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EurUsd, Dow, Gold - two times a day
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EurUsd, Dow, Gold - two times a day

  #41 (permalink)
Trading Apprentice
Zagreb Croatia
 
Futures Experience: Advanced
Platform: Sierra Chart
Broker/Data: IB
Favorite Futures: CL GC Currency Futures
 
Posts: 45 since Jan 2016
Thanks: 15 given, 33 received

time flies...

So, I was busy with other things in my life, but still had time to book results

I didn't traded my system since January, but I followed it and made all notes and results, stats (sim acc).

So, this is a recap what happened during last few months.

System went in drawdown...a bit deeper than in backtest.
From 3 markets that I traded, EURUSD was not behaving like in backtest...DOW and Gold were more or lessin line with backtest (especially Gold)

Here are some stats:

...first backtest stats

Number of days 427
Total R return 261.24
Number of tradess 732
Number of wins 323
Number of losses 409
Strike rate 0.44
Average R win 1.87
Average R loss -0.84
Number of 1 R losses 315
Average R per trade 0.36
Number of wins above average R win 118
Max Draw in R 9.55
Duration of Max draw – trades 32
Duration of Max draw – days 19 days
R return / Max R draw 27.35
3 Cluster – wins 36
3 Cluster – losses 55
Max wins in row 6
Max losses in row 7
Percentage of new Equity peaks 14.62%
Percentage of days with new Equity peaks 25.06%

...and then from 2016 - YTD

Number of days 162
Total R return 29.98
Number of trades 323
Number of wins 128
Number of losses 195
Strike rate 0.4
Average R win 1.52
Average R loss -0.84
Number of 1 R losses 138
Average R per trade 0.09
Number of wins above average R win 41
Max Draw in R 16.67
Duration of Max draw – trades 105
Duration of Max draw – days 66 days
R return / Max R draw 1.8
3 Cluster – wins 11
3 Cluster – losses 37
Max wins in row 5
Max losses in row 12
Percentage of new Equity peaks 4.64%
Percentage of days with new Equity peaks 9.26%


They are very similar, and as I mentioned EURUSD was the one which had negative influence on size of drawdown (it is still in draw , and showing signs of recovery now). EURUSD was about 20R in draw, and now is at about 12R in draw.

Equity curve is attached.

I also made other Equity curve, with slightly changed trade management, and those results are smoother, and current R standing is at +42R, and drawdown is smaller, mainly because that management saved some losess on EURUSD. As backtest was not done that way, I will not post it here, as make less sense to compare.

Attached Thumbnails
EurUsd, Dow, Gold - two times a day-lsr-2016-ytd.png  
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  #42 (permalink)
Trading Apprentice
Zagreb Croatia
 
Futures Experience: Advanced
Platform: Sierra Chart
Broker/Data: IB
Favorite Futures: CL GC Currency Futures
 
Posts: 45 since Jan 2016
Thanks: 15 given, 33 received

2016 results

far from expected...

When trading system is made and back tested it is real challenge not to make linear projections going forward (trading or just imagining earned money in your head).

When making back test drawdown last only couple of minutes (time needed to go trough charts), but when trading that time can be really painful. Challenge again is not to project system breakdown and all bad things that mind can imagine.

So, when compared to back test results 2013-2015 last year was really different. End result on average was about 100R per year and that is first trap, so to say. Last year produced only about third of that. So, that means system is wrong? No!
Yearly results varied much with those 3 years, especially when looking at each market separately.
But for sure this year was a bit of outlier.

In short, this system is a bit hard to trade, most return comes from outliers, meaning missing few trades can alter results dramatically. And add to that Murphy's law, you would probably miss good ones.

I stopped trading at DEC 17 2016.

Number of days 213
Total R return 28.84
Number of campaigns 434
Number of wins 170
Number of losses 264
Strike rate 0.39
Average R win 1.47
Average R loss -0.84
Number of 1 R losses 185
Average R per campaign 0.07
Number of wins above average R win 57
Max Draw in R 16.67
Duration of Max draw – campaigns 105
Duration of Max draw – days 66 days
R return / Max R draw 1.73
3 Cluster – wins 14
3 Cluster – losses 50
Max wins in row 5
Max losses in row 12
Percentage of new Equity peaks 4.15%
Percentage of days with new Equity peaks 8.45%


So, I added Equity line chart. Blue line are results with same rules as back test. And orange line represents slightly changed stop loss rule.
I did knew that this change in stop loss will produce better results. But my intention was to make back test with idea of worst case scenario regarding to my rules used for trading.

I wanted to have results based on basic rules, and knowing adding one or more changes I will improve that result.
Backtest results were promising, so I decided to trade with that simple trade management rules.

There is nothing fair in this world, and you better be prepared for all, and if someone goes way similar to mine, please start with all what you have in your arsenal. Nuke it first then ask questions

Good luck to all.

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EurUsd, Dow, Gold - two times a day-2017-01-08_203718.png  
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