Well, the 7-9 system has performed very poorly over 30 days. From my observations, it seems the 7-9 range is a shade too tight, resulting in too many false signals and stop outs. e.g Yesterday it missed that lovely run down by going long practically on the day's high. Perhaps the backtests enjoyed a number of days when the 7-9 range was wider and more volatile?
So from now on I'll be shamelessly using Jonny T's 7-10 range, with a 30 pip fixed stop, in the hope that it will reject more noise and only leap on the the back of honest, profitable trends.
Good news is that slippage has been minimal so that we now have 23 pips of "credit" when compared to theoretical results. The payroll data on Friday may well cause a dip into this credit, and then some! We shall see...
Results, FWIW
Date top BO bot BO Trade Close P/L slip th slip th P/L re P/L Tot th Tot re
22/9/04 1.2328 1.2286 S 1.2286 Cl 1.2251 34.5 0 1 33.5 34.5 169.5 185.5
23/9/04 1.2287 1.2249 L 1.2287 st 1.2257 -30.5 0 1 -31.5 -30.5 138 155
24/9/04 1.2278 1.2257 L 1.2278 st 1.2257 -21.5 0 1 -22.5 -21.5 115.5 133.5
27/9/04 1.2274 1.2243 L 1.2274 st 1.2244 -30.5 0 1 -31.5 -30.5 84 103
28/9/04 1.2304 1.2276 L 1.2305 Cl 1.2313 7.5 1 1 7.5 7.5 91.5 110.5
29/9/04 1.2325 1.2303 L 1.2325 st 1.2303 -22.5 0 1 -23.5 -22.5 68 88
30/9/04 1.2334 1.2313 S 1.2313 st 1.2334 -21.5 0 1 -22.5 -21.5 45.5 66.5
1/10/04 1.2431 1.2400 S 1.2400 Cl 1.2409 -9.5 0 1 -10.5 -9.5 35 57
4/10/04 1.2375 1.2350 L 1.2375 st 1.2350 -25.5 0 1 -26.5 -25.5 8.5 31.5
Days 30
Av pips per day 1.05 (steady on mate, Merrill will be headhunting for sure
Av pips per r/t 0.83
No round trips 38
Won 13
Lost 24
Percentage won 35.1
Total loss pips -664
Total profit pips 695.5
Av loss pips -27.66
Av profit pips 53.5
Av W to Av L Ratio 1.93
Well at least testing has cost nothing and the discipline has cedrtainly been salutary in regard to my swing trading.