Sure, here's the performance sheet: Code: BackTest Workshop5_1 EUR/USD - performance report Test period 04.05.2008-30.12.2011 Lookback period 541 bars (130 days) Assumed spread 2.6 PIP (roll -0.01/-0.01) Assumed slippage 2.0 sec Contracts per lot 7800 Gross win (loss) $10116 (-$5090) Average profit $1375/year, $115/month, $5/day Max drawdown -$1563 Max down time 71 weeks from Sep 2008 Largest margin $400 Trade volume $1395980 = $381958 per year Capital required $1963 Number of trades 64 = 17 per year Percent winning 19% Avg trade return $79 (+$843 -$98) Max win (loss) $1658 (-$190) Avg trade time 43 bars (10 days) Max trade time 447 bars (107 days) Time in market 47% Max open trades 4 Max loss streak 10 Annual return 70% Profit factor 1.99 Sharpe ratio 0.63 Kelly criterion 0.56 Ulcer index 17.48% Prediction error 72% Fac Win/Loss Profit EUR/USD:L 0.3 3/28 909 EUR/USD:S 1.7 9/24 4116 The equity curves and other details of both simple strategies can be found in the Zorro workshops 4 and 5: http://zorro-trader.com/en/tutorial_trade.htm http://zorro-trader.com/en/tutorial_fisher.htm
Okay you revealed your motive for this thread. Nevertheless, I can see some things from the site that I can use, e.g., dominant period, high pass to remove trend. I will also give the second order LPF a try. Thanks!
you can't be serious ..#1: the number of trades is not enough to have statistically sound system. #2-can you handle 10 losing trades in row? CAN YOU? and where your account will be after that? those two just screaming out loud. lets' just leave alone 19% win rate. contracts per lot 7800-how much is it in $ per position?
To answer questions #1 and #2: yes, and yes. I think I said it already about 20 times in this thread: This is not a tradable strategy. Do not attempt to trade it. A really tradable strategy needs > 200% annual return, a Sharpe ratio > 2, and some other parameters that are not fulfilled here. But it is a highly useful component for a professionally optimized compound strategy.
By the way, I believe what you are doing is the smartest thing to do with regards to trading: sell tools that *almost" promise a dream. There is very little risk involved. There is little to no regulation to worry about. Low starting capital, just need the know-how (education, preferably graduate level science / engineering degree). Very scalable business with low cost distribution on the web. What's not to like?
Selling tools that promise a dream is a sort of contradiction: if you have such a tool, and it works, you obviously don't need to sell it. I have no intention to sell tools. Nowhere on the Zorro website is anyone asking you for money.
sorry, i didn't read the whole thing. all i saw is those numbers above, 100% return and 9 lines of code. first and last page of this thread