|
Performance
Solid Foundation in Back Testing | Live Account Performances | Risk Disclosure
Solid Foundation in Back Testing
Back testing Expert Advisers (EAs) or forex strategies is not a 100% full proof way of guaranteeing the profitability of a trading system, but if a system back tests poorly, it should be thrown out. Though, if a trading system back tests with very good results it shows potential and reason to begin forward tests. If both back testing and forward testing show positive results, that is when we start trading our own funds. After 2 or 3 months of forward testing with real money and positive results continue, we then being making the trading system available to the public.
Below you will find the results of back testing the main strategy set now trading our own funds as well as client funds. The information presented below is mainly to show some of the corroborating information that has led us to believe we have a very good system now working for us.
System Name: Waverely EA
Overview and description
A short term trend following system that manages up to 8 open trades
with greater than 60% win rate and consistent upward equity curve growth. It
works across multiple currency pairs and below we feature those it
works best on in terms of return versus drawdown.
Note: The EA was backtested on a 100K mini
account, with opening lot size of 1 mini ($10,000). It can be applied
to a 10K micro account if all the returns and drawdowns are divided by
10, with opening lot size of 1 micro ($1000). The dollar return and
draw down columns below differentiate this difference.
Backtest
| Period |
Pair |
Trades |
Winning Trades |
Profit Factor |
P/L [$] |
Avg P/L[$] Per/Year |
P/L[$]
(
1/10)
|
Avg P/L[$] (1/10) Per/Year |
Max DD
[$] |
Max DD-(1/10)
[$] |
Comment |
| 09-02-99 to 09-25-09 |
EURJPY |
27391 |
63.51% |
1.84 |
536,192 |
53,619 |
53,619 |
5,361 |
54,942 |
5,492 |
King currency for this system in terms of return versus DD. |
 |
| 09-02-99 to 09-25-09 |
USDJPY
(2323) |
5,153 |
64.23% |
1.73 |
92,875 |
9,287 |
9,287 |
982 |
32,496 |
3,249 |
Queen currency for this system in terms of return versus DD. |
 |
| 09-25-99 to 09-25-09 |
USDJPY
(2334) |
4100 |
59.48% |
1.74 |
85,116 |
8,511 |
8,511 |
851 |
14,859 |
1,489 |
Queen Currency, Alt Config -Low DD, good for smaller accounts |
 |
| 09-25-99 to 09-25-09 |
EURUSD
(Long)
|
3571 |
69% |
1.86 |
61,766 |
6,766 |
6,766 |
676 |
40,437 |
4,037 |
Works both long and short but best on long. |
 |
| 09-02-99 to 09-25-09 |
CHFJPY
(Long)
|
1565 |
66% |
1.88 |
102,400 |
10,240 |
10,240 |
1,024 |
46,945 |
4,695 |
Works both long and short but best on long. |
 |
| 09-02-99 to 09-25-09 |
AUDJPY
(Long)
|
1653 |
65% |
1.66 |
108,647 |
10,864 |
10,864 |
1,084 |
56,000 |
5,600 |
Works both long and short but best on long. |
 |
| 09-02-99 to 09-25-09 |
AUDUSD
(Long)
|
1302 |
63% |
1.99 |
29,200 |
2,920 |
2,920 |
290 |
7,123 |
712 |
Works both long and short but best on long. |
 |
| 07-03-07 to 09-29-09 |
AUDCAD
|
664 |
55% |
2.39 |
18,791 |
1,871 |
1,871 |
187 |
2,203 |
220 |
Small DD, good for small accounts |
|
| |
How does it work ?
Waverely EA opens new trades based on Custom short term trend following indicators on M15 (15 minute) charts.
The robot manages up to 8 open positions at the same time. It exits all
positions based on an adaptive takeprofit issued fairly close to the
last entry.
Money Management
Fixed fractional based on max historical draw down. We want max
historical draw down of each EA-currency to be 25% of account. Thus, if
the max 10 year historical DD of Waverely-EURJPYM15 was $5000, then we
will be using 1 micro lot of that strategy-currency per $20,000 account
size. Please note: each DD period refers to open position DD, which
usually lasts less than a week before the overall sequence of trades
ends in profit . Thus, though open position DD can become up to 25% of
account size on the rare occasion, recovery from this DD period happens
rather quickly and equity curve resumes its steady upward ascension.
|