity 6,979.41
Maximal fall of equity 397.40 (5.7%)
TRADES STATISTICS
Number of trades closed 49
Number of long trades 30 (61.2%)
Number of short trades 19 (38.8%)
Number of long profit trades 20 (58.8%)
Number of short profit trades 14 (41.2%)
Number of profit trades 34 (69.4%)
Number of loss trades 15 (30.6%)
Trades:
Maximal profit per trade 252.96
Average profit per trade 142.04
Minimal profit per trade 3.75
Maximal loss per trade 171.95
Average loss per trade 106.49
Minimal loss per trade 0.58
Posted in Backtesting, Research, Strategies, Trend and tagged , , , , , .

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