Backtesting of technical indicators

[Hoggums]

Yup, I've been suprised by a lot of the results too. Hopefully you learned something today!

I'm going to look at the RSI a bit more closely later - I want to know if the trades it generates with the trend are more profitable than those against it or vice versa - I'll use a slow Ema to determine the trend and filter the trades out using this.

But first - I wanna show you my limits test results.

I'm going back to my simple RSI system (not trendies - sorry!) with the 50 point trailing stop on 4 hr candlesticks and I'm going to apply different limit orders to the trades to see how this affects profits...

First a recap - no limit
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%


25 point limit (NOT reccomended!! - but look at the win ratio)
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_30_70_50_25)
Data from 08-Jan-2001 to 08-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 246
Profitable : 158
Losses : 88
Win Ratio : 64%
Total Pips : -460
Avg Win : 22 pips
Avg Loss : -45 pips
Profit Factor : 0.49
Avg Trade Length : 0.9 days (21.3 hours)
Max Single Trade Win : 22 pips
Max Single Trade Drawdown : -53 pips
Max Total Drawdown : -802 pips
Max Margin Requirement : 299 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £2275.52
Highest Balance : £10450.00
Lowest Balance : £1416.12
Largest Single Drawdown : 11%
Largest Total Drawdown : 86%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £9071.92
Highest Balance : £10045.00
Lowest Balance : £8524.78
Largest Single Drawdown : 1%
Largest Total Drawdown : 15%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9907.89
Highest Balance : £10004.50
Lowest Balance : £9845.03
Largest Single Drawdown : 0%
Largest Total Drawdown : 2%


50 point limit
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_30_70_50_50)
Data from 08-Jan-2001 to 08-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 246
Profitable : 131
Losses : 115
Win Ratio : 53%
Total Pips : 1561
Avg Win : 46 pips
Avg Loss : -38 pips
Profit Factor : 1.19
Avg Trade Length : 1.2 days (29.6 hours)
Max Single Trade Win : 48 pips
Max Single Trade Drawdown : -53 pips
Max Total Drawdown : -269 pips
Max Margin Requirement : 299 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £87798.32
Highest Balance : £105911.94
Lowest Balance : £8771.22
Largest Single Drawdown : 11%
Largest Total Drawdown : 44%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £13535.75
Highest Balance : £13770.16
Lowest Balance : £9884.12
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 : £10316.24
Highest Balance : £10333.81
Lowest Balance : £9988.49
Largest Single Drawdown : 0%
Largest Total Drawdown : 1%


100 point limit
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_30_70_50_100)
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 : 3705
Avg Win : 65 pips
Avg Loss : -37 pips
Profit Factor : 1.75
Avg Trade Length : 1.8 days (44.0 hours)
Max Single Trade Win : 98 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 : £3154637.47
Highest Balance : £3883493.33
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 : £20613.79
Highest Balance : £21016.59
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 : £10767.23
Highest Balance : £10787.94
Lowest Balance : £9985.30
Largest Single Drawdown : 0%
Largest Total Drawdown : 0%


200 point limit
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_30_70_50_200)
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 : 5275
Avg Win : 77 pips
Avg Loss : -37 pips
Profit Factor : 2.09
Avg Trade Length : 2.1 days (49.7 hours)
Max Single Trade Win : 198 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 : £35835498.59
Highest Balance : £44115027.90
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 : £27967.34
Highest Balance : £28513.83
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 : £11109.67
Highest Balance : £11131.04
Lowest Balance : £9985.30
Largest Single Drawdown : 0%
Largest Total Drawdown : 0%


Conslusion: - don't use limits - the only thing it does is affect your profit factor negatively. I will re-visit limits though when I have a brief look at martingale-style money management.

OK - now I'll look at the RSI and see whether trades in or against the long term trend are the most profitable - or whether they are roughly the same.

 

[Hoggums]

Here's a look at RSI trades - in the trend and out of the trend. I am defining the trend buy looking using an ema crossover. For the 4hr candlesticks 50/200 was the most profitable - so I am using this crossover to tell me what the trend is.

4hr RSI-14 - 30,70 trigger levels, 50 pnt trailing stop, only trading when signal matches trend.
RESULTS of Analysis RSI8 (eur_usd_4hour_p14_30_70_50_999999)
Data from 09-Jan-2001 to 04-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 142
Profitable : 73
Losses : 69
Win Ratio : 51%
Total Pips : 2780
Avg Win : 72 pips
Avg Loss : -36 pips
Profit Factor : 1.99
Avg Trade Length : 1.9 days (46.2 hours)
Max Single Trade Win : 289 pips
Max Single Trade Drawdown : -53 pips
Max Total Drawdown : -288 pips
Max Margin Requirement : 297 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £673469.92
Highest Balance : £673469.92
Lowest Balance : £7789.35
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 : £17170.26
Highest Balance : £17170.26
Lowest Balance : £9767.25
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 : £10570.09
Highest Balance : £10570.09
Lowest Balance : £9976.61
Largest Single Drawdown : 0%
Largest Total Drawdown : 1%


4hr RSI-14 - 30,70 trigger levels, 50 pnt trailing stop, only trading when signal DOES NOT match trend.
RESULTS of Analysis RSI8 (eur_usd_4hour_p14_30_70_50_999999)
Data from 08-Jan-2001 to 08-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 142
Profitable : 65
Losses : 77
Win Ratio : 46%
Total Pips : 2506
Avg Win : 80 pips
Avg Loss : -35 pips
Profit Factor : 2.30
Avg Trade Length : 2.1 days (51.3 hours)
Max Single Trade Win : 273 pips
Max Single Trade Drawdown : -53 pips
Max Total Drawdown : -311 pips
Max Margin Requirement : 299 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £405489.28
Highest Balance : £553229.40
Lowest Balance : £9683.93
Largest Single Drawdown : 11%
Largest Total Drawdown : 49%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £16265.02
Highest Balance : £16752.96
Lowest Balance : £9973.44
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 : £10512.40
Highest Balance : £10543.37
Lowest Balance : £9997.39
Largest Single Drawdown : 0%
Largest Total Drawdown : 1%


Slightly better results trading the trend - however I see no reason to exclude anti-trend trades from the algorithm as they still make a profit.

 

[Hoggums]

I want to move away from RSI now, so I am looking for suggestions as to what to test - if anyone is interested. e.g. Bollanger, CCI, ADX, SAR, Ultimate, Schotastic etc.

In the mean time I'm going to setup a fourth money management - using a martingale system, to see how small you need to trade to start with in order not to go bust (on my test data), and to see what the profits are once you've factored this + an extra safety margin in.

 

[trendie]

I want to move away from RSI now, so I am looking for suggestions as to what to test - if anyone is interested. e.g. Bollanger, CCI, ADX, SAR, Ultimate, Schotastic etc.

In the mean time I'm going to setup a fourth money management - using a martingale system, to see how small you need to trade to start with in order not to go bust (on my test data), and to see what the profits are once you've factored this + an extra safety margin in.

since you ask...

how about stochastics?
on their own, you may get mixed or mediocre results.
but, used on a shorter time-frame would they provide better (pullback) entries to a broader trend?

 

[zupcon]

I want to move away from RSI now, so I am looking for suggestions as to what to test - if anyone is interested. e.g. Bollanger, CCI, ADX, SAR, Ultimate, Schotastic etc.

Hi Hoggums

Im interested in the effectiveness of RSI as your entry signal, if its not too much trouble, can you run a test for any of the previous RSI results, but go short on a long signal, and long on a short signal. Im just trying to work out if the results your seeing are due to entry, exit, or if theyre due to a statistical anomaly

regards
zu

 

[Hoggums]

since you ask...

how about stochastics?
on their own, you may get mixed or mediocre results.
but, used on a shorter time-frame would they provide better (pullback) entries to a broader trend?

stochastic it is - I will test full stochastics as defined here....

http://stockcharts.com/school/doku.php?id=chart_school:technical_indicators:stochastic_oscillato

 

[Hoggums]

Hi Hoggums

Im interested in the effectiveness of RSI as your entry signal, if its not too much trouble, can you run a test for any of the previous RSI results, but go short on a long signal, and long on a short signal. Im just trying to work out if the results your seeing are due to entry, exit, or if theyre due to a statistical anomaly

regards
zu

No problem. I'll do that this afternoon as it's relatively simple to do.

 

[Hoggums]

RSI test - 4hour candlesticks 14 periods.

Original results > 70 short < 30 long (no stops)
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_30_70_9999999_99999999)
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%


Reverse RSI > 70 long < 30 short (no stops)
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_30_70_9999999_99999999)
Data from 08-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 246
Profitable : 81
Losses : 165
Win Ratio : 33%
Total Pips : -3030
Avg Win : 166 pips
Avg Loss : -100 pips
Profit Factor : 1.66
Avg Trade Length : 9.5 days (229.0 hours)
Max Single Trade Win : 1378 pips
Max Single Trade Drawdown : -294 pips
Max Total Drawdown : -4632 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 : £10692.79
Lowest Balance : £0.00
Largest Single Drawdown : 59%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £4674.55
Highest Balance : £10078.93
Lowest Balance : £3722.31
Largest Single Drawdown : 6%
Largest Total Drawdown : 63%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9396.73
Highest Balance : £10007.99
Lowest Balance : £9115.93
Largest Single Drawdown : 1%
Largest Total Drawdown : 9%


Original with a 50 point trailing stop
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_30_70_50_99999999)
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%


reverse RSI - 50 point trailing stop
RESULTS of Analysis RSI7 (eur_usd_4hour_p14_30_70_50_99999999)
Data from 08-Jan-2001 to 15-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 246
Profitable : 91
Losses : 155
Win Ratio : 37%
Total Pips : 1429
Avg Win : 83 pips
Avg Loss : -39 pips
Profit Factor : 2.10
Avg Trade Length : 2.4 days (58.2 hours)
Max Single Trade Win : 500 pips
Max Single Trade Drawdown : -53 pips
Max Total Drawdown : -722 pips
Max Margin Requirement : 299 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £15068.03
Highest Balance : £83462.78
Lowest Balance : £5367.91
Largest Single Drawdown : 11%
Largest Total Drawdown : 85%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £12930.13
Highest Balance : £14735.09
Lowest Balance : £9633.83
Largest Single Drawdown : 1%
Largest Total Drawdown : 14%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10286.80
Highest Balance : £10417.54
Lowest Balance : £9963.96
Largest Single Drawdown : 0%
Largest Total Drawdown : 1%


I think the evidence does point strongly that RSI gives a good entry - however interesting that trading the opposite style the 50 point trailing stop gives good results albeit with big drawdowns.

 

[fibonelli]

"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:

 

[Hoggums]

"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:

LOL - I can see those dollar signs in your eyes. Yes it's all very theoretical, once you start dealing with millions of £ then obviously position sizing here goes out of the window because you wouldn't be able to open the trades. If you were automating it you'd have to scale in and out the trades which would lead to far greater slippage.

Also what these results aren't showing you is the equity curve. I will look at this later - but it's quite possible this system is making all of it's money in the space of 2-3months and the rest of the time it's just treading water.

 

[zupcon]

I think the evidence does point strongly that RSI gives a good entry - however interesting that trading the opposite style the 50 point trailing stop gives good results albeit with big drawdowns.

Hi Hoggums

Thanks for running those tests, not quite what I was expecting

regards
zu

 

[Tadragh1]

Good thread!

Hoggums, very nice thread! :!:
A few random remarks and questions:
- the moving average failure and RSI success shows, that EURUSD exhibits mean reversion rather then trending, which is logical, as EURUSD seems to be the most liquid FX market (efficiency); Hurst exponent also would confirm this finding,
- isn't the spread a bit too tight (2 pips)?
- I got the data from GainCapital, too, did not have time to work on them, but it would be good to clean them up in a consistent way - what kind of problems did you stumble upon, Hoggums?
Thank you, keep 'em coming

 

[Hoggums]

Hoggums, very nice thread! :!:
A few random remarks and questions:
- the moving average failure and RSI success shows, that EURUSD exhibits mean reversion rather then trending, which is logical, as EURUSD seems to be the most liquid FX market (efficiency); Hurst exponent also would confirm this finding,
- isn't the spread a bit too tight (2 pips)?
- I got the data from GainCapital, too, did not have time to work on them, but it would be good to clean them up in a consistent way - what kind of problems did you stumble upon, Hoggums?
Thank you, keep 'em coming

It will be interesting to see if RSI works so well against other ccy pairs or whether this is eur.usd specific.

I used the spread my my SB accounts which is 2 pips.

The data from gain capital needs a lot of work and I've got a few gaps in there too where the data in the files was clearly wrong. You'll also find some files where the data is mixed up in the wrong order - you'll need to remove the weekends, some of them are full of <ctrl-@> characters which you'll need to delete and theres a lot of duplicated data in the files which you'll have to filter out if you want a contiguous time period.

In all it's a lot of work!

 

[Hoggums]

Here are the results of the stochastic indicator. I am sticking with the standard parameters for the moment, if the level falls below 20 it triggers a buy - if it's above 80 it's a sell.

First up the FAST stochastic Indicator (14,1,3). No stops

1day bars / Stoch 14,1,3 20,80 trigger levels
RESULTS of Analysis Stoch9 (eur_usd_1day_p14_1_3_20_80)
Data from 09-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 82
Profitable : 27
Losses : 55
Win Ratio : 33%
Total Pips : -685
Avg Win : 327 pips
Avg Loss : -173 pips
Profit Factor : 1.89
Avg Trade Length : 28.6 days (687.5 hours)
Max Single Trade Win : 1102 pips
Max Single Trade Drawdown : -396 pips
Max Total Drawdown : -1932 pips
Max Margin Requirement : 643 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 : 52%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £7526.66
Highest Balance : £10837.47
Lowest Balance : £6930.17
Largest Single Drawdown : 8%
Largest Total Drawdown : 36%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9848.76
Highest Balance : £10144.83
Lowest Balance : £9679.58
Largest Single Drawdown : 1%
Largest Total Drawdown : 4%


4 hour bars / Stoch 14,1,3 20,80 trigger levels
RESULTS of Analysis Stoch9 (eur_usd_4hour_p14_1_3_20_80)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 511
Profitable : 176
Losses : 335
Win Ratio : 34%
Total Pips : -910
Avg Win : 121 pips
Avg Loss : -66 pips
Profit Factor : 1.83
Avg Trade Length : 4.6 days (110.3 hours)
Max Single Trade Win : 435 pips
Max Single Trade Drawdown : -230 pips
Max Total Drawdown : -3189 pips
Max Margin Requirement : 477 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.01
Highest Balance : £10000.00
Lowest Balance : £0.01
Largest Single Drawdown : 46%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £7329.10
Highest Balance : £13681.58
Lowest Balance : £7049.19
Largest Single Drawdown : 5%
Largest Total Drawdown : 48%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9806.80
Highest Balance : £10414.36
Lowest Balance : £9768.28
Largest Single Drawdown : 0%
Largest Total Drawdown : 6%


1hour bars / Stoch 14,1,3 20,80 trigger levels
RESULTS of Analysis Stoch9 (eur_usd_1hour_p14_1_3_20_80)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 1998
Profitable : 680
Losses : 1318
Win Ratio : 34%
Total Pips : -2649
Avg Win : 58 pips
Avg Loss : -32 pips
Profit Factor : 1.82
Avg Trade Length : 1.2 days (27.9 hours)
Max Single Trade Win : 496 pips
Max Single Trade Drawdown : -542 pips
Max Total Drawdown : -4915 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 : £20986.52
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 : £5088.89
Highest Balance : £14018.58
Lowest Balance : £4892.07
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 : £9469.99
Highest Balance : £10413.62
Lowest Balance : £9432.24
Largest Single Drawdown : 1%
Largest Total Drawdown : 9%


15min bars / Stoch 14,1,3 20,80 trigger levels
RESULTS of Analysis Stoch9 (eur_usd_15min_p14_1_3_20_80)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 8404
Profitable : 2315
Losses : 6089
Win Ratio : 28%
Total Pips : -25788
Avg Win : 29 pips
Avg Loss : -15 pips
Profit Factor : 1.90
Avg Trade Length : 0.3 days (6.3 hours)
Max Single Trade Win : 470 pips
Max Single Trade Drawdown : -527 pips
Max Total Drawdown : -26060 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 : £14275.33
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 : £49.54
Highest Balance : £10467.02
Lowest Balance : £49.17
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 : £5961.54
Highest Balance : £10046.97
Lowest Balance : £5957.07
Largest Single Drawdown : 1%
Largest Total Drawdown : 41%


I won't bother with 5min and 1min data.

Just as a aside I'm going to run the 1day analysis with some stoplosses....

100 moving point stoploss
RESULTS of Analysis Stoch9 (eur_usd_1day_p14_1_3_20_80)
Data from 09-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 82
Profitable : 32
Losses : 50
Win Ratio : 39%
Total Pips : 519
Avg Win : 145 pips
Avg Loss : -83 pips
Profit Factor : 1.76
Avg Trade Length : 9.3 days (224.3 hours)
Max Single Trade Win : 579 pips
Max Single Trade Drawdown : -103 pips
Max Total Drawdown : -890 pips
Max Margin Requirement : 348 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £1967.34
Highest Balance : £29488.30
Lowest Balance : £1764.43
Largest Single Drawdown : 21%
Largest Total Drawdown : 94%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £10735.20
Highest Balance : £12691.23
Lowest Balance : £9222.52
Largest Single Drawdown : 2%
Largest Total Drawdown : 17%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £10100.91
Highest Balance : £10259.16
Lowest Balance : £9920.14
Largest Single Drawdown : 0%
Largest Total Drawdown : 2%


50 point moving stoploss
RESULTS of Analysis Stoch9 (eur_usd_1day_p14_1_3_20_80)
Data from 09-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 82
Profitable : 35
Losses : 47
Win Ratio : 43%
Total Pips : 1564
Avg Win : 104 pips
Avg Loss : -44 pips
Profit Factor : 2.36
Avg Trade Length : 4.9 days (118.4 hours)
Max Single Trade Win : 242 pips
Max Single Trade Drawdown : -53 pips
Max Total Drawdown : -267 pips
Max Margin Requirement : 300 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £78812.88
Highest Balance : £129450.21
Lowest Balance : £6380.13
Largest Single Drawdown : 11%
Largest Total Drawdown : 45%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £13507.12
Highest Balance : £14097.12
Lowest Balance : £9591.20
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 : £10316.38
Highest Balance : £10359.87
Lowest Balance : £9958.65
Largest Single Drawdown : 0%
Largest Total Drawdown : 1%


Next I'll look at the slow stochastic to see if it offers any improvement.

 

[Hoggums]

SLOW stochastic results (12,3,2)

1day bars / Stoch 12,3,2 20,80 trigger levels
RESULTS of Analysis Stoch9 (eur_usd_1day_p12_3_2_20_80)
Data from 16-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 63
Profitable : 23
Losses : 40
Win Ratio : 37%
Total Pips : -347
Avg Win : 359 pips
Avg Loss : -215 pips
Profit Factor : 1.67
Avg Trade Length : 37.2 days (892.4 hours)
Max Single Trade Win : 1257 pips
Max Single Trade Drawdown : -485 pips
Max Total Drawdown : -1980 pips
Max Margin Requirement : 732 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £0.00 (MARGIN CALL)
Highest Balance : £11700.00
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 : £8084.34
Highest Balance : £10229.32
Lowest Balance : £6570.41
Largest Single Drawdown : 10%
Largest Total Drawdown : 36%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9915.91
Highest Balance : £10069.63
Lowest Balance : £9675.34
Largest Single Drawdown : 1%
Largest Total Drawdown : 4%


4hour / Stoch 12,3,2 20,80 trigger levels
RESULTS of Analysis Stoch9 (eur_usd_4hour_p12_3_2_20_80)
Data from 03-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 421
Profitable : 136
Losses : 285
Win Ratio : 32%
Total Pips : -3877
Avg Win : 135 pips
Avg Loss : -78 pips
Profit Factor : 1.73
Avg Trade Length : 5.6 days (133.9 hours)
Max Single Trade Win : 768 pips
Max Single Trade Drawdown : -301 pips
Max Total Drawdown : -4235 pips
Max Margin Requirement : 549 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 : 27%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £4024.85
Highest Balance : £10000.00
Lowest Balance : £3860.53
Largest Single Drawdown : 6%
Largest Total Drawdown : 61%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9241.15
Highest Balance : £10000.00
Lowest Balance : £9181.80
Largest Single Drawdown : 1%
Largest Total Drawdown : 8%


1hour / Stoch 12,3,2 20,80 trigger levels
RESULTS of Analysis Stoch9 (eur_usd_1hour_p12_3_2_20_80)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 1456
Profitable : 493
Losses : 963
Win Ratio : 34%
Total Pips : -2325
Avg Win : 69 pips
Avg Loss : -38 pips
Profit Factor : 1.83
Avg Trade Length : 1.6 days (38.4 hours)
Max Single Trade Win : 491 pips
Max Single Trade Drawdown : -306 pips
Max Total Drawdown : -2963 pips
Max Margin Requirement : 589 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 : 61%
Largest Total Drawdown : 100%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £5458.62
Highest Balance : £10434.22
Lowest Balance : £5240.30
Largest Single Drawdown : 6%
Largest Total Drawdown : 50%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £9532.17
Highest Balance : £10082.49
Lowest Balance : £9493.01
Largest Single Drawdown : 1%
Largest Total Drawdown : 6%


15min...
RESULTS of Analysis Stoch9 (eur_usd_15min_p12_3_2_20_80)
Data from 02-Jan-2001 to 17-Jun-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 6044
Profitable : 1788
Losses : 4256
Win Ratio : 30%
Total Pips : -17776
Avg Win : 34 pips
Avg Loss : -18 pips
Profit Factor : 1.84
Avg Trade Length : 0.4 days (8.9 hours)
Max Single Trade Win : 466 pips
Max Single Trade Drawdown : -525 pips
Max Total Drawdown : -18159 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 : £17715.35
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 : £245.28
Highest Balance : £10697.14
Lowest Balance : £243.35
Largest Single Drawdown : 11%
Largest Total Drawdown : 98%

Results for Conservative money management (£/pip = 1/50000th of account balance)
Initial balance : £10000.00
Final Balance : £6997.41
Highest Balance : £10068.89
Lowest Balance : £6991.89
Largest Single Drawdown : 1%
Largest Total Drawdown : 31%


Slow stochastic does offer a small improvement over fast.

Here's the slow with 50 point moving stop...

RESULTS of Analysis Stoch9 (eur_usd_1day_p12_3_2_20_80)
Data from 16-Jan-2001 to 16-May-2007, Spread 2, Margin 250, Avg Slippage 0.5
Trades : 63
Profitable : 25
Losses : 38
Win Ratio : 40%
Total Pips : 619
Avg Win : 89 pips
Avg Loss : -42 pips
Profit Factor : 2.11
Avg Trade Length : 5.4 days (129.1 hours)
Max Single Trade Win : 537 pips
Max Single Trade Drawdown : -53 pips
Max Total Drawdown : -264 pips
Max Margin Requirement : 299 pips

Results for Aggressive money management (£/pip = 1/500th of account balance)
Initial balance : £10000.00
Final Balance : £14281.33
Highest Balance : £26909.50
Lowest Balance : £7516.82
Largest Single Drawdown : 11%
Largest Total Drawdown : 48%

Results for Medium money management (£/pip = 1/5000th of account balance)
Initial balance : £10000.00
Final Balance : £11189.21
Highest Balance : £11771.69
Lowest Balance : £9803.11
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 : £10123.28
Highest Balance : £10173.91
Lowest Balance : £9981.02
Largest Single Drawdown : 0%
Largest Total Drawdown : 1%

 

[trendie]

http://investorshub.advfn.com/boards/read_msg.asp?message_id=14508055

the tests on the RSI reminded me of something, but couldnt quite place it.
have now found it. I think it was mr_cassandra that posted it originally, so credit to him.

its a CCI +100 / -100 type trading. they use EMA-3 and EMA-8 as well.
I think the results would/should be similar, since RSI and CCI are both momentum indicators.

 

[trendie]

Hoggums,

if you are up to it, and interested enough, how about testing wasps 12-HMA rules?!

rules: 12-Hull-MA of Closes, 12-HMA of Open.

Run on 30-mins between 7-am and, say 4:00pm.
When 12-HMA-Close line closes above 12-HMA- Open then go LONG.
When 12-HMA-Close closes below 12-HMA-Open then go SHORT.

(I am assuming you havent moved to the Caribbean having traded RSI-14 on EURUSD 4-hrs)

 

[IANLEE]

So to recap Hoggums, RSI 7 on a 4hr chart of Eur:Usd using a 50 pip SL with no set target price seems to work better than all other formulae so far tested ? Or have I read the thread too quickly ?

One other point, what is meant by margin 250 ?

Congratulations on your work so far.

 

[lazerradial2003]

Great thread, are you guys writing custom software for your backtests or using something like tradestation?

 

[slangen]

Very interesting thread. thanks to Hoggums for all the effort.
(though it looks like he has to moved to Nassau.....well) :cheesy:

I learnt a lot of things from this thread. egs:
1. If you trade the right system (ie mean reverting or trending) its respective market, it stands a chance of making outstanding gains. (in this case, RSI+EUR).
2. profit targets dont work: why? coz they are arbitraty, i.e. have nothing to do with the underlyings chrs, its just a number (pulled out of a hat).
3. Low WIN/LOSS ratio means nothing, but if the Avg Win<Avg Loss you're screwed.
4. if trend trading, missing even a single trade could be sucidal. whilst mean reversion, possible a lot of trades should/could be eliminated.

Hoggums, Thanks Again.