Interesting journal. Usually I see daytraders and stat arb guys. How do you size your positions? Risk % per trade? Looks like you are risking about 2% per trade. What platform did you use to backtest your system?
At the moment I risk 1.5 % per trade, some trades slightly more, based on where stop loss is right now. I have a degree in IT, so I wrote my own backtesting engine.
Account value 489k Big 10% drop in account value in one day - strangely no positions stopped out. Seems like almost every market moved against me. No panic, though. Such days are less likely than other way round - every market moving with me. And then I'll have 10% equity increase in one day.
Closed usdchf with a loss -34918 Closed eurgbp with a loss -387 Account value 478k Big loss on usdchf, that's because stop loss was far away from the market at the time of entry. My choices were: 1. Enter small position 2. Do not enter at all 3. Enter normal position Since it's statistically likely the trend will continue I chose option 3. Big loss on this one, but I have a bigger profit on gold.
Have you considered using volatility-based position sizing? It may have helped in this situation, while maintaining your "edge." e.g., define "n" units of risk as a 14 day average true range. Use some multiplier (i've seen anywhere from 2 to 5) and base your ~1.5% risk on that range. Just a thought.