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Friday, February 15, 2013

New version Results - Min Ratio of 3:1 per year

When I started my System did 10:8 profit to draw down with a leverage of 10 max, after 3 years my system reached 3:1 ratio with leverage max of 2, below you can see my new version test results, and its been running for a month already in live demo you can watch it in Here.
I take into account only 3 years back and if you look only two years the profit is even 5:1








SymbolProfitProfit percentDrawDownDrawDown percentStartDateEndDateLotsMaxLotsAVGDurationMaxDurationAVGParalelMaxParalelAvgSpreadTotal TradesRun Date
AUDCAD 2293.37 2.29337 2924.01 2.92401 2011-05-01 00:00:00 2012-05-01 00:00:00 0.9 0.11953125 115.040972222 11.823046875 7 3.0 4.9 64 2013-02-14 18:08:16
EURGBP 1438.86 1.43886 1774.74 1.77474 2011-05-01 00:00:00 2012-05-01 00:00:00 1.35 0.140425531915 70.9326388889 4.29986702128 9 3.0 4.3 47 2013-02-14 18:11:56
AUDCAD 3306.39 3.30639 1738.89 1.73889 2010-05-01 00:00:00 2011-08-09 00:00:00 0.45 0.111111111111 63.5958333333 3.38090706447 3 2.0 4.9 81 2013-02-14 18:08:36
GBPUSD 2547.03 2.54703 3505.45 3.50545 2007-05-01 00:00:00 2008-05-01 00:00:00 0.52 0.0720863309353 54.9375 2.96618205436 4 2.0 4.1 139 2013-02-14 18:21:19
CHFJPY 2050.52 2.05052 3861.60 3.8616 2008-05-01 00:00:00 2009-05-01 00:00:00 0.75 0.131578947368 42.3548611111 3.22085160819 7 2.0 5.2 114 2013-02-14 18:11:08
GBPUSD 1044.75 1.04475 2849.53 2.84953 2009-05-01 00:00:00 2010-05-01 00:00:00 0.52 0.0768862275449 40.2694444444 2.03339570858 5 2.0 4.1 167 2013-02-14 18:20:24
GBPUSD 4055.66 4.05566 1486.34 1.48634 2010-05-01 00:00:00 2011-08-09 00:00:00 0.39 0.0729381443299 35.3847222222 2.04784865407 3 2.0 4.1 194 2013-02-14 18:20:01
USDCAD -456.79 -0.45679 2783.30 2.7833 2007-05-01 00:00:00 2008-05-01 00:00:00 0.9 0.176517857143 27.9944444444 1.59792286706 3 2.0 4.4 112 2013-02-14 18:23:12
GBPCAD 6444.89 6.44489 3913.68 3.91368 2008-05-01 00:00:00 2009-05-01 00:00:00 0.6 0.0230020703934 25.3097222222 1.22510783299 21 3.0 6.9 966 2013-02-14 18:16:48
GBPUSD 2458.11 2.45811 974.14 0.97414 2011-05-01 00:00:00 2012-05-01 00:00:00 0.52 0.0601948051948 25.2833333333 1.62023358586 4 2.0 4.1 154 2013-02-14 18:19:29
GBPCAD 2319.69 2.31969 2439.73 2.43973 2009-05-01 00:00:00 2010-05-01 00:00:00 0.49 0.0199681020734 22.6298611111 1.66536970583 17 3.0 6.9 627 2013-02-14 18:16:25
EURGBP 2524.08 2.52408 2534.15 2.53415 2009-05-01 00:00:00 2010-05-01 00:00:00 0.9 0.1375 20.9548611111 2.9525462963 6 3.0 4.3 84 2013-02-14 18:12:42
GBPCAD 2446.90 2.4469 2194.10 2.1941 2010-05-01 00:00:00 2011-08-09 00:00:00 0.36 0.0176765799257 20.9166666667 1.64333307518 15 3.0 6.9 538 2013-02-14 18:16:04
USDCAD 2937.14 2.93714 2874.47 2.87447 2011-05-01 00:00:00 2012-05-01 00:00:00 1.2 0.192923076923 19.6430555556 1.77911324786 5 3.0 4.4 130 2013-02-14 18:21:41
EURGBP 3050.59 3.05059 3863.01 3.86301 2008-05-01 00:00:00 2009-05-01 00:00:00 0.75 0.133333333333 19.4326388889 1.83365912209 5 2.0 4.3 81 2013-02-14 18:13:05
USDCAD 1273.17 1.27317 2111.41 2.11141 2009-05-01 00:00:00 2010-05-01 00:00:00 0.9 0.213870967742 18.2902777778 1.2095766129 3 3.0 4.4 124 2013-02-14 18:22:25
GBPCAD 1182.77 1.18277 483.01 0.48301 2011-05-01 00:00:00 2012-05-01 00:00:00 0.15 0.0138144329897 17.91875 0.93455517373 5 2.0 6.9 291 2013-02-14 18:15:42
EURGBP 734.78 0.73478 1343.81 1.34381 2007-05-01 00:00:00 2008-05-01 00:00:00 0.6 0.138 16.0805555556 4.49244444444 4 2.0 4.3 25 2013-02-14 18:13:27
GBPCAD 1561.20 1.5612 1139.81 1.13981 2007-05-01 00:00:00 2008-05-01 00:00:00 0.36 0.018064516129 15.9381944444 1.07577060932 16 3.0 6.9 310 2013-02-14 18:17:11
EURUSD 2434.68 2.43468 2143.44 2.14344 2011-05-01 00:00:00 2012-05-01 00:00:00 0.6 0.180392156863 15.0597222222 1.57689270153 3 2.0 3.6 51 2013-02-14 18:13:50
USDCAD 1028.46 1.02846 1936.09 1.93609 2008-05-01 00:00:00 2009-05-01 00:00:00 0.9 0.214285714286 14.6395833333 0.943891723356 4 2.0 4.4 147 2013-02-14 18:22:48
EURUSD -582.06 -0.58206 1662.77 1.66277 2007-05-01 00:00:00 2008-05-01 00:00:00 0.6 0.161951219512 11.4458333333 1.98993902439 3 3.0 3.6 41 2013-02-14 18:15:20
GBPUSD 1578.53 1.57853 4821.08 4.82108 2008-05-01 00:00:00 2009-05-01 00:00:00 0.39 0.0824761904762 9.04305555556 0.874325396825 3 2.0 4.1 210 2013-02-14 18:20:56
GBPJPY 2173.69 2.17369 6046.24 6.04624 2007-05-01 00:00:00 2008-05-01 00:00:00 0.8 0.243902439024 8.59375 0.75243902439 2 2.0 5.7 41 2013-02-14 18:19:06
EURUSD 603.51 0.60351 2621.97 2.62197 2008-05-01 00:00:00 2009-05-01 00:00:00 0.6 0.187575757576 8.55416666667 1.12192760943 3 2.0 3.6 66 2013-02-14 18:14:58
GBPJPY 3175.38 3.17538 1911.56 1.91156 2009-05-01 00:00:00 2010-05-01 00:00:00 1.2 0.241176470588 8.24583333333 0.393903186275 3 2.0 5.7 68 2013-02-14 18:18:18
USDCAD 2486.78 2.48678 1211.04 1.21104 2010-05-01 00:00:00 2011-08-09 00:00:00 0.9 0.18 8.19722222222 0.72945441989 3 2.0 4.4 181 2013-02-14 18:22:03
AUDCAD 2027.45 2.02745 596.54 0.59654 2009-05-01 00:00:00 2010-05-01 00:00:00 0.45 0.10985915493 7.53472222222 0.930379499218 3 2.0 4.9 71 2013-02-14 18:08:57
EURUSD 2298.25 2.29825 918.92 0.91892 2010-05-01 00:00:00 2011-08-09 00:00:00 0.4 0.187532467532 6.41944444444 1.0593524531 2 2.0 3.6 77 2013-02-14 18:14:11
EURGBP 3154.37 3.15437 1377.34 1.37734 2010-05-01 00:00:00 2011-08-09 00:00:00 1.2 0.132110091743 5.9125 0.950172018349 8 2.0 4.3 109 2013-02-14 18:12:19
EURUSD 2295.12 2.29512 502.92 0.50292 2009-05-01 00:00:00 2010-05-01 00:00:00 0.4 0.16 5.41111111111 0.573295454545 2 2.0 3.6 55 2013-02-14 18:14:34
AUDCAD 704.72 0.70472 721.97 0.72197 2007-05-01 00:00:00 2008-05-01 00:00:00 0.45 0.104210526316 5.09722222222 0.762463450292 3 2.0 4.9 76 2013-02-14 18:09:40
CHFJPY 250.39 0.25039 509.82 0.50982 2007-05-01 00:00:00 2008-05-01 00:00:00 0.3 0.12 4.39513888889 0.419583333333 2 2.0 5.2 15 2013-02-14 18:11:32
GBPJPY 4587.03 4.58703 3256.30 3.2563 2008-05-01 00:00:00 2009-05-01 00:00:00 0.8 0.311111111111 4.04930555556 0.319268077601 2 2.0 5.7 63 2013-02-14 18:18:42
AUDCAD 1283.59 1.28359 908.10 0.9081 2008-05-01 00:00:00 2009-05-01 00:00:00 0.3 0.119888888889 3.72638888889 0.733487654321 2 2.0 4.9 90 2013-02-14 18:09:19
CHFJPY 563.34 0.56334 545.21 0.54521 2009-05-01 00:00:00 2010-05-01 00:00:00 0.3 0.107692307692 3.33472222222 0.487749287749 2 2.0 5.2 39 2013-02-14 18:10:46
GBPJPY 1873.36 1.87336 1151.44 1.15144 2010-05-01 00:00:00 2011-08-09 00:00:00 1.6 0.15625 3.1625 0.186545138889 4 2.0 5.7 64 2013-02-14 18:17:56
GBPJPY 1525.41 1.52541 1151.33 1.15133 2011-05-01 00:00:00 2012-05-01 00:00:00 1.6 0.14 3.1625 0.255011574074 4 3.0 5.7 60 2013-02-14 18:17:34
CHFJPY 788.62 0.78862 480.67 0.48067 2010-05-01 00:00:00 2011-08-09 00:00:00 0.3 0.119387755102 1.64791666667 0.105782312925 2 2.0 5.2 49 2013-02-14 18:10:24
CHFJPY 965.02 0.96502 480.43 0.48043 2011-05-01 00:00:00 2012-05-01 00:00:00 0.3 0.123214285714 1.64791666667 0.128831845238 2 2.0 5.2 56 2013-02-14 18:10:02
0 78428.75 , 1960.72 78.43 , 1.96 79750.36 , 1993.76 79.75 , 1.99

1.60 0.13131 115.04 1.67741 21.00 2.27500 4.88750 5877.00




This results were on 8 pairs and I have another two on the way USDJPY and NZDJPY.



Wednesday, February 6, 2013

Moving to 5 minute charts

In preparation of a new version I decided to move to 5 minute charts instead of One minute, my reasons were:
1 - Testing is faster and I can run on  a longer period in one test.
2 - Optimization faster.
3 - More data on the chart view.
4 - Less memory is used by the terminal. (need terminal restart once three months instead of two weeks).

New version also include:
1 - Close on high volatility - when in a losing position the market moves too fast so we close the position in lose.
2 - ATR filter - open positions only on predefined ATR values.
3 - Long trends - Secret parameter for long trends, filter light signals when trend is strong.


All those reasons enabled me to reach a version of 5:1 (profit/draw down) on 5 years Back testing.
this version will probably be out only a month from now.

The current version demo is still running, it did in two months 0.63% when the expected profit is 3% per year(0.25%) per month. draw down was 0.125% max.