Is this strategy Worth trading?

AcidfluxX

Newbie
3 0
Dear fellow Traders,

I have developed this strategy for eur/usd, and backtested it using amibroker. I got the following results Which I have attached along with this thread. But the ulcer index is too high , maybe it is because of 1:20 times levelrage which i m taking in the strategy. I wanted the valueable feedback from this forum. It will be of great help if u give me ur insights as to wether I shud trade using this strategy or not.

Highlights of the strategy

Initial capital 25000.00
Ending capital 41993.61
Net Profit 16993.61
Net Profit % 67.97 %
Ulcer index 8.38
CAR/MaxDD 2.29
Profit factor 1.10
Standard error 2379
No of trades 2150

The rest of the statistics are in the word document. TIme frame I have chosen is 5mins, On higher time frames, the results r better but the anual ROI is less. Kindly advice.
 

Attachments

  • Amibroker Backtesting results Trading Strategy Statistics.doc
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AcidfluxX

Newbie
3 0
I have used one years data to test this Strategy from 10/10/2011 to 10/10/2012. As the time frame is 5 mins... is this much data enough to validate the backtesting? Also I have attached the chart of the Equity curve which looks a bit funny. The Equity curve which I have posted here is with a constant lot size of 125000. ... kindly advice
 

Attachments

  • Equity curve.jpg
    Equity curve.jpg
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AcidfluxX

Newbie
3 0
Max Drawdown is more than 40%?

The way amibroker tests it(by incremental lot sizing with profit and decreasing lot size with loss)... it is 30%.

And if I keep the lot size consistent at 125000, then there is a dip from around 45000$ to 29000 $ in the profits.

Suppose i m in a position to loose around 5000$ and not cry over it then will it be appropriate to risk that much behind this strategy?

Or is there anything in the standard error or the ulcer index etc which one of you ppl with knowledge of statistics point out and call this a waste of effort?
 

fibbinstarchi

Active member
164 4
You have inaccuracies in your testing
 

NVP

Legendary member
37,630 2,034
I dont ever believe backtesting anyway .......sure for a little sanity testing maybe

but testing live is all that matters.......use real money and check your shorts every few hours for damage...discolouring is usually an indication of future ulcers

N
 
 
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