Backtesting of technical indicators

[Hoggums]

It was custom software I wrote myself. I haven't had much time to continue with my analysis recently.

It did find an error in the back data which will have skewed the best results the wrong way (a jump up of 500pips and then down 500pips a short time later which if the trade was placed the right way resulted in a huge profit) so don't read too much into the final profit figures as they are slightly inaccurate.

However for the most part the results are reasonable particularly when looking at win.loss ratios etc.

I was preparing some cash balance over time graphs for you as they made interesting viewing - profits in these systems were often made in very small time periods (which is when I discovered the 500pip shift!) with the systems pretty much standing still for the rest of the time.


The Margin 250 - just meant that to open a £1 a pip position you needed an extra £250 margin in the account on top of any losses/profit you were running. It was used to try and detect margin calls on positions.

I'll take a look at wasps rules and see if I can backtest for you..

 

[trendie]

"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%"

Hmm...........:idea:

this study was done about a year ago.
Hoggums, fancy applying your hopefully saved rules on EURUSD since last time?
see what happened in the last 12 months using those rules.

 

[fourheadedmoose]

Sorry for being an absolute newbie but can anyone explain to me how the profit/loss was calculated if there was no stop or limit? What determines the exit of a trade? For example, when buying when RSI>30 when do you determine when to close the trade?

 

[trendie]

"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%"

Hmm...........:idea:

hi Hoggums.

have you forward tested your RSI start since last you posted, to see how it has fared over past several months?