Backtesting of technical indicators

15min candlesticks

15min / 20,50 Ema Xover
RESULTS of Analysis EmaX3 (eur_usd_15min_p20_50)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 2836
Profitable : 787
Losses : 2049
Win Ratio : 28%
Total Pips : -3379
Avg Win : 55 pips
Avg Loss : -23 pips
Profit Factor : 2.42
Avg Trade Length : 0.8 days (19.5 hours)
Max Single Trade Win : 493 pips
Max Single Trade Drawdown : -536 pips
Max Total Drawdown : -4570 pips
Max Margin Requirement : 784 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £40383.35
Lowest Balance : £0.00
Largest Single Drawdown : 107%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £4428.07
Highest Balance : £12065.70
Lowest Balance : £4275.73
Largest Single Drawdown : 11%
Largest Total Drawdown : 65%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9333.36
Highest Balance : £10196.97
Lowest Balance : £9300.25
Largest Single Drawdown : 1%
Largest Total Drawdown : 9%


15min / 20,200 Ema Xover
RESULTS of Analysis EmaX3 (eur_usd_15min_p20_200)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 1344
Profitable : 318
Losses : 1026
Win Ratio : 24%
Total Pips : -4429
Avg Win : 86 pips
Avg Loss : -31 pips
Profit Factor : 2.78
Avg Trade Length : 1.7 days (41.7 hours)
Max Single Trade Win : 620 pips
Max Single Trade Drawdown : -354 pips
Max Total Drawdown : -4754 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 : £3635.40
Highest Balance : £10233.45
Lowest Balance : £3504.86
Largest Single Drawdown : 7%
Largest Total Drawdown : 66%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9140.61
Highest Balance : £10027.36
Lowest Balance : £9106.64
Largest Single Drawdown : 1%
Largest Total Drawdown : 9%


15min / 50,200 Ema Xover
RESULTS of Analysis EmaX3 (eur_usd_15min_p50_200)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 900
Profitable : 242
Losses : 658
Win Ratio : 27%
Total Pips : -4757
Avg Win : 97 pips
Avg Loss : -43 pips
Profit Factor : 2.26
Avg Trade Length : 2.6 days (62.5 hours)
Max Single Trade Win : 557 pips
Max Single Trade Drawdown : -357 pips
Max Total Drawdown : -5007 pips
Max Margin Requirement : 604 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 : £3412.13
Highest Balance : £10000.00
Lowest Balance : £3258.61
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 : £9081.06
Highest Balance : £10001.76
Lowest Balance : £9038.82
Largest Single Drawdown : 1%
Largest Total Drawdown : 10%



There you have it. I think the results are quite clear. If you are trading an Ema crossover system for Eur.Usd then stick with the longer timeframes. 1day candlesticks with Ema 20/200 is the one found here to return the best results.

This moves me onto MACD, I know a lot of people use this indicator - so I'll be running some tests on MACD zero crossings next week.
 
trendie said:
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.
Click to expand...

Thanks for your comments. The one thing that suprises me is how low the win-lose ratio is. I always suspected the shorter the timeframe the worse the results - but I think these tests go to show how poor simple moving averages are to base a trading system off them.

I got my data from gain capital.. http://ratedata.gaincapital.com/ There are some errors in it and it took a while to write a program to sort out the duplicate entries/ duff data, but it's pretty detailed and I'm able to construct 1min->1day candlestick info from it.
 
MACD testing. I'm going to stick with the standard parameters 12,26,9

Here are the results

1day bars/ Macd 12,26,9
RESULTS of Analysis Macd5 (eur_usd_1day_p12_26_9)
Data from 05-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 139
Profitable : 46
Losses : 93
Win Ratio : 33%
Total Pips : 101
Avg Win : 233 pips
Avg Loss : -114 pips
Profit Factor : 2.04
Avg Trade Length : 16.9 days (406.2 hours)
Max Single Trade Win : 936 pips
Max Single Trade Drawdown : -328 pips
Max Total Drawdown : -2194 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 : 60%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £9004.82
Highest Balance : £11891.73
Lowest Balance : £7290.45
Largest Single Drawdown : 7%
Largest Total Drawdown : 39%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10007.14
Highest Balance : £10231.48
Lowest Balance : £9751.58
Largest Single Drawdown : 1%
Largest Total Drawdown : 4%


4 hour bars / 12,26,9 Macd
RESULTS of Analysis Macd5 (eur_usd_4hour_p12_26_9)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 771
Profitable : 243
Losses : 528
Win Ratio : 32%
Total Pips : -5140
Avg Win : 98 pips
Avg Loss : -55 pips
Profit Factor : 1.79
Avg Trade Length : 3.0 days (73.0 hours)
Max Single Trade Win : 469 pips
Max Single Trade Drawdown : -370 pips
Max Total Drawdown : -5450 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 : £10000.00
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 : £3142.80
Highest Balance : £10000.00
Lowest Balance : £2956.11
Largest Single Drawdown : 7%
Largest Total Drawdown : 70%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9011.27
Highest Balance : £10000.00
Lowest Balance : £8955.56
Largest Single Drawdown : 1%
Largest Total Drawdown : 10%


1 hour bar / 12,26,9 Macd
RESULTS of Analysis Macd5 (eur_usd_1hour_p12_26_9)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 2742
Profitable : 965
Losses : 1777
Win Ratio : 35%
Total Pips : -1349
Avg Win : 53 pips
Avg Loss : -29 pips
Profit Factor : 1.79
Avg Trade Length : 0.8 days (20.2 hours)
Max Single Trade Win : 472 pips
Max Single Trade Drawdown : -527 pips
Max Total Drawdown : -3001 pips
Max Margin Requirement : 774 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £16973.46
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 : £6533.48
Highest Balance : £12584.95
Lowest Balance : £6444.69
Largest Single Drawdown : 11%
Largest Total Drawdown : 49%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9718.47
Highest Balance : £10312.45
Lowest Balance : £9704.91
Largest Single Drawdown : 1%
Largest Total Drawdown : 6%


15 min bars / 12,26,9 macd
RESULTS of Analysis Macd5 (eur_usd_15min_p12_26_9)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 11781
Profitable : 3300
Losses : 8481
Win Ratio : 28%
Total Pips : -31260
Avg Win : 24 pips
Avg Loss : -13 pips
Profit Factor : 1.85
Avg Trade Length : 0.2 days (4.4 hours)
Max Single Trade Win : 356 pips
Max Single Trade Drawdown : -534 pips
Max Total Drawdown : -31800 pips
Max Margin Requirement : 782 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £21296.64
Lowest Balance : £0.00
Largest Single Drawdown : 55%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £16.60
Highest Balance : £10948.91
Lowest Balance : £16.35
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 : £5343.57
Highest Balance : £10093.01
Lowest Balance : £5335.46
Largest Single Drawdown : 1%
Largest Total Drawdown : 47%


I think it's clear that Macd does not show any advantage over a simple Ema crossover.

Next up RSI.
 
Firstly a simple RSI test - I don't expect results to be much different to a MA test. If the RSI > 50 you buy if RSI < 50 you sell. I'll do more complicated rules after.

I'm using a 14 day period for the RSI as suggested by Wilder, the creator of RSI.

1 day bar / 14 period RSI
RESULTS of Analysis RSI6 (eur_usd_1day_p14_0_0)
Data from 23-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 177
Profitable : 66
Losses : 111
Win Ratio : 37%
Total Pips : 520
Avg Win : 186 pips
Avg Loss : -106 pips
Profit Factor : 1.76
Avg Trade Length : 13.2 days (316.4 hours)
Max Single Trade Win : 1232 pips
Max Single Trade Drawdown : -373 pips
Max Total Drawdown : -3062 pips
Max Margin Requirement : 621 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 : 73%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £9386.85
Highest Balance : £12696.23
Lowest Balance : £6761.67
Largest Single Drawdown : 7%
Largest Total Drawdown : 47%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10086.58
Highest Balance : £10307.75
Lowest Balance : £9693.78
Largest Single Drawdown : 1%
Largest Total Drawdown : 6%


4 hour bars / RSI 14 periods
RESULTS of Analysis RSI6 (eur_usd_4hour_p14_0_0)
Data from 04-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 1082
Profitable : 420
Losses : 662
Win Ratio : 39%
Total Pips : -140
Avg Win : 66 pips
Avg Loss : -42 pips
Profit Factor : 1.57
Avg Trade Length : 2.2 days (51.8 hours)
Max Single Trade Win : 583 pips
Max Single Trade Drawdown : -196 pips
Max Total Drawdown : -4010 pips
Max Margin Requirement : 444 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.03
Highest Balance : £10000.00
Lowest Balance : £0.02
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 : £8431.43
Highest Balance : £18662.16
Lowest Balance : £8150.50
Largest Single Drawdown : 4%
Largest Total Drawdown : 56%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9957.45
Highest Balance : £10755.09
Lowest Balance : £9902.38
Largest Single Drawdown : 0%
Largest Total Drawdown : 8%


1 hour / RSI - 14 period
RESULTS of Analysis RSI6 (eur_usd_1hour_p14_0_0)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 4204
Profitable : 1368
Losses : 2836
Win Ratio : 33%
Total Pips : -13204
Avg Win : 34 pips
Avg Loss : -21 pips
Profit Factor : 1.61
Avg Trade Length : 0.5 days (13.0 hours)
Max Single Trade Win : 525 pips
Max Single Trade Drawdown : -545 pips
Max Total Drawdown : -13981 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 : £15668.35
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 : £612.42
Highest Balance : £11018.22
Lowest Balance : £581.80
Largest Single Drawdown : 11%
Largest Total Drawdown : 95%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £7667.31
Highest Balance : £10103.19
Lowest Balance : £7627.60
Largest Single Drawdown : 1%
Largest Total Drawdown : 25%


15min / 14 period RSI
RESULTS of Analysis RSI6 (eur_usd_15min_p14_0_0)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 18745
Profitable : 4931
Losses : 13814
Win Ratio : 26%
Total Pips : -47535
Avg Win : 16 pips
Avg Loss : -9 pips
Profit Factor : 1.76
Avg Trade Length : 0.1 days (2.6 hours)
Max Single Trade Win : 480 pips
Max Single Trade Drawdown : -534 pips
Max Total Drawdown : -47786 pips
Max Margin Requirement : 782 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £13382.25
Lowest Balance : £0.00
Largest Single Drawdown : 107%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £0.64
Highest Balance : £10418.15
Lowest Balance : £0.63
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 : £3858.83
Highest Balance : £10042.61
Lowest Balance : £3855.94
Largest Single Drawdown : 1%
Largest Total Drawdown : 62%
 
In Wilders original book he suggested the RSI crossing 30 was a buy signal and crossing 70 was a sell signal.

So my next test will be to open a buy if RSI < 30 and open a sell if RSI > 70. No rules for closing the trade until an opposite trade is triggered.

I'll try 30-70 at first - then I'll test 80-20,90-10 levels for the most profitable bars
 
RSI at 30,70 triggers trades. Take a look at the win ratios...

1day bars / RSI-14 30-70 levels
Trades : 28
Profitable : 15
Losses : 13
Win Ratio : 54%
Total Pips : -2317
Avg Win : 259 pips
Avg Loss : -477 pips
Profit Factor : 0.54
Avg Trade Length : 83.1 days (1995.4 hours)
Max Single Trade Win : 381 pips
Max Single Trade Drawdown : -1338 pips
Max Total Drawdown : -3865 pips
Max Margin Requirement : 2050 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 : 73%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £5448.81
Highest Balance : £10000.00
Lowest Balance : £4065.83
Largest Single Drawdown : 27%
Largest Total Drawdown : 59%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9534.95
Highest Balance : £10000.00
Lowest Balance : £9245.77
Largest Single Drawdown : 3%
Largest Total Drawdown : 8%


4hour / RSI-14 30,70 levels
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_30_70)
Data from 08-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 246
Profitable : 161
Losses : 85
Win Ratio : 65%
Total Pips : 1800
Avg Win : 97 pips
Avg Loss : -163 pips
Profit Factor : 0.60
Avg Trade Length : 9.5 days (229.0 hours)
Max Single Trade Win : 289 pips
Max Single Trade Drawdown : -1383 pips
Max Total Drawdown : -2906 pips
Max Margin Requirement : 1806 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £10610.00
Lowest Balance : £0.00
Largest Single Drawdown : 16%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £11990.44
Highest Balance : £19968.11
Lowest Balance : £9899.02
Largest Single Drawdown : 28%
Largest Total Drawdown : 49%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10349.35
Highest Balance : £10786.84
Lowest Balance : £9989.99
Largest Single Drawdown : 3%
Largest Total Drawdown : 6%


1hour / RSI-14 30,70 levels
RESULTS of Analysis RSI7 (eur_usd_1hour_p14_30_70)
Data from 03-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 879
Profitable : 565
Losses : 314
Win Ratio : 64%
Total Pips : 380
Avg Win : 50 pips
Avg Loss : -89 pips
Profit Factor : 0.56
Avg Trade Length : 2.7 days (63.9 hours)
Max Single Trade Win : 337 pips
Max Single Trade Drawdown : -568 pips
Max Total Drawdown : -2642 pips
Max Margin Requirement : 895 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £19495.84
Lowest Balance : £0.00
Largest Single Drawdown : 50%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £9363.47
Highest Balance : £10830.09
Lowest Balance : £5757.45
Largest Single Drawdown : 11%
Largest Total Drawdown : 47%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10062.25
Highest Balance : £10117.33
Lowest Balance : £9560.92
Largest Single Drawdown : 1%
Largest Total Drawdown : 5%


15min / RSI-14 30,70 levels
RESULTS of Analysis RSI7 (eur_usd_15min_p14_30_70)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 2890
Profitable : 1766
Losses : 1124
Win Ratio : 61%
Total Pips : -8379
Avg Win : 25 pips
Avg Loss : -47 pips
Profit Factor : 0.54
Avg Trade Length : 0.8 days (19.2 hours)
Max Single Trade Win : 298 pips
Max Single Trade Drawdown : -609 pips
Max Total Drawdown : -8913 pips
Max Margin Requirement : 881 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £13922.55
Lowest Balance : £0.00
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 : £1601.25
Highest Balance : £10355.91
Lowest Balance : £1499.59
Largest Single Drawdown : 12%
Largest Total Drawdown : 86%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £8444.19
Highest Balance : £10035.24
Lowest Balance : £8384.45
Largest Single Drawdown : 1%
Largest Total Drawdown : 16%
 
Best results were from 4hr and 1hr bars - so I'm going to test those with 20-80 and 10-90 trigger levels

4hr / RSI-14 20-80
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_20_80)
Data from 12-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 117
Profitable : 75
Losses : 42
Win Ratio : 64%
Total Pips : 2377
Avg Win : 156 pips
Avg Loss : -222 pips
Profit Factor : 0.70
Avg Trade Length : 20.0 days (481.1 hours)
Max Single Trade Win : 530 pips
Max Single Trade Drawdown : -842 pips
Max Total Drawdown : -2157 pips
Max Margin Requirement : 1816 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £34353.07
Lowest Balance : £0.00
Largest Single Drawdown : 24%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £13893.77
Highest Balance : £16025.63
Lowest Balance : £7745.16
Largest Single Drawdown : 17%
Largest Total Drawdown : 37%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10472.10
Highest Balance : £10606.00
Lowest Balance : £9780.90
Largest Single Drawdown : 2%
Largest Total Drawdown : 4%


4hr / RSI-14 10-90
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_10_90)
Data from 01-Feb-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 25
Profitable : 16
Losses : 9
Win Ratio : 64%
Total Pips : -342
Avg Win : 271 pips
Avg Loss : -519 pips
Profit Factor : 0.52
Avg Trade Length : 93.1 days (2233.7 hours)
Max Single Trade Win : 552 pips
Max Single Trade Drawdown : -886 pips
Max Total Drawdown : -2872 pips
Max Margin Requirement : 1816 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £41153.69
Lowest Balance : £0.00
Largest Single Drawdown : 27%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £8379.29
Highest Balance : £12461.94
Lowest Balance : £6584.08
Largest Single Drawdown : 18%
Largest Total Drawdown : 47%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9921.66
Highest Balance : £10252.94
Lowest Balance : £9674.99
Largest Single Drawdown : 2%
Largest Total Drawdown : 6%


1hr / RSI-14 20-80
RESULTS of Analysis RSI7 (eur_usd_1hour_p14_20_80)
Data from 03-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 338
Profitable : 202
Losses : 136
Win Ratio : 60%
Total Pips : -1109
Avg Win : 81 pips
Avg Loss : -128 pips
Profit Factor : 0.63
Avg Trade Length : 7.0 days (166.9 hours)
Max Single Trade Win : 390 pips
Max Single Trade Drawdown : -1108 pips
Max Total Drawdown : -3543 pips
Max Margin Requirement : 1491 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £12840.56
Lowest Balance : £0.00
Largest Single Drawdown : 35%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £6900.77
Highest Balance : £10444.11
Lowest Balance : £4532.34
Largest Single Drawdown : 22%
Largest Total Drawdown : 57%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9766.67
Highest Balance : £10045.49
Lowest Balance : £9347.16
Largest Single Drawdown : 2%
Largest Total Drawdown : 7%


1hour / RSI-14 10-90
RESULTS of Analysis RSI7 (eur_usd_1hour_p14_10_90)
Data from 03-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 79
Profitable : 44
Losses : 35
Win Ratio : 56%
Total Pips : 663
Avg Win : 188 pips
Avg Loss : -217 pips
Profit Factor : 0.86
Avg Trade Length : 29.8 days (715.2 hours)
Max Single Trade Win : 1057 pips
Max Single Trade Drawdown : -884 pips
Max Total Drawdown : -3142 pips
Max Margin Requirement : 1328 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £33600.40
Lowest Balance : £0.00
Largest Single Drawdown : 132%
Largest Total Drawdown : 132%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £9972.38
Highest Balance : £11506.49
Lowest Balance : £5752.11
Largest Single Drawdown : 18%
Largest Total Drawdown : 50%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10120.06
Highest Balance : £10252.25
Lowest Balance : £9520.25
Largest Single Drawdown : 2%
Largest Total Drawdown : 6%


The optimum level appears to be between 20-80 (4hr) and 30-70 (1hr).

I'm going to take the RSI-14 30-70 results (as they have a good win ratio) and test the effects of stoplosses on these - to see how setting tight/wide stoplosses affects the results. Afterwards I'll take a look at adding limits to see if they are worth while.
 
Hoggums said:
In Wilders original book he suggested the RSI crossing 30 was a buy signal and crossing 70 was a sell signal.

So my next test will be to open a buy if RSI < 30 and open a sell if RSI > 70. No rules for closing the trade until an opposite trade is triggered.

I'll try 30-70 at first - then I'll test 80-20,90-10 levels for the most profitable bars
Click to expand...

continuing excellent work Hoggums.

one point I would like to raise regarding your tests on RSI, which may be relevant to the MAs as well.

the not-so-wonderful RSI results on the >50/<50 and the quite-good 70/30 are fundamentally different.
whereas the 50/50 and MA cross-overs were hit due primarily to choppy conditions, the whipsaws happened because of the flip-flop cross-overs on the MAs and the 50/50 line on the RSI.

you are getting bigger bites because the 30/70 are far apart you are effectively riding out the choppiness.

This is NOT a function of the Moving Average, or the RSI.
It is a function of the gap you are placing between triggers. ( 30 and 70 )
This gap is essentially a filter for choppiness.

for example, if you re-did the tests with 45 / 55 instead of 50/50, I suspect several choppy trades would be ironed out by virtue of several bars having to form before the opposite trade is triggered. (and reducing consecutive choppy trades)
this in itself would reduce the number of trades, and reduce commissions.
cant say if it would make it profitable though.

the above does not in any way undermine your results, which are excellent, but just wanted to point out the distinction between the 50/50 RSI and 30/70 RSI, and how the second set of (profitable) tests may not be comparable.
 
trendie said:
continuing excellent work Hoggums.

one point I would like to raise regarding your tests on RSI, which may be relevant to the MAs as well.

the not-so-wonderful RSI results on the >50/<50 and the quite-good 70/30 are fundamentally different.
whereas the 50/50 and MA cross-overs were hit due primarily to choppy conditions, the whipsaws happened because of the flip-flop cross-overs on the MAs and the 50/50 line on the RSI.

you are getting bigger bites because the 30/70 are far apart you are effectively riding out the choppiness.

This is NOT a function of the Moving Average, or the RSI.
It is a function of the gap you are placing between triggers. ( 30 and 70 )
This gap is essentially a filter for choppiness.

for example, if you re-did the tests with 45 / 55 instead of 50/50, I suspect several choppy trades would be ironed out by virtue of several bars having to form before the opposite trade is triggered. (and reducing consecutive choppy trades)
this in itself would reduce the number of trades, and reduce commissions.
cant say if it would make it profitable though.

the above does not in any way undermine your results, which are excellent, but just wanted to point out the distinction between the 50/50 RSI and 30/70 RSI, and how the second set of (profitable) tests may not be comparable.
Click to expand...

I think you are quite right trendie, just for your benefit heres the results for a 4hr bar 44 55 test.

RESULTS of Analysis RSI7 (eur_usd_4hour_p14_45_55)
Data from 05-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 569
Profitable : 352
Losses : 217
Win Ratio : 62%
Total Pips : -1440
Avg Win : 58 pips
Avg Loss : -102 pips
Profit Factor : 0.58
Avg Trade Length : 4.1 days (98.9 hours)
Max Single Trade Win : 257 pips
Max Single Trade Drawdown : -901 pips
Max Total Drawdown : -5512 pips
Max Margin Requirement : 1322 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £29005.85
Lowest Balance : £0.00
Largest Single Drawdown : 37%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £6508.27
Highest Balance : £12258.99
Lowest Balance : £3650.38
Largest Single Drawdown : 18%
Largest Total Drawdown : 70%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9702.89
Highest Balance : £10213.69
Lowest Balance : £9137.91
Largest Single Drawdown : 2%
Largest Total Drawdown : 11%


I think the "gap" 45-55 isn't big enough to filter out this choppyness.
 
Now I'm looking at the effect of stop losses, for the moment I'm just going to test them on 4hr candles using RSI with 80-20 trigger levels. I think the stops you need will need to be relative to the candlestick length you are trading from - something I will look at later.

I'm going to use absolute stops in terms of pips instead of percentage. I think it is ok to do this as we're dealing with a currency cross. If I were dealing with index data then I would set the stops as a percentage.

To start I'll run the test without any stop and then I'll try the following: 300pips, 100, 50, 25, 10 and 5. There will be no limits and the stops won't move. As soon as a trade is stopped out it is not opened until a new buy/sell signal is given.

no stoploss (recap)
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_20_80_99999)
Data from 12-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 117
Profitable : 75
Losses : 42
Win Ratio : 64%
Total Pips : 2377
Avg Win : 156 pips
Avg Loss : -222 pips
Profit Factor : 0.70
Avg Trade Length : 20.0 days (481.1 hours)
Max Single Trade Win : 530 pips
Max Single Trade Drawdown : -842 pips
Max Total Drawdown : -2157 pips
Max Margin Requirement : 1816 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £34353.07
Lowest Balance : £0.00
Largest Single Drawdown : 24%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £13893.77
Highest Balance : £16025.63
Lowest Balance : £7745.16
Largest Single Drawdown : 17%
Largest Total Drawdown : 37%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10472.10
Highest Balance : £10606.00
Lowest Balance : £9780.90
Largest Single Drawdown : 2%
Largest Total Drawdown : 4%


300 pips
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_20_80_300)
Data from 12-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 117
Profitable : 73
Losses : 44
Win Ratio : 62%
Total Pips : 3791
Avg Win : 159 pips
Avg Loss : -178 pips
Profit Factor : 0.89
Avg Trade Length : 14.9 days (357.5 hours)
Max Single Trade Win : 530 pips
Max Single Trade Drawdown : -303 pips
Max Total Drawdown : -1524 pips
Max Margin Requirement : 548 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £34353.07
Lowest Balance : £0.00
Largest Single Drawdown : 61%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £19438.14
Highest Balance : £20260.85
Lowest Balance : £8606.02
Largest Single Drawdown : 6%
Largest Total Drawdown : 27%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10777.56
Highest Balance : £10813.50
Lowest Balance : £9870.94
Largest Single Drawdown : 1%
Largest Total Drawdown : 3%


100 pips
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_20_80_100)
Data from 12-Jan-2001 to 12-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 117
Profitable : 54
Losses : 63
Win Ratio : 46%
Total Pips : 2861
Avg Win : 168 pips
Avg Loss : -99 pips
Profit Factor : 1.70
Avg Trade Length : 7.8 days (186.5 hours)
Max Single Trade Win : 465 pips
Max Single Trade Drawdown : -103 pips
Max Total Drawdown : -1130 pips
Max Margin Requirement : 349 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £31406.33
Highest Balance : £75420.97
Lowest Balance : £2027.01
Largest Single Drawdown : 21%
Largest Total Drawdown : 95%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £16802.28
Highest Balance : £17552.99
Lowest Balance : £9473.65
Largest Single Drawdown : 2%
Largest Total Drawdown : 21%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10583.12
Highest Balance : £10624.79
Lowest Balance : £9957.06
Largest Single Drawdown : 0%
Largest Total Drawdown : 2%


50 pips
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_20_80_50)
Data from 12-Jan-2001 to 08-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 117
Profitable : 43
Losses : 74
Win Ratio : 37%
Total Pips : 3754
Avg Win : 177 pips
Avg Loss : -52 pips
Profit Factor : 3.40
Avg Trade Length : 5.0 days (118.9 hours)
Max Single Trade Win : 465 pips
Max Single Trade Drawdown : -53 pips
Max Total Drawdown : -504 pips
Max Margin Requirement : 299 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £770449.86
Highest Balance : £1074670.37
Lowest Balance : £3915.98
Largest Single Drawdown : 11%
Largest Total Drawdown : 73%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £20353.66
Highest Balance : £21008.50
Lowest Balance : £9486.00
Largest Single Drawdown : 1%
Largest Total Drawdown : 10%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10775.15
Highest Balance : £10809.16
Lowest Balance : £9951.18
Largest Single Drawdown : 0%
Largest Total Drawdown : 1%


25 pips
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_20_80_25)
Data from 12-Jan-2001 to 08-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 117
Profitable : 28
Losses : 89
Win Ratio : 24%
Total Pips : 2482
Avg Win : 176 pips
Avg Loss : -27 pips
Profit Factor : 6.40
Avg Trade Length : 3.3 days (78.7 hours)
Max Single Trade Win : 465 pips
Max Single Trade Drawdown : -27 pips
Max Total Drawdown : -502 pips
Max Margin Requirement : 273 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £202825.52
Highest Balance : £240340.61
Lowest Balance : £3110.55
Largest Single Drawdown : 5%
Largest Total Drawdown : 69%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £16013.63
Highest Balance : £16280.79
Lowest Balance : £9028.16
Largest Single Drawdown : 1%
Largest Total Drawdown : 10%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10506.06
Highest Balance : £10523.41
Lowest Balance : £9899.83
Largest Single Drawdown : 0%
Largest Total Drawdown : 1%


10 pips
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_20_80_10)
Data from 12-Jan-2001 to 08-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 117
Profitable : 18
Losses : 99
Win Ratio : 15%
Total Pips : 1836
Avg Win : 171 pips
Avg Loss : -12 pips
Profit Factor : 13.66
Avg Trade Length : 2.4 days (58.5 hours)
Max Single Trade Win : 465 pips
Max Single Trade Drawdown : -13 pips
Max Total Drawdown : -284 pips
Max Margin Requirement : 260 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £124499.09
Highest Balance : £134323.61
Lowest Balance : £5754.79
Largest Single Drawdown : 3%
Largest Total Drawdown : 46%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £14219.04
Highest Balance : £14326.22
Lowest Balance : £9538.04
Largest Single Drawdown : 0%
Largest Total Drawdown : 6%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10372.30
Highest Balance : £10380.08
Lowest Balance : £9953.71
Largest Single Drawdown : 0%
Largest Total Drawdown : 1%


5 pips
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_20_80_5)
Data from 12-Jan-2001 to 08-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 117
Profitable : 15
Losses : 102
Win Ratio : 13%
Total Pips : 1623
Avg Win : 159 pips
Avg Loss : -7 pips
Profit Factor : 21.22
Avg Trade Length : 2.0 days (47.9 hours)
Max Single Trade Win : 465 pips
Max Single Trade Drawdown : -7 pips
Max Total Drawdown : -150 pips
Max Margin Requirement : 254 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £108336.25
Highest Balance : £113361.38
Lowest Balance : £7902.62
Largest Single Drawdown : 1%
Largest Total Drawdown : 26%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £13676.58
Highest Balance : £13738.31
Lowest Balance : £9792.04
Largest Single Drawdown : 0%
Largest Total Drawdown : 3%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10328.60
Highest Balance : £10333.25
Lowest Balance : £9979.02
Largest Single Drawdown : 0%
Largest Total Drawdown : 0%


So there you have the value of stops. For the first time it means the agressive money management returns a profit (quite considerable profit of £770k for a 50pip stop - provided you can stomach a 73% drawdown) - however if you set the stop too close - the trades get closed too quickly and your win ratio drops resulting in poorer results.

I'll take a look at trailing stops next.....
 
Now trailing stops - the stop will always be a fixed number of pips behind the most profitable position.

300 pips
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_20_80_300)
Data from 12-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 117
Profitable : 71
Losses : 46
Win Ratio : 61%
Total Pips : 3469
Avg Win : 158 pips
Avg Loss : -169 pips
Profit Factor : 0.94
Avg Trade Length : 12.6 days (301.3 hours)
Max Single Trade Win : 530 pips
Max Single Trade Drawdown : -303 pips
Max Total Drawdown : -1623 pips
Max Margin Requirement : 541 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £34353.07
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 : £18356.17
Highest Balance : £19557.00
Lowest Balance : £8514.04
Largest Single Drawdown : 6%
Largest Total Drawdown : 29%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10709.10
Highest Balance : £10768.47
Lowest Balance : £9858.94
Largest Single Drawdown : 1%
Largest Total Drawdown : 3%



100 pips
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_20_80_100)
Data from 12-Jan-2001 to 12-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 117
Profitable : 56
Losses : 61
Win Ratio : 48%
Total Pips : 1897
Avg Win : 111 pips
Avg Loss : -71 pips
Profit Factor : 1.57
Avg Trade Length : 4.9 days (116.8 hours)
Max Single Trade Win : 325 pips
Max Single Trade Drawdown : -103 pips
Max Total Drawdown : -694 pips
Max Margin Requirement : 346 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £35858.22
Highest Balance : £92872.55
Lowest Balance : £3621.19
Largest Single Drawdown : 21%
Largest Total Drawdown : 82%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £14211.33
Highest Balance : £15087.25
Lowest Balance : £9425.92
Largest Single Drawdown : 2%
Largest Total Drawdown : 13%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10383.84
Highest Balance : £10442.36
Lowest Balance : £9943.93
Largest Single Drawdown : 0%
Largest Total Drawdown : 1%


50 pips
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_20_80_50)
Data from 12-Jan-2001 to 08-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 117
Profitable : 56
Losses : 61
Win Ratio : 48%
Total Pips : 2386
Avg Win : 82 pips
Avg Loss : -37 pips
Profit Factor : 2.26
Avg Trade Length : 2.5 days (59.3 hours)
Max Single Trade Win : 325 pips
Max Single Trade Drawdown : -53 pips
Max Total Drawdown : -288 pips
Max Margin Requirement : 299 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £336455.74
Highest Balance : £394313.87
Lowest Balance : £7159.05
Largest Single Drawdown : 11%
Largest Total Drawdown : 46%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £15880.74
Highest Balance : £16123.52
Lowest Balance : £9746.12
Largest Single Drawdown : 1%
Largest Total Drawdown : 6%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10487.11
Highest Balance : £10502.96
Lowest Balance : £9974.78
Largest Single Drawdown : 0%
Largest Total Drawdown : 1%


25 pips
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_20_80_25)
Data from 12-Jan-2001 to 08-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 117
Profitable : 49
Losses : 68
Win Ratio : 42%
Total Pips : 1341
Avg Win : 57 pips
Avg Loss : -21 pips
Profit Factor : 2.68
Avg Trade Length : 1.3 days (30.9 hours)
Max Single Trade Win : 193 pips
Max Single Trade Drawdown : -27 pips
Max Total Drawdown : -199 pips
Max Margin Requirement : 273 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £86780.27
Highest Balance : £91830.98
Lowest Balance : £6595.82
Largest Single Drawdown : 5%
Largest Total Drawdown : 34%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £12999.44
Highest Balance : £13071.33
Lowest Balance : £9607.21
Largest Single Drawdown : 1%
Largest Total Drawdown : 4%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10271.13
Highest Balance : £10276.78
Lowest Balance : £9960.16
Largest Single Drawdown : 0%
Largest Total Drawdown : 0%


10 pips
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_20_80_10)
Data from 12-Jan-2001 to 08-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 117
Profitable : 44
Losses : 73
Win Ratio : 38%
Total Pips : 1182
Avg Win : 43 pips
Avg Loss : -10 pips
Profit Factor : 4.35
Avg Trade Length : 0.8 days (18.7 hours)
Max Single Trade Win : 165 pips
Max Single Trade Drawdown : -13 pips
Max Total Drawdown : -106 pips
Max Margin Requirement : 260 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £79533.34
Highest Balance : £81572.66
Lowest Balance : £8483.39
Largest Single Drawdown : 3%
Largest Total Drawdown : 20%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £12626.11
Highest Balance : £12657.76
Lowest Balance : £9854.05
Largest Single Drawdown : 0%
Largest Total Drawdown : 2%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10238.88
Highest Balance : £10241.44
Lowest Balance : £9985.49
Largest Single Drawdown : 0%
Largest Total Drawdown : 0%


5 pips
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_20_80_5)
Data from 12-Jan-2001 to 08-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 117
Profitable : 47
Losses : 70
Win Ratio : 40%
Total Pips : 1417
Avg Win : 40 pips
Avg Loss : -7 pips
Profit Factor : 6.11
Avg Trade Length : 0.6 days (13.4 hours)
Max Single Trade Win : 170 pips
Max Single Trade Drawdown : -7 pips
Max Total Drawdown : -37 pips
Max Margin Requirement : 254 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £128830.74
Highest Balance : £130792.63
Lowest Balance : £9384.10
Largest Single Drawdown : 1%
Largest Total Drawdown : 7%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £13235.18
Highest Balance : £13255.06
Lowest Balance : £9937.14
Largest Single Drawdown : 0%
Largest Total Drawdown : 1%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10287.13
Highest Balance : £10288.67
Lowest Balance : £9993.70
Largest Single Drawdown : 0%
Largest Total Drawdown : 0%

 
Last edited:
Hi Hoggums,

Very impressed with your work to date.

Not surprised that the aggressive method will either bust your a/c or enable you to live the life of luxury (until the next drawdown!) :LOL:

Fibonelli
 
Mixed results from the trailing stops. The closer the stop the sooner it gets stopped out and the lower your profits - however the closer the trailing stop the higher the win ratio.

I've ignored 1min/5min bars up till now - I'll look at RSI on these and the effect of stops.

Thanks fib, sad thing is - my "aggressive" money management is probably traded by a lot of people - I wonder how many are trading £2per pip (or more) on EUR/USD with £1000 of capital...
 
I see a lot of people trading RSI using 1min and 5min candlesticks - here are a few sample results for you...

5min bar / RSI 14 periods 30-70 trigger levels no stops
RESULTS of Analysis RSI7 (eur_usd_5min_p14_30_70_9999999999)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 8276
Profitable : 4847
Losses : 3429
Win Ratio : 59%
Total Pips : -21795
Avg Win : 13 pips
Avg Loss : -25 pips
Profit Factor : 0.53
Avg Trade Length : 0.3 days (6.4 hours)
Max Single Trade Win : 528 pips
Max Single Trade Drawdown : -548 pips
Max Total Drawdown : -21795 pips
Max Margin Requirement : 822 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 : 49%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £109.64
Highest Balance : £10000.00
Lowest Balance : £109.64
Largest Single Drawdown : 11%
Largest Total Drawdown : 99%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £6456.88
Highest Balance : £10000.00
Lowest Balance : £6456.88
Largest Single Drawdown : 1%
Largest Total Drawdown : 35%


5min bar / RSI 14 periods 30-70 trigger levels 25 point trailing stop
RESULTS of Analysis RSI7 (eur_usd_5min_p14_30_70_25)
Data from 02-Jan-2001 to 15-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 8276
Profitable : 4340
Losses : 3936
Win Ratio : 52%
Total Pips : -8231
Avg Win : 13 pips
Avg Loss : -16 pips
Profit Factor : 0.79
Avg Trade Length : 0.2 days (4.0 hours)
Max Single Trade Win : 155 pips
Max Single Trade Drawdown : -27 pips
Max Total Drawdown : -8277 pips
Max Margin Requirement : 275 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 : 5%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £1824.49
Highest Balance : £10000.00
Lowest Balance : £1808.08
Largest Single Drawdown : 1%
Largest Total Drawdown : 82%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £8477.48
Highest Balance : £10000.00
Lowest Balance : £8469.63
Largest Single Drawdown : 0%
Largest Total Drawdown : 15%


5min bar / RSI 14 periods 30-70 trigger levels 10 point trailing stop
RESULTS of Analysis RSI7 (eur_usd_5min_p14_30_70_10)
Data from 02-Jan-2001 to 15-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 8276
Profitable : 3268
Losses : 5008
Win Ratio : 39%
Total Pips : -6846
Avg Win : 11 pips
Avg Loss : -8 pips
Profit Factor : 1.28
Avg Trade Length : 0.1 days (1.8 hours)
Max Single Trade Win : 122 pips
Max Single Trade Drawdown : -13 pips
Max Total Drawdown : -6848 pips
Max Margin Requirement : 260 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 : 3%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £2486.92
Highest Balance : £10000.00
Lowest Balance : £2486.19
Largest Single Drawdown : 0%
Largest Total Drawdown : 75%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £8718.37
Highest Balance : £10000.00
Lowest Balance : £8718.11
Largest Single Drawdown : 0%
Largest Total Drawdown : 13%


1min bars / RSI 14 periods 30-70 trigger levels 25 point trailing stop
RESULTS of Analysis RSI7 (eur_usd_1min_p14_30_70_25)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 34841
Profitable : 18318
Losses : 16523
Win Ratio : 53%
Total Pips : -58793
Avg Win : 6 pips
Avg Loss : -10 pips
Profit Factor : 0.59
Avg Trade Length : 0.0 days (1.0 hours)
Max Single Trade Win : 359 pips
Max Single Trade Drawdown : -27 pips
Max Total Drawdown : -58895 pips
Max Margin Requirement : 275 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00
Highest Balance : £11543.29
Lowest Balance : £0.00
Largest Single Drawdown : 5%
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 : £10150.47
Lowest Balance : £0.07
Largest Single Drawdown : 1%
Largest Total Drawdown : 100%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £3082.62
Highest Balance : £10015.00
Lowest Balance : £3080.95
Largest Single Drawdown : 0%
Largest Total Drawdown : 69%


1min bars / RSI 14 periods 30-70 trigger levels 10 point trailing stop
RESULTS of Analysis RSI7 (eur_usd_1min_p14_30_70_10)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 34841
Profitable : 15442
Losses : 19399
Win Ratio : 44%
Total Pips : -57363
Avg Win : 6 pips
Avg Loss : -8 pips
Profit Factor : 0.78
Avg Trade Length : 0.0 days (0.5 hours)
Max Single Trade Win : 359 pips
Max Single Trade Drawdown : -13 pips
Max Total Drawdown : -57388 pips
Max Margin Requirement : 260 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00
Highest Balance : £10081.98
Lowest Balance : £0.00
Largest Single Drawdown : 3%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £0.10
Highest Balance : £10013.42
Lowest Balance : £0.10
Largest Single Drawdown : 0%
Largest Total Drawdown : 100%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £3173.33
Highest Balance : £10001.39
Lowest Balance : £3172.18
Largest Single Drawdown : 0%
Largest Total Drawdown : 68%


I'll let you draw your own conclusions from these results.

Next up - the effect of setting limits.
 
it appears the RSI on time-frames large enough to smooth out noise seems profitable.
this makes sense in terms of riding out the quiet sessions.

the other thing that occurred to me is the possible contrarian nature of RSI, in that the 30/oversold and 70/overbought conditions are based on the belief it should revert to the mean.

may I make a suggestion?
just to avoid buying at 30, when the market may have started a momentum downmove, and vice-versa for 70/overbought, how about this:

when the market hits <30 you mark it as buy trigger engaged.
then, when the market closes above 30 you then trigger the buy.
and vice-versa for >70.

the reasoning being, if it is a momentum move, rather than catching the proverbial falling-knife, you trigger the buy/sell when it starts its move back to the mean.
that way, the potential drawdowns could be reduced?

I dont think I am curve-fitting at this stage.
(however, it may get whipped in sideways markets, as the extra bar or two that it takes to trigger could result in many more smaller losses.)

please feel free to tell me to bog-off, but it seems a logical refinement to an idea you have shown empirically to have merit.
 
trendie said:
it appears the RSI on time-frames large enough to smooth out noise seems profitable.
this makes sense in terms of riding out the quiet sessions.

the other thing that occurred to me is the possible contrarian nature of RSI, in that the 30/oversold and 70/overbought conditions are based on the belief it should revert to the mean.

may I make a suggestion?
just to avoid buying at 30, when the market may have started a momentum downmove, and vice-versa for 70/overbought, how about this:

when the market hits <30 you mark it as buy trigger engaged.
then, when the market closes above 30 you then trigger the buy.
and vice-versa for >70.

the reasoning being, if it is a momentum move, rather than catching the proverbial falling-knife, you trigger the buy/sell when it starts its move back to the mean.
that way, the potential drawdowns could be reduced?

I dont think I am curve-fitting at this stage.
(however, it may get whipped in sideways markets, as the extra bar or two that it takes to trigger could result in many more smaller losses.)

please feel free to tell me to bog-off, but it seems a logical refinement to an idea you have shown empirically to have merit.
Click to expand...

Trendie - this is something I have tested in private, I'll post the results for you in a little while.

Before I do - when do you anticipate closing the trade? I was closing the buy when the RSI > 70 and then opening the sell when it slipped < 70.
 
Hoggums said:
Trendie - this is something I have tested in private, I'll post the results for you in a little while.

Before I do - when do you anticipate closing the trade? I was closing the buy when the RSI > 70 and then opening the sell when it slipped < 70.
Click to expand...

you have described it exactly.
( I thought, in the tests,you triggered the sell on RSI exceeding 70 and triggered the buy on it going below 30 )
 
trendie said:
you have described it exactly.
( I thought, in the tests,you triggered the sell on RSI exceeding 70 and triggered the buy on it going below 30 )
Click to expand...

Yes your right in my tests RSI > 70 triggered a sell. Results soon.
 
Results...

Old system RSI > 70 sell, RSI < 30 buy (50 pip trailing stop)
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_30_70_50_9999999)
Data from 08-Jan-2001 to 08-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 246
Profitable : 126
Losses : 120
Win Ratio : 51%
Total Pips : 5572
Avg Win : 79 pips
Avg Loss : -37 pips
Profit Factor : 2.15
Avg Trade Length : 2.1 days (50.4 hours)
Max Single Trade Win : 289 pips
Max Single Trade Drawdown : -53 pips
Max Total Drawdown : -238 pips
Max Margin Requirement : 299 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £53869620.09
Highest Balance : £66315801.01
Lowest Balance : £8514.90
Largest Single Drawdown : 11%
Largest Total Drawdown : 40%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £29599.30
Highest Balance : £30177.68
Lowest Balance : £9852.79
Largest Single Drawdown : 1%
Largest Total Drawdown : 5%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £11175.45
Highest Balance : £11196.94
Lowest Balance : £9985.30
Largest Single Drawdown : 0%
Largest Total Drawdown : 0%


trendies system - RSI > 70 close, RSI crosses below 70 sell, RSI < 30 close, RSI crosses above 30 buy (50 pip trailing stop)
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_30_70_50_9999999)
Data from 09-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 598
Profitable : 250
Losses : 348
Win Ratio : 42%
Total Pips : 4543
Avg Win : 61 pips
Avg Loss : -31 pips
Profit Factor : 1.99
Avg Trade Length : 1.3 days (31.9 hours)
Max Single Trade Win : 241 pips
Max Single Trade Drawdown : -53 pips
Max Total Drawdown : -621 pips
Max Margin Requirement : 299 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £2211196.89
Highest Balance : £4515458.08
Lowest Balance : £7283.07
Largest Single Drawdown : 11%
Largest Total Drawdown : 73%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £23820.71
Highest Balance : £25345.60
Lowest Balance : £9697.62
Largest Single Drawdown : 1%
Largest Total Drawdown : 12%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10946.56
Highest Balance : £11013.65
Lowest Balance : £9969.44
Largest Single Drawdown : 0%
Largest Total Drawdown : 1%


The results are WORSE! I think what is happening is the RSI whipsaws around the 70 and 30 levels meaning that trades get closed/re-opened lots (see the no of trades is higher).
 
oh well, seemed like a good idea at the time.
just goes to show how well-reasoned logic has no place in the markets. :LOL:
 
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