[Darwin] UKC by Morpheus33

[AriaS]

Have just seen that the Sharpe Ratio in May was 1.32. No wonder, since all the 27 trades were winners.

The strategy is now public on Myfxbook.

Btw, Myfxbook has malfunction. If your Sharpe Ratio shows 0.0, change the trading period by even one day (through “custom analysis”) and the Sharpe Ratio shows up.

 

[AriaS]

Stress Test

Made a successful stress test for the new back testing algorithm. Tested out-of-sample the months of interest rate changes, including both surprise and predicted. The result is good: no entrances during the news. The only problem, which did not occur in the stress tests so far, but might occur is either closure in loss, in the direction of the spike, or if the closing algorithm decides to stay and closes with a bigger loss. This can be a problem only during surprise. Maybe I should consider manually closing the trade, before the rate announcement, if I see that there is no wide consensus of economists.