Backtesting of technical indicators

This exercise is mostly for my own benefit but I thought it would be worth sharing the results with everyone. I've played around with automatic trading in the past and failed to find a system which actually worked (well). Some of them got quite complex using trigonometry to identify trend lines and resistance points but they all failed - usually working well for 95% of the time (sometimes for years) only to have all profits wiped out within a bad week of trading. I never traded any of them for real.

So I thought I would go back to basics, looking at simple indicators such as MA's, RSI, bollanger, parabolic SAR etc and seeing how well they work on their own and in combinations. Hopefully it'll throw up some interesting observations and perhaps start a discussion about how to avoid the arch enemy of any automatic system.. runaway drawdown.

I'm not expecting to find a Holy Grail system here - but hopefully it'll be useful to others in confirming/trashing their beliefs in auto-systems & indicators and I'm hoping I'll find a firm foundation to build a more robust system on, or at least know where not to start!

I will only be looking at price action as I do not have access to volume information. I've written my own application to do the analysis which can cope with the vast amount of tick data needed to test a multi-year period.

To start off with I'll look at individual indicators on their own to see how they perform. I'll try them on a range of timeframes - 1min, 5min, 15min, 1 hour, 4 hour and 1 day bars, to see which perform best. I'm going to try to avoid the trap of optimising too much by sticking with fairly standard parameters for the indicators. I'll supply the results in a spreadsheet with the trades that were triggered so you can perform your own analysis/money management on them if you wish.

Later, and hopefully with the suggestions from members of T2W, I'll test combinations of indicators and introduce simple rules to create some trading strategies, and post the results of the backtests in this thread. My analysis will include simply pips won as well as more complete picture with simple money management techniques - from agressive to conservative, analysis of margin requirements, averaging in/out techniques, stops and limits, interest charges, slippage etc - suggestions will be welcome as this thread progresses.

For the moment I'm exclusively testing on EUR/USD data from Jan 2001-Jun 2007, I've downloaded tick data from gaincapital - I can't vouch for it's accuracy, there is a small gap of 2 weeks in the data in 2004 because what gain supplied was nonsense and I've spent a while sorting out other issues with the data, but as this is a backtest a some inaccuracy in the data is acceptable. I can download data for most of the major ccy pairs but I currently have no access to index future or commodity tick data. If anyone would like analysis of this data at a future date I would be happy to do this, provided they could supply me with the data in a text file format. (e.g. csv, txt format - or anything that can be opened in notepad).

I'm not prepared to test your own trading system to validate it for you unless it is both valid to the flow of this thread and you don't mind revealing the strategy and results in full on this thread.

First Test!!

I'm going to look at moving averages and exponential moving averages, for 20,50 and 200 periods on 1min/5min etc.. bars. Simple rule - if the price is above the (e)Ma - you buy, if it's below you sell. It should give us a reference point for all other tests. Afterwards I'll look at (E)Ma crossovers to see if they offer an improvement.

First set of results using Mas coming up shortly....

Hoggums,

I think this will be a good thread. Looking forward to your results.

Fibonelli

First up - simple moving average test on the 1 day bars. Not an exhaustive test because I've restricted it to the range of tick test data I have. Anyway - it's attached.

Interestingly - the win/lose ratio for 20/50 periods is a mere 23% and goes down to a dismal 9% for 200ma. The only one to make a profit is the 50 period ma, and a paultry 1085 pips, while suffering a 1718 pip drawdown in the trading. It's only saving grace is a profit factor of 3.8 = at least the winners are greater than the losers. But as I suspected it's getting whipsawed into losses.

4hr analysis coming up...

Spreadsheet fixed.....

4Hr bar results attached.

Here we have the win-loss ratio descreasing with an increasing period, but the profits increasing the higher the period. However none of them what you'd call a raging success...

1 hr results to come...

1 Hr results,

There must be some pretty bad drawdowns going on here - because even though all the ma's are pip positive overall - none of them - using money management relative to account size results in a profit overall.

Again we have the situation where the lower the ma the better the win/lose ratio - but quite opposite to 4hr and 1 day bars - the lower the ma period the better the results.

Win lose ratio is still < 25% overall.

Testing on the 5min bars has generated 79,000+ trades, which won't fit in my excel spreadsheet! So I'm going to have to get my app to do the analysis instead of the spreadsheet - there will be a slight delay in the proceedings....

I've made the necessary modifications. During development I noticed some errors in the test data which have since been fixed, it resulted in some trades going back in time!! This does mean that the results I posted earlier are inaccurate.

I'm only going to post the output of my program in the thread, if you want the trade data I can supply that to you on request.

So to recap - I'm testing MA's using 20, 50 & 200 period on a variety of candlestick lengths. If the eur/usd is above the ma you buy, if it's below you sell. Results below:

1day bars, 20 day moving average
RESULTS of Analysis Ma1 (eur_usd_1day_p20)
Data from 04-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 214
Profitable : 44
Losses : 170
Win Ratio : 21%
Total Pips : -3006
Avg Win : 238 pips
Avg Loss : -79 pips
Profit Factor : 3.00
Avg Trade Length : 11.0 days (263.8 hours)
Max Single Trade Win : 1142 pips
Max Single Trade Drawdown : -278 pips
Max Total Drawdown : -3459 pips
Max Margin Requirement : 554 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £10000.00
Lowest Balance : £0.00
Largest Single Drawdown : 56%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £4758.06
Highest Balance : £10000.00
Lowest Balance : £4467.52
Largest Single Drawdown : 6%
Largest Total Drawdown : 55%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9402.31
Highest Balance : £10000.00
Lowest Balance : £9323.35
Largest Single Drawdown : 1%
Largest Total Drawdown : 7%


1day, 50day ma
RESULTS of Analysis Ma1 (eur_usd_1day_p50)
Data from 04-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 110
Profitable : 23
Losses : 87
Win Ratio : 21%
Total Pips : 764
Avg Win : 366 pips
Avg Loss : -88 pips
Profit Factor : 4.16
Avg Trade Length : 21.4 days (513.6 hours)
Max Single Trade Win : 1007 pips
Max Single Trade Drawdown : -207 pips
Max Total Drawdown : -1182 pips
Max Margin Requirement : 454 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £15.98
Highest Balance : £10000.00
Lowest Balance : £9.74
Largest Single Drawdown : 41%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £10354.91
Highest Balance : £12524.24
Lowest Balance : £8365.19
Largest Single Drawdown : 4%
Largest Total Drawdown : 24%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10141.14
Highest Balance : £10294.35
Lowest Balance : £9824.68
Largest Single Drawdown : 0%
Largest Total Drawdown : 2%


1day/200 day ma
RESULTS of Analysis Ma1 (eur_usd_1day_p200)
Data from 04-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 69
Profitable : 9
Losses : 60
Win Ratio : 13%
Total Pips : -1270
Avg Win : 588 pips
Avg Loss : -109 pips
Profit Factor : 5.38
Avg Trade Length : 34.1 days (819.0 hours)
Max Single Trade Win : 1932 pips
Max Single Trade Drawdown : -292 pips
Max Total Drawdown : -2651 pips
Max Margin Requirement : 540 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £10000.00
Lowest Balance : £0.00
Largest Single Drawdown : 58%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £6856.41
Highest Balance : £10000.00
Lowest Balance : £5365.58
Largest Single Drawdown : 6%
Largest Total Drawdown : 46%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9735.41
Highest Balance : £10000.00
Lowest Balance : £9473.89
Largest Single Drawdown : 1%
Largest Total Drawdown : 5%

4hr candlestick results......

4hr/20 period ma
RESULTS of Analysis Ma1 (eur_usd_4hour_p20)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 1054
Profitable : 239
Losses : 815
Win Ratio : 23%
Total Pips : -6800
Avg Win : 100 pips
Avg Loss : -38 pips
Profit Factor : 2.65
Avg Trade Length : 2.2 days (53.3 hours)
Max Single Trade Win : 610 pips
Max Single Trade Drawdown : -370 pips
Max Total Drawdown : -7287 pips
Max Margin Requirement : 618 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £12498.94
Lowest Balance : £0.00
Largest Single Drawdown : 74%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £2257.06
Highest Balance : £10386.81
Lowest Balance : £2136.69
Largest Single Drawdown : 7%
Largest Total Drawdown : 79%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £8717.08
Highest Balance : £10041.59
Lowest Balance : £8668.89
Largest Single Drawdown : 1%
Largest Total Drawdown : 14%


4hr/50 period ma
RESULTS of Analysis Ma1 (eur_usd_4hour_p50)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 659
Profitable : 130
Losses : 529
Win Ratio : 20%
Total Pips : -798
Avg Win : 143 pips
Avg Loss : -37 pips
Profit Factor : 3.90
Avg Trade Length : 3.6 days (85.4 hours)
Max Single Trade Win : 936 pips
Max Single Trade Drawdown : -161 pips
Max Total Drawdown : -3140 pips
Max Margin Requirement : 408 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.09
Highest Balance : £13826.06
Lowest Balance : £0.08
Largest Single Drawdown : 32%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £7470.91
Highest Balance : £14043.55
Lowest Balance : £7319.72
Largest Single Drawdown : 3%
Largest Total Drawdown : 48%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9828.09
Highest Balance : £10446.10
Lowest Balance : £9807.88
Largest Single Drawdown : 0%
Largest Total Drawdown : 6%


4hr, 200 period ma
RESULTS of Analysis Ma1 (eur_usd_4hour_p200)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 279
Profitable : 50
Losses : 229
Win Ratio : 18%
Total Pips : 2712
Avg Win : 231 pips
Avg Loss : -39 pips
Profit Factor : 5.99
Avg Trade Length : 8.4 days (202.4 hours)
Max Single Trade Win : 1271 pips
Max Single Trade Drawdown : -193 pips
Max Total Drawdown : -2649 pips
Max Margin Requirement : 441 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £280.89
Highest Balance : £11570.64
Lowest Balance : £12.89
Largest Single Drawdown : 39%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £14866.10
Highest Balance : £14926.44
Lowest Balance : £8082.63
Largest Single Drawdown : 4%
Largest Total Drawdown : 42%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10540.63
Highest Balance : £10544.38
Lowest Balance : £9835.31
Largest Single Drawdown : 0%
Largest Total Drawdown : 5%


We actually have a winning strategy... 4hr 200 period ma...

1Hr candlestick results....

1hr / 20 hr ma
RESULTS of Analysis Ma1 (eur_usd_1hour_p20)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 4168
Profitable : 953
Losses : 3215
Win Ratio : 23%
Total Pips : -7102
Avg Win : 51 pips
Avg Loss : -17 pips
Profit Factor : 2.94
Avg Trade Length : 0.5 days (13.2 hours)
Max Single Trade Win : 496 pips
Max Single Trade Drawdown : -545 pips
Max Total Drawdown : -7475 pips
Max Margin Requirement : 792 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £12257.49
Lowest Balance : £0.00
Largest Single Drawdown : 109%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £2085.60
Highest Balance : £10496.41
Lowest Balance : £2061.77
Largest Single Drawdown : 11%
Largest Total Drawdown : 80%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £8663.00
Highest Balance : £10061.17
Lowest Balance : £8652.57
Largest Single Drawdown : 1%
Largest Total Drawdown : 14%


1hr/50 hr ma
RESULTS of Analysis Ma1 (eur_usd_1hour_p50)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 2406
Profitable : 448
Losses : 1958
Win Ratio : 19%
Total Pips : -4063
Avg Win : 76 pips
Avg Loss : -19 pips
Profit Factor : 3.90
Avg Trade Length : 1.0 days (23.1 hours)
Max Single Trade Win : 594 pips
Max Single Trade Drawdown : -354 pips
Max Total Drawdown : -4419 pips
Max Margin Requirement : 602 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £11523.74
Lowest Balance : £0.00
Largest Single Drawdown : 71%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £3882.21
Highest Balance : £10292.48
Lowest Balance : £3729.48
Largest Single Drawdown : 7%
Largest Total Drawdown : 64%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9207.06
Highest Balance : £10030.47
Lowest Balance : £9169.72
Largest Single Drawdown : 1%
Largest Total Drawdown : 9%


1hr / 200hr ma
RESULTS of Analysis Ma1 (eur_usd_1hour_p200)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 1157
Profitable : 170
Losses : 987
Win Ratio : 15%
Total Pips : 68
Avg Win : 121 pips
Avg Loss : -21 pips
Profit Factor : 5.83
Avg Trade Length : 2.0 days (48.5 hours)
Max Single Trade Win : 935 pips
Max Single Trade Drawdown : -124 pips
Max Total Drawdown : -2919 pips
Max Margin Requirement : 371 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £1.24
Highest Balance : £10737.80
Lowest Balance : £1.07
Largest Single Drawdown : 25%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £8992.83
Highest Balance : £16232.71
Lowest Balance : £8591.79
Largest Single Drawdown : 2%
Largest Total Drawdown : 45%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10001.13
Highest Balance : £10587.89
Lowest Balance : £9859.17
Largest Single Drawdown : 0%
Largest Total Drawdown : 6%

15min candlestick results:

15min/ 20 period ma
RESULTS of Analysis Ma1 (eur_usd_15min_p20)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 20208
Profitable : 3270
Losses : 16938
Win Ratio : 16%
Total Pips : -58720
Avg Win : 25 pips
Avg Loss : -8 pips
Profit Factor : 3.01
Avg Trade Length : 0.1 days (2.4 hours)
Max Single Trade Win : 476 pips
Max Single Trade Drawdown : -526 pips
Max Total Drawdown : -59124 pips
Max Margin Requirement : 773 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £17839.81
Lowest Balance : £0.00
Largest Single Drawdown : 105%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £0.07
Highest Balance : £10698.14
Lowest Balance : £0.07
Largest Single Drawdown : 11%
Largest Total Drawdown : 100%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £3085.37
Highest Balance : £10068.90
Lowest Balance : £3081.64
Largest Single Drawdown : 1%
Largest Total Drawdown : 69%



15min / 50 period ma
RESULTS of Analysis Ma1 (eur_usd_15min_p50)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 11825
Profitable : 1694
Losses : 10131
Win Ratio : 14%
Total Pips : -29202
Avg Win : 39 pips
Avg Loss : -9 pips
Profit Factor : 4.14
Avg Trade Length : 0.2 days (4.4 hours)
Max Single Trade Win : 529 pips
Max Single Trade Drawdown : -530 pips
Max Total Drawdown : -29706 pips
Max Margin Requirement : 777 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £21924.90
Lowest Balance : £0.00
Largest Single Drawdown : 106%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £24.94
Highest Balance : £10957.86
Lowest Balance : £24.76
Largest Single Drawdown : 11%
Largest Total Drawdown : 100%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £5567.79
Highest Balance : £10093.55
Lowest Balance : £5563.61
Largest Single Drawdown : 1%
Largest Total Drawdown : 45%


15min / 200 period ma
RESULTS of Analysis Ma1 (eur_usd_15min_p200)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 4812
Profitable : 600
Losses : 4212
Win Ratio : 12%
Total Pips : -8463
Avg Win : 63 pips
Avg Loss : -11 pips
Profit Factor : 5.74
Avg Trade Length : 0.5 days (11.3 hours)
Max Single Trade Win : 605 pips
Max Single Trade Drawdown : -341 pips
Max Total Drawdown : -8805 pips
Max Margin Requirement : 588 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £13192.76
Lowest Balance : £0.00
Largest Single Drawdown : 68%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £1611.62
Highest Balance : £10317.67
Lowest Balance : £1554.43
Largest Single Drawdown : 7%
Largest Total Drawdown : 85%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £8431.52
Highest Balance : £10031.71
Lowest Balance : £8400.68
Largest Single Drawdown : 1%
Largest Total Drawdown : 16%


I think 15min mas are best avoided.....

Utterly attrocious results for 5 min bars...

5min / 20 period ma
RESULTS of Analysis Ma1 (eur_usd_5min_p20)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 62989
Profitable : 8368
Losses : 54621
Win Ratio : 13%
Total Pips : -183342
Avg Win : 14 pips
Avg Loss : -6 pips
Profit Factor : 2.59
Avg Trade Length : 0.0 days (0.5 hours)
Max Single Trade Win : 549 pips
Max Single Trade Drawdown : -360 pips
Max Total Drawdown : -183614 pips
Max Margin Requirement : 607 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £14791.93
Lowest Balance : £0.00
Largest Single Drawdown : 72%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £0.00
Highest Balance : £10514.24
Lowest Balance : £0.00
Largest Single Drawdown : 7%
Largest Total Drawdown : 100%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £255.17
Highest Balance : £10051.58
Lowest Balance : £255.10
Largest Single Drawdown : 1%
Largest Total Drawdown : 97%


15 min / 50 period ma
RESULTS of Analysis Ma1 (eur_usd_5min_p50)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 39947
Profitable : 4474
Losses : 35473
Win Ratio : 11%
Total Pips : -118545
Avg Win : 21 pips
Avg Loss : -6 pips
Profit Factor : 3.50
Avg Trade Length : 0.0 days (1.0 hours)
Max Single Trade Win : 456 pips
Max Single Trade Drawdown : -529 pips
Max Total Drawdown : -118994 pips
Max Margin Requirement : 776 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £18736.61
Lowest Balance : £0.00
Largest Single Drawdown : 106%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £0.00
Highest Balance : £10787.24
Lowest Balance : £0.00
Largest Single Drawdown : 11%
Largest Total Drawdown : 100%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £932.53
Highest Balance : £10077.71
Lowest Balance : £931.39
Largest Single Drawdown : 1%
Largest Total Drawdown : 91%


5min / 200 ma
RESULTS of Analysis Ma1 (eur_usd_5min_p200)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 17153
Profitable : 1611
Losses : 15542
Win Ratio : 9%
Total Pips : -41539
Avg Win : 41 pips
Avg Loss : -7 pips
Profit Factor : 5.90
Avg Trade Length : 0.1 days (2.9 hours)
Max Single Trade Win : 520 pips
Max Single Trade Drawdown : -530 pips
Max Total Drawdown : -41903 pips
Max Margin Requirement : 777 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £16781.70
Lowest Balance : £0.00
Largest Single Drawdown : 106%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £2.11
Highest Balance : £10627.59
Lowest Balance : £2.09
Largest Single Drawdown : 11%
Largest Total Drawdown : 100%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £4350.28
Highest Balance : £10062.17
Lowest Balance : £4345.64
Largest Single Drawdown : 1%
Largest Total Drawdown : 57%

Finally 1min bars.... The trade drawdown figures are slightly skewed by the fact there are a few gaps in the data. Not much I can do about that.

1min / 20 min ma
RESULTS of Analysis Ma1 (eur_usd_1min_p20)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 370580
Profitable : 31306
Losses : 339274
Win Ratio : 8%
Total Pips : -1078002
Avg Win : 7 pips
Avg Loss : -4 pips
Profit Factor : 1.73
Avg Trade Length : 0.0 days (0.0 hours)
Max Single Trade Win : 524 pips
Max Single Trade Drawdown : -357 pips
Max Total Drawdown : -1078002 pips
Max Margin Requirement : 604 pips

All accounts ended up at £0.00

1min / 50min ma
RESULTS of Analysis Ma1 (eur_usd_1min_p50)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 238222
Profitable : 17342
Losses : 220880
Win Ratio : 7%
Total Pips : -704159
Avg Win : 10 pips
Avg Loss : -4 pips
Profit Factor : 2.43
Avg Trade Length : 0.0 days (0.1 hours)
Max Single Trade Win : 521 pips
Max Single Trade Drawdown : -358 pips
Max Total Drawdown : -704168 pips
Max Margin Requirement : 605 pips


All accounts £0.00

I'm going to leave 200ma - as it'll take a long to to run.


What has suprised me with simple ma's is the low win ratio. It never goes above 22% for any of the timeframes. However one positive note is that when a trade is a winner - it wins big, so I guess the task would be to filter out as many of the whipsaws as possible - so you are left with the winners.

Anybody trading 1/5/15 min moving averages - beware!

Now I'm going to look at exponential mas - to see if they offer an improvement over standard mas, - then I'll pick either ma's or ema's and do some crossover tests. I'm going to abandon looking at 1min and 5min bars for now because the results are so bad (and they take a while to process). When we start honing on a system that looks promising I'll test them on those timeframes again.

1day Emas - an immediate improvement noticable

1day / 20 day Ema
RESULTS of Analysis Ema2 (eur_usd_1day_p20)
Data from 04-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 216
Profitable : 48
Losses : 168
Win Ratio : 22%
Total Pips : -1771
Avg Win : 222 pips
Avg Loss : -74 pips
Profit Factor : 3.00
Avg Trade Length : 10.9 days (261.3 hours)
Max Single Trade Win : 997 pips
Max Single Trade Drawdown : -243 pips
Max Total Drawdown : -3265 pips
Max Margin Requirement : 490 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.02
Highest Balance : £10000.00
Lowest Balance : £0.01
Largest Single Drawdown : 49%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £6124.81
Highest Balance : £11674.24
Lowest Balance : £5707.64
Largest Single Drawdown : 5%
Largest Total Drawdown : 51%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9638.04
Highest Balance : £10219.28
Lowest Balance : £9566.98
Largest Single Drawdown : 0%
Largest Total Drawdown : 6%


1day / 50day Ema
RESULTS of Analysis Ema2 (eur_usd_1day_p50)
Data from 04-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 136
Profitable : 26
Losses : 110
Win Ratio : 19%
Total Pips : -643
Avg Win : 302 pips
Avg Loss : -77 pips
Profit Factor : 3.91
Avg Trade Length : 17.3 days (415.3 hours)
Max Single Trade Win : 979 pips
Max Single Trade Drawdown : -270 pips
Max Total Drawdown : -2017 pips
Max Margin Requirement : 518 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £10000.00
Lowest Balance : £0.00
Largest Single Drawdown : 54%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £7888.95
Highest Balance : £11079.46
Lowest Balance : £7312.66
Largest Single Drawdown : 5%
Largest Total Drawdown : 34%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9860.73
Highest Balance : £10157.68
Lowest Balance : £9755.23
Largest Single Drawdown : 1%
Largest Total Drawdown : 4%


1day / 200 day ema
RESULTS of Analysis Ema2 (eur_usd_1day_p200)
Data from 04-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 67
Profitable : 9
Losses : 58
Win Ratio : 13%
Total Pips : 724
Avg Win : 629 pips
Avg Loss : -85 pips
Profit Factor : 7.39
Avg Trade Length : 35.1 days (843.5 hours)
Max Single Trade Win : 1955 pips
Max Single Trade Drawdown : -243 pips
Max Total Drawdown : -1756 pips
Max Margin Requirement : 490 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £64.78
Highest Balance : £10000.00
Lowest Balance : £25.84
Largest Single Drawdown : 49%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £10254.74
Highest Balance : £12965.07
Lowest Balance : £8518.26
Largest Single Drawdown : 5%
Largest Total Drawdown : 31%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10131.86
Highest Balance : £10340.77
Lowest Balance : £9846.36
Largest Single Drawdown : 0%
Largest Total Drawdown : 3%

4hr candlesticks - best results on 200 period ema again...

4hr / 20 period ema
RESULTS of Analysis Ema2 (eur_usd_4hour_p20)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 1128
Profitable : 276
Losses : 852
Win Ratio : 24%
Total Pips : -4919
Avg Win : 89 pips
Avg Loss : -35 pips
Profit Factor : 2.57
Avg Trade Length : 2.1 days (49.8 hours)
Max Single Trade Win : 549 pips
Max Single Trade Drawdown : -370 pips
Max Total Drawdown : -5190 pips
Max Margin Requirement : 618 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £12209.87
Lowest Balance : £0.00
Largest Single Drawdown : 74%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £3292.19
Highest Balance : £10241.03
Lowest Balance : £3196.32
Largest Single Drawdown : 7%
Largest Total Drawdown : 69%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9051.36
Highest Balance : £10024.28
Lowest Balance : £9024.29
Largest Single Drawdown : 1%
Largest Total Drawdown : 10%


4hr / 50 period Ema
RESULTS of Analysis Ema2 (eur_usd_4hour_p50)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 678
Profitable : 144
Losses : 534
Win Ratio : 21%
Total Pips : -3023
Avg Win : 125 pips
Avg Loss : -39 pips
Profit Factor : 3.18
Avg Trade Length : 3.5 days (83.0 hours)
Max Single Trade Win : 1132 pips
Max Single Trade Drawdown : -532 pips
Max Total Drawdown : -3643 pips
Max Margin Requirement : 779 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £10534.59
Lowest Balance : £0.00
Largest Single Drawdown : 106%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £4734.40
Highest Balance : £10536.55
Lowest Balance : £4655.30
Largest Single Drawdown : 11%
Largest Total Drawdown : 56%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9399.13
Highest Balance : £10101.83
Lowest Balance : £9383.17
Largest Single Drawdown : 1%
Largest Total Drawdown : 7%


4hr / 200 period Ema
RESULTS of Analysis Ema2 (eur_usd_4hour_p200)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 339
Profitable : 57
Losses : 282
Win Ratio : 17%
Total Pips : 1329
Avg Win : 195 pips
Avg Loss : -35 pips
Profit Factor : 5.62
Avg Trade Length : 6.9 days (166.5 hours)
Max Single Trade Win : 1008 pips
Max Single Trade Drawdown : -194 pips
Max Total Drawdown : -1946 pips
Max Margin Requirement : 442 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £43.03
Highest Balance : £11301.71
Lowest Balance : £21.92
Largest Single Drawdown : 39%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £11483.35
Highest Balance : £13225.66
Lowest Balance : £8711.01
Largest Single Drawdown : 4%
Largest Total Drawdown : 33%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10255.23
Highest Balance : £10349.54
Lowest Balance : £9885.74
Largest Single Drawdown : 0%
Largest Total Drawdown : 4%

1 hour candlesticks - Results not so convincing now...

1hour / 20 hour Ema
RESULTS of Analysis Ema2 (eur_usd_1hour_p20)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 4532
Profitable : 1004
Losses : 3528
Win Ratio : 22%
Total Pips : -8742
Avg Win : 47 pips
Avg Loss : -16 pips
Profit Factor : 2.97
Avg Trade Length : 0.5 days (12.1 hours)
Max Single Trade Win : 503 pips
Max Single Trade Drawdown : -545 pips
Max Total Drawdown : -9315 pips
Max Margin Requirement : 792 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £12031.92
Lowest Balance : £0.00
Largest Single Drawdown : 109%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £1510.15
Highest Balance : £10906.14
Lowest Balance : £1482.22
Largest Single Drawdown : 11%
Largest Total Drawdown : 86%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £8383.96
Highest Balance : £10094.97
Lowest Balance : £8367.85
Largest Single Drawdown : 1%
Largest Total Drawdown : 17%


1hour / 50 hour Ema
RESULTS of Analysis Ema2 (eur_usd_1hour_p50)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 2760
Profitable : 506
Losses : 2254
Win Ratio : 18%
Total Pips : -4785
Avg Win : 69 pips
Avg Loss : -18 pips
Profit Factor : 3.91
Avg Trade Length : 0.8 days (20.1 hours)
Max Single Trade Win : 605 pips
Max Single Trade Drawdown : -354 pips
Max Total Drawdown : -4943 pips
Max Margin Requirement : 602 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £10000.00
Lowest Balance : £0.00
Largest Single Drawdown : 71%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £3358.32
Highest Balance : £10002.94
Lowest Balance : £3262.65
Largest Single Drawdown : 7%
Largest Total Drawdown : 67%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9075.00
Highest Balance : £10001.92
Lowest Balance : £9048.24
Largest Single Drawdown : 1%
Largest Total Drawdown : 10%


1 hour / 200 hour Ema
RESULTS of Analysis Ema2 (eur_usd_1hour_p200)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 1206
Profitable : 188
Losses : 1018
Win Ratio : 16%
Total Pips : -820
Avg Win : 110 pips
Avg Loss : -21 pips
Profit Factor : 5.21
Avg Trade Length : 1.9 days (46.5 hours)
Max Single Trade Win : 894 pips
Max Single Trade Drawdown : -532 pips
Max Total Drawdown : -2086 pips
Max Margin Requirement : 779 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £10000.00
Lowest Balance : £0.00
Largest Single Drawdown : 106%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £7443.41
Highest Balance : £11342.51
Lowest Balance : £7276.44
Largest Single Drawdown : 11%
Largest Total Drawdown : 36%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9824.01
Highest Balance : £10221.60
Lowest Balance : £9707.37
Largest Single Drawdown : 1%
Largest Total Drawdown : 4%

15 min data....

15 min / 20 period Emas
RESULTS of Analysis Ema2 (eur_usd_15min_p20)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 22220
Profitable : 3470
Losses : 18750
Win Ratio : 16%
Total Pips : -63515
Avg Win : 23 pips
Avg Loss : -8 pips
Profit Factor : 3.04
Avg Trade Length : 0.1 days (2.1 hours)
Max Single Trade Win : 471 pips
Max Single Trade Drawdown : -530 pips
Max Total Drawdown : -63873 pips
Max Margin Requirement : 777 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £16208.43
Lowest Balance : £0.00
Largest Single Drawdown : 106%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £0.03
Highest Balance : £10599.73
Lowest Balance : £0.03
Largest Single Drawdown : 11%
Largest Total Drawdown : 100%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £2803.22
Highest Balance : £10059.64
Lowest Balance : £2799.83
Largest Single Drawdown : 1%
Largest Total Drawdown : 72%


15min / 50 period Emas
RESULTS of Analysis Ema2 (eur_usd_15min_p50)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 12624
Profitable : 1832
Losses : 10792
Win Ratio : 15%
Total Pips : -30848
Avg Win : 35 pips
Avg Loss : -9 pips
Profit Factor : 3.99
Avg Trade Length : 0.2 days (4.1 hours)
Max Single Trade Win : 519 pips
Max Single Trade Drawdown : -530 pips
Max Total Drawdown : -31303 pips
Max Margin Requirement : 777 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £19519.38
Lowest Balance : £0.00
Largest Single Drawdown : 106%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £17.96
Highest Balance : £10805.18
Lowest Balance : £17.74
Largest Single Drawdown : 11%
Largest Total Drawdown : 100%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £5387.55
Highest Balance : £10079.06
Lowest Balance : £5381.04
Largest Single Drawdown : 1%
Largest Total Drawdown : 47%


15min / 200 period Ema
RESULTS of Analysis Ema2 (eur_usd_15min_p200)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 5658
Profitable : 695
Losses : 4963
Win Ratio : 12%
Total Pips : -10526
Avg Win : 57 pips
Avg Loss : -10 pips
Profit Factor : 5.63
Avg Trade Length : 0.4 days (9.6 hours)
Max Single Trade Win : 608 pips
Max Single Trade Drawdown : -331 pips
Max Total Drawdown : -10846 pips
Max Margin Requirement : 579 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £10105.29
Lowest Balance : £0.00
Largest Single Drawdown : 66%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £1067.49
Highest Balance : £10404.66
Lowest Balance : £1048.58
Largest Single Drawdown : 7%
Largest Total Drawdown : 90%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £8090.76
Highest Balance : £10044.92
Lowest Balance : £8075.79
Largest Single Drawdown : 1%
Largest Total Drawdown : 20%


I think what is clear here is that the 200 period Emas consistently do better than the other periods with the most successful strategy being trading the 4hr / 200Ema - which will generates a profit long term. However a 30% DD is a little hard to swallow.

Also Emas are consistently out-performing the Mas which a slightly better win-lose ratio.

I think though that all of these are suffering from whipsaws - so I'm now going to test Ema crossovers using combinations of 20/50/200 periods. So if the shorter Ema is higher than the slower then you buy, otherwise you sell.

Results soon....

excellent, comprehensive work Hoggums, and for me, a little disturbing.

I am going to go through some serious testing, thanks to a members insights to calculating indicator signals into an output file.

could you identify your data source, if it isnt private?
I am looking to using Metatrader-4 with FDD as my data-source.
have a good weekend, and look forward to your further posts.

Immediately a noticable improvement in the results......

1 day candlesticks.. Immediately you'll notice how the number of trades is drastically reduced and the win ratio rockets up. The 20/200 Ema Xover doubles your money on the medium MM. I'm looking forward to seeing how it does on the other bars now...

1day / 20,50 period Ema crossover..
RESULTS of Analysis EmaX3 (eur_usd_1day_p20_50)
Data from 04-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 36
Profitable : 12
Losses : 24
Win Ratio : 33%
Total Pips : 1927
Avg Win : 504 pips
Avg Loss : -172 pips
Profit Factor : 2.93
Avg Trade Length : 65.4 days (1570.0 hours)
Max Single Trade Win : 2370 pips
Max Single Trade Drawdown : -361 pips
Max Total Drawdown : -1819 pips
Max Margin Requirement : 608 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £77766.24
Lowest Balance : £0.00
Largest Single Drawdown : 64%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £12763.46
Highest Balance : £17807.62
Lowest Balance : £9732.00
Largest Single Drawdown : 7%
Largest Total Drawdown : 32%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10375.65
Highest Balance : £10696.56
Lowest Balance : £9973.20
Largest Single Drawdown : 1%
Largest Total Drawdown : 4%


1day / 20,200 period Ema crossovers
RESULTS of Analysis EmaX3 (eur_usd_1day_p20_200)
Data from 04-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 9
Profitable : 5
Losses : 4
Win Ratio : 56%
Total Pips : 4485
Avg Win : 1021 pips
Avg Loss : -154 pips
Profit Factor : 6.61
Avg Trade Length : 261.7 days (6281.2 hours)
Max Single Trade Win : 2851 pips
Max Single Trade Drawdown : -193 pips
Max Total Drawdown : -282 pips
Max Margin Requirement : 512 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £10000.00
Lowest Balance : £0.00
Largest Single Drawdown : 39%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £21086.19
Highest Balance : £21086.19
Lowest Balance : £9481.49
Largest Single Drawdown : 4%
Largest Total Drawdown : 6%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10917.62
Highest Balance : £10917.62
Lowest Balance : £9949.18
Largest Single Drawdown : 0%
Largest Total Drawdown : 1%


1day / 50,200 period Ema crossovers
RESULTS of Analysis EmaX3 (eur_usd_1day_p50_200)
Data from 04-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 7
Profitable : 3
Losses : 4
Win Ratio : 43%
Total Pips : 2839
Avg Win : 1341 pips
Avg Loss : -296 pips
Profit Factor : 4.53
Avg Trade Length : 336.5 days (8075.8 hours)
Max Single Trade Win : 3080 pips
Max Single Trade Drawdown : -446 pips
Max Total Drawdown : -866 pips
Max Margin Requirement : 703 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £10000.00
Lowest Balance : £0.00
Largest Single Drawdown : 89%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £15069.04
Highest Balance : £15069.04
Lowest Balance : £8349.51
Largest Single Drawdown : 9%
Largest Total Drawdown : 17%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10562.46
Highest Balance : £10562.46
Lowest Balance : £9827.62
Largest Single Drawdown : 1%
Largest Total Drawdown : 2%

4hr candlesticks.

Results not so good as daily bars. The only one to make a profit is the 50,200 crossover.

4hr / 20,50 Ema Xover
RESULTS of Analysis EmaX3 (eur_usd_4hour_p20_50)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 193
Profitable : 49
Losses : 144
Win Ratio : 25%
Total Pips : -2207
Avg Win : 240 pips
Avg Loss : -97 pips
Profit Factor : 2.47
Avg Trade Length : 12.2 days (292.7 hours)
Max Single Trade Win : 966 pips
Max Single Trade Drawdown : -314 pips
Max Total Drawdown : -3235 pips
Max Margin Requirement : 578 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £10000.00
Lowest Balance : £0.00
Largest Single Drawdown : 58%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £5499.48
Highest Balance : £10988.94
Lowest Balance : £5372.29
Largest Single Drawdown : 6%
Largest Total Drawdown : 51%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9552.32
Highest Balance : £10171.54
Lowest Balance : £9527.43
Largest Single Drawdown : 1%
Largest Total Drawdown : 6%


4hr / 20,200 Ema Xover
RESULTS of Analysis EmaX3 (eur_usd_4hour_p20_200)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 99
Profitable : 26
Losses : 73
Win Ratio : 26%
Total Pips : -1078
Avg Win : 303 pips
Avg Loss : -123 pips
Profit Factor : 2.47
Avg Trade Length : 23.8 days (571.0 hours)
Max Single Trade Win : 967 pips
Max Single Trade Drawdown : -265 pips
Max Total Drawdown : -1728 pips
Max Margin Requirement : 537 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £10000.00
Lowest Balance : £0.00
Largest Single Drawdown : 51%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £7203.61
Highest Balance : £10000.00
Lowest Balance : £6602.70
Largest Single Drawdown : 5%
Largest Total Drawdown : 34%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9775.10
Highest Balance : £10000.00
Lowest Balance : £9653.28
Largest Single Drawdown : 1%
Largest Total Drawdown : 3%


4hr / 50,200 Ema Xover
RESULTS of Analysis EmaX3 (eur_usd_4hour_p50_200)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 59
Profitable : 18
Losses : 41
Win Ratio : 31%
Total Pips : 898
Avg Win : 398 pips
Avg Loss : -153 pips
Profit Factor : 2.60
Avg Trade Length : 39.9 days (958.4 hours)
Max Single Trade Win : 909 pips
Max Single Trade Drawdown : -312 pips
Max Total Drawdown : -1122 pips
Max Margin Requirement : 574 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £10000.00
Lowest Balance : £0.00
Largest Single Drawdown : 53%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £10823.88
Highest Balance : £11894.55
Lowest Balance : £8199.33
Largest Single Drawdown : 6%
Largest Total Drawdown : 21%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10170.46
Highest Balance : £10259.80
Lowest Balance : £9838.28
Largest Single Drawdown : 1%
Largest Total Drawdown : 2%

1hr candlesticks

1hr / 20,50 Ema Xover
RESULTS of Analysis EmaX3 (eur_usd_1hour_p20_50)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 700
Profitable : 201
Losses : 499
Win Ratio : 29%
Total Pips : -2237
Avg Win : 114 pips
Avg Loss : -50 pips
Profit Factor : 2.26
Avg Trade Length : 3.4 days (80.4 hours)
Max Single Trade Win : 539 pips
Max Single Trade Drawdown : -202 pips
Max Total Drawdown : -3235 pips
Max Margin Requirement : 449 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00
Highest Balance : £10000.00
Lowest Balance : £0.00
Largest Single Drawdown : 40%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £5613.75
Highest Balance : £10981.75
Lowest Balance : £5335.30
Largest Single Drawdown : 4%
Largest Total Drawdown : 51%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9549.86
Highest Balance : £10143.66
Lowest Balance : £9500.86
Largest Single Drawdown : 0%
Largest Total Drawdown : 6%


1hr / 20,200 Ema Xover
RESULTS of Analysis EmaX3 (eur_usd_1hour_p20_200)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 349
Profitable : 90
Losses : 259
Win Ratio : 26%
Total Pips : -1354
Avg Win : 171 pips
Avg Loss : -65 pips
Profit Factor : 2.65
Avg Trade Length : 6.7 days (161.7 hours)
Max Single Trade Win : 978 pips
Max Single Trade Drawdown : -308 pips
Max Total Drawdown : -2810 pips
Max Margin Requirement : 556 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £10000.00
Lowest Balance : £0.00
Largest Single Drawdown : 51%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £6548.53
Highest Balance : £12235.50
Lowest Balance : £6488.19
Largest Single Drawdown : 6%
Largest Total Drawdown : 47%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9717.15
Highest Balance : £10277.25
Lowest Balance : £9682.46
Largest Single Drawdown : 1%
Largest Total Drawdown : 6%


1hour / 50,200 Ema Xover
RESULTS of Analysis EmaX3 (eur_usd_1hour_p50_200)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 231
Profitable : 61
Losses : 170
Win Ratio : 26%
Total Pips : -1243
Avg Win : 218 pips
Avg Loss : -85 pips
Profit Factor : 2.55
Avg Trade Length : 10.2 days (244.5 hours)
Max Single Trade Win : 1041 pips
Max Single Trade Drawdown : -327 pips
Max Total Drawdown : -2700 pips
Max Margin Requirement : 575 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £10000.00
Lowest Balance : £0.00
Largest Single Drawdown : 58%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £6632.05
Highest Balance : £11917.39
Lowest Balance : £6492.37
Largest Single Drawdown : 7%
Largest Total Drawdown : 46%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9737.66
Highest Balance : £10260.21
Lowest Balance : £9616.79
Largest Single Drawdown : 1%
Largest Total Drawdown : 5%