Backtesting the Most Popular Strategies on FF - Forex Factory

How do you guys backtest a strategy?

I'm new to the forex trading and one of the advices that I often come across is to always backtest a strategy first.
First thing that came to mind is to just go through the chart and start moving forward, simulating a trade and logging if the strategy wins or loses. I actually did this in a 15M chart for a range of 3 months, and while the results were enlightening (my strategy sucked only 36% win rate for that pair and strategy), I found the process very tedious.
So my question is are there automated ways to back test a strategy? Like maybe excel or an application?
I was looking into mt5 and expert advisors the other day, and I tried the strategy tester using a free expert advisor. Should I create a script that mimics my strategy and test it using mt5? I have a bit of programming but I don't know where to start.
submitted by Ogre-kun to Forex [link] [comments]

Double Supertrend Strategy Backtest (8500+ Trades on 28 Pairs)

Hi everyone, so a few months ago I discovered this post by u/AHoomanBeanz which is a strategy I've never heard of before. Basically, you have 2 Supertrends, a short-term one, and a long-term one and when both Supertrends go in the same direction you take a trade.
I took the liberty of modifying the strategy by setting fixed TPs instead of trailing SL with the short-term Supertrend. Check out his post for more info about entries, SL, etc.
In order to determine what way is the most efficient, I backtested this exact strategy on all 28 Majors and Minors and took five different approaches to TPs and moving of SL:
- 1:1 RRR, No Breakeven SL - 1:1.5 RRR, No BE SL - 1:2 RRR, No BE SL
- 1:1.5 RRR, Move SL to BE at 1:1 RRR - 1:2 RRR, Move SL to BE at 1:1RRR
There would be many other ways to handle the TPs and SLs but it already took me months to backtest this but if anyone wants to extend this backtest, feel free.

The Results
Using all 5 ways there were 8 out of 28 pairs that weren't profitable at all. (EURGBP, EURCAD, GBPAUD, GBPNZD, AUDCHF, NZDJPY, CADCHF, CHFJPY)
The remaining 20 pairs were profitable with at least one of the 5 ways. So I combined all 20 pairs and their most profitable TP/SL management methods and it turns out that the strategy isn't even that bad considering that you really just have to understand how Supertrends work.
Now here are some quick stats: Backtest Period: Jan 2017 - Aug 2020
- Risk Per Trade: 1% - Winrate: 44.66% - Profit Factor: 1.65 - Average Monthly Return: 5.81% - Max Drawdown: 18.4%

Notice that the drawdown is pretty high so if you're trading with a prop firm like FTMO you could just risk half as much (0.5% per trade) and your max DD would be 9.2%. Keep in mind that the return would also get cut in half.
If you want to get a more detailed view, here's the backtesting spreadsheet
(Before anyone asks: I spent 2-4h per day for around 6 weeks backtesting and tracking this stuff.)
submitted by FxRaHe to Forex [link] [comments]

Lessons from gaining 500% in a week & losing about half of it

Hello, just want to share my experience trading forex this week. So I had about $55 in my trading account and started trading GBPJPY on Monday. Won 3 out of 4 trades. But the big wins came from the XAUUSD dump this week in which I took a lot of trades and I got lucky. Felt surreal when my account reached $350 and should’ve probably stopped. But still decided to enter trades and that’s where things got pretty bad. I still have an open trade as of writing and my equity is down. XAUUSD is a beast! Been trading for almost a year now but not regularly and I only trade small amounts. This is the 1st time I made such gain and I’m not sure if I can do this again.
Here’s a screenshot: https://i.postimg.cc/ZY37hRJX/6-F33601-E-C36-A-4702-A31-B-49986022-D6-F6.jpg
Lesson learned:
**UPDATE: Been getting DMs asking about my strategy. I use price action and I don’t use any indicators. I draw 1-2 trend lines based from previous strong support and resistance. I want a clean chart as it’s easier for me. I also did 5 years worth of backtesting. My biggest issue, as I’m sure you’ve noticed, are sticking to my trading plan (stop looking at the chart all the time after entering a trade, and closing too soon due to reversals), and discipline (don’t FOMO and setting my goals).
I still don’t consider myself as a “trader” per se, so please do your own backtesting. I was also looking for the “best strategy” when I was starting out, until I realize that your results would largely depend on your attitude vs your strategy.
submitted by vongutom to Forex [link] [comments]

One year resume. Live testing before backtesting.

Hello,
I‘m on this algotrading journey starting with crypto for exactly one year now. My strategies have not been profitable yet. I have programmed my bot, teached it all the technical indicators I got to know myself first, have left it live trading and losing half of its assigned budget. I‘ve read alot about backtesting on this forum and started learning this wierd pine script language on Tradingview. I got good looking backtest results based on some simple RSI/MACD scripts. The bot got some fresh budget assigned to lose some of it again. Leaving it running for three months the blue backtest profit hill is slowly turning red as well in the meantime. Overfitted to the max obviously. I tried implementing my own backtester to add some machine learning to even more overfit the overfitted values. I somehow left it in the dark for now and have never used it for live trading yet reading so much about overfitted backtesting within this sub.
Since two months I have now completely stopped using backtesting due to this disappointing experience and completely went towards paper trading (using virtual budget on my bot). I have also tried to minimize usage of technical indicators because of the lagging. I consider all the coins instead of only BTC now. The price action is clearly linked to BTC tho (very visible!). Managing my (virtual) budget and allocation towards trades is a big learning for me as well.
I slightly look into backtesting again to validate my strategies. Still not profitable but won‘t give up there. I feel heavy doubts sometimes using it but it gives back hope as well.
How do you balance your efforts from backtesting compared to live/paper trading?
With my full time job I have somehow developed a ritual when coming home the first thing in wifi range is checking the paper trades that my bot has done over the day. Most often re-writing the whole strategy due to bad performance. I need to get more patient on that. Next I want to read more about Forex. Ordered my first book about it yesterday.
Just wanted to share my story. Hope it can motivate or helps in some way.
submitted by 26oclock to algotrading [link] [comments]

Instagram forex traders will not make you successful.

I feel like I need to have a rant.
I have been trading for just over a year now and I have just started to become profitable. What made me profitable? Blocking out all of the rubbish that comes from forex Instagram. I didn’t find a fancy new strategy. I’m using the strategy that I formed in the first 3 months of me trading. So why only now am I starting to become profitable when I knew about the strategy almost a year ago?
Because i chose to digest information coming from instagram forex traders.
I’m not talking about the obvious scammers you see on your Instagram feed such as IML, broker commission marketers, or any of the likes. I’m talking about the select few that portray themselves as trading veterans and are popular in the trading community. They are constantly posting on their stories/profile 24/7. At least once a day they will post something like ‘only 2 slots left In my mentorship’ or ‘come join my free telegram channel’. Warning: if a trader you follow is trying to promote something, even if it’s just for Instagram followers, unfollow them. They will not help you become successful.
So I had my strategy by month 3 of trading. I backtested it and it worked. But I started taking advice from these traders, I got my hands on a few of their courses and my trading began to fail. Every single course was pathetic. Never showed any live trading. No proof of anything. Always making excuses of why they can’t tag their MyFxBook.
I unfollowed all these ‘traders’ and now I am profitable.
Rant over.
submitted by zor600 to Forex [link] [comments]

I Automated & Backtested ParallaxFX Strategy

I am a Software Engineer / Data Scientist and I decided to give a go at automating a strategy based on the ParallaxFX strategy floating around and backtests the results, also due to some inspiration by Vanguer
 
I backtested on the majors 4H timeframe between January 2015 to January 2020.
 
I am only considering trades from the top and bottom bands for now.
 
My trading criteria is:
 
Upper Band
Indecision candle
Setup candle
 
Lower Band
Indecision candle
Setup candle
 
Entry: 38.2 Fib
Stop Loss: 100 Fib
Take Profit: -161.8 Fib
RRR: 3.23
 
If a candle meets my trade criteria I open the trade and forget about it.
 
I started with a balance of 500 EUR and a risk of 1%. The results use compound gain / loss and I only considered one currency pair at a time.
 
The results were not that impressive...
EUUSD
AUD/USD
GBP/USD
NZD/USD
USD/CAD
USD/CHF
 
Due to this being automated I can test a variety of parameters pretty quickly and come back with trading screenshots, results, etc.
 
I am considering a higher timeframe but the number of trades is already fairly low.
 
Here is a link to a Google Drive (https://drive.google.com/drive/folders/16cO0ZSCGakkbK90lh-FBIC3ZJIxOj9fI?usp=sharing) with screenshots from each trade and a log of the system as it makes the trades. The candles highlighted in yellow / purple are where the trade is entered. I do not have the picture marked as a win / lose but it should be obvious by the candle formation.
submitted by TribeFX to Forex [link] [comments]

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submitted by ViralMedia007 to FREECoursesEveryday [link] [comments]

Is Forex Tester 4 worth the outlay?

I'm interested in understanding back testing strategies, and have heard a few podcasts mention Forex Tester. I'm lost most weekends as i'm using IG INdex demo account, and cannot really trade or backtest on the platform.
Are there other, better software out there? Or even open-source or free?
submitted by ParanoidPete to Forex [link] [comments]

Hesitant To Start Back Testing...

So I found a strategy I like and added some stuff to it. It is a simple pullback trading strategy using break and retest. I have my risk management planned out and how I'm going to manage active trades and trail my stop. I'm going to be trading the daily chart.
My problem is, I feel like I should learn some more stuff before I start. I want to start backtesting but I don't know if I should read some books first and learn some more stuff. Will this help me or should I just go on and start backtesting?
Some books I think might be helpful: Naked Forex, The Art And Science Of Technical Analysis, The Candlestick Trading bible, and Attacking Currency Trends.
Any other book suggestions? Should I just skip the reading and jump right in?
Thanks.
submitted by CD_GG_FX to Forex [link] [comments]

3 years, 28 pairs and 310 trades later

This thread is the direct continuation of my previous entry, which you can find here. I have the feeling my rambles may be long, so I'm not going to repeat anything I already said in my previous post for the sake of keeping this brief.
What is this?
I am backtesting the strategy shared by ParallaxFx. I have just completed my second run of testing, and I am here to share my results with those who are interested. If you want to read more about the strategy, go to my previous thread where I linked it.
What changed?
Instead of using a fixed target of the -100.0 Fibonacci extension, I tracked both the -61.8 and the -100.0 targets. ParallaxFx used the -61.8 as a target, but never tried the second one, so I wanted to compare the two and see what happens.
Where can I see your backtested result?
I am going to do something I hope I won't regret and share the link to my spreadsheet. Hopefully I won't be doxxed, but I think I should be fine. You can find my spreadsheet at this link. There are a lot of entries, so it may take a while for them to load. In the "Trades" tab, you will find every trade I backtested with an attached screenshot and the results it would have had with the extended and the unextended target. You can see the UNCOMPOUNDED equity curve in the Summary tab, together with the overall statistics for the system.
What was the sample size?
I backtested on the Daily chart, from January 2017 to December 2019, over 28 currency pairs. I took a total of 310 trades - although keep in mind that every position is most often composed by two entries, meaning that you can roughly halve this number.
What is the bottom line?
If you're not interested in the details, here are the stats of the strategy based on how I traded it.
Here you can see the two uncompounded equity curves side by side: red is unextended and blue is extended.
Who wins?
The test suggests the strategy to be more profitable with the extended target. In addition, most of the trades that reached the unextended target but reversed before reaching the extended, were trades that I would have most likely not have taken with the extented target. This is because there was a resistance/support area in the way of the -100.0 extension level, but there was enough room for price to reach the -61.8 level.
I will probably trade this strategy using the -100.0 level as target, unless there is an area in the way. In that case I will go for the unextended target.
Drawdown management
The expected losing streak for this system, using the extended target, is 7 trades in a row in a sample size of 100 trades. My goal is to have a drawdown cap of 4%, so my risk per trade will be 0.54%. If I ever find myself in a losing streak of more than 8 trades, I will reduce my risk per trade further.
What's next?
I'll be taking this strategy live. The wisest move would be to repeat the same testing over lower timeframes to verify the edge plays out there as well, but I would not be able to trust my results because I would have vague memories of where price went because of the testing I just did. I also believe markets are fractals, so I see no reason why this wouldn't work on lower timeframes.
Before going live, I will expand this spreadsheet to include more specific analysis and I will continue backtesting at a slower pace. The goal is to reach 20 years of backtesting over these 28 pairs and put everything into this spreadsheet. It's not something I will do overnight, but I'll probably do one year every odd day, and maybe a couple more during the weekend.
I think I don't have much else to add. I like the strategy. Feel free to ask questions.
submitted by Vanguer to Forex [link] [comments]

"MACD" for algorithm trading ?

Im trading since ages using the "MACD" indicator and (of course) price action... lately i wanted to implement a simple "MACD" trend follow strategy using QuantConnect and well... it failed and it ended up in a huge loss (backtesting)... i focused mainly on the forex market ( EUUSD )
So i end up with the question if i implemented a mistake or if the "MACD" indicator is a bad decision if you wanna let algorithms trade for you.
Whats your opinion on "MACD" for algorithms ? What is your experience ? Any tipps and tricks to design a profitable MACD algo ?
submitted by genarTheDev to algotrading [link] [comments]

2.5 years and 145 backtested trades later

I have a habit of backtesting every strategy I find as long as it makes sense. I find it fun, and even if the strategy ends up being underperforming, it gives me a good excuse to gain valuable chart experience that would normally take years to gather. After I backtest something, I compare it to my current methodology, and usually conclude that mine is better either because it has a better performance or the new method requires too much time to manage (Spoiler: until now, I like this better)
During the last two days, I have worked on backtesting ParallaxFx strategy, as it seemed promising and it seemed to fit my personality (a lazy fuck who will happily halve his yearly return if it means he can spend 10% less time in front of the screens). My backtesting is preliminary, and I didn't delve very deep in the data gathering. I usually track all sort of stuff, but for this first pass, I sticked to the main indicators of performance over a restricted sample size of markets.
Before I share my results with you, I always feel the need to make a preface that I know most people will ignore.
Strategy
I am not going to go into the strategy in this thread. If you haven't read the series of threads by the guy who shared it, go here.
As suggested by my mentioned personality type, I went with the passive management options of ParallaxFx's strategy. After a valid setup forms, I place two orders of half my risk. I add or remove 1 pip from each level to account for spread.
Sample
I tested this strategy over the seven major currency pairs: AUDUSD, USDCAD, NZDUSD, GBPUSD, USDJPY, EURUSD, USDCHF. The time period started on January 1th 2018 and ended on July 1th 2020, so a 2.5 years backtest. I tested over the D1 timeframe, and I plan on testing other timeframes.
My "protocol" for backtesting is that, if I like what I see during this phase, I will move to the second phase where I'll backtest over 5 years and 28 currency pairs.
Units of measure
I used R multiples to track my performance. If you don't know what they are, I'm too sleepy to explain right now. This article explains what they are. The gist is that the results you'll see do not take into consideration compounding and they normalize volatility (something pips don't do, and why pips are in my opinion a terrible unit of measure for performance) as well as percentage risk (you can attach variable risk profiles on your R values to optimize position sizing in order to maximize returns and minimize drawdowns, but I won't get into that).
Results
I am not going to link the spreadsheet directly, because it is in my GDrive folder and that would allow you to see my personal information. I will attach screenshots of both the results and the list of trades. In the latter, I have included the day of entry for each trade, so if you're up to the task, you can cross-reference all the trades I have placed to make sure I am not making things up.
Overall results: R Curve and Segmented performance.
List of trades: 1, 2, 3, 4, 5, 6, 7. Something to note: I treated every half position as an individual trade for the sake of simplicity. It should not mess with the results, but it simply means you will see huge streaks of wins and losses. This does not matter because I'm half risk in each of them, so a winstreak of 6 trades is just a winstreak of 3 trades.
For reference:
Thoughts
Nice. I'll keep testing. As of now it is vastly better than my current strategy.
submitted by Vanguer to Forex [link] [comments]

The rise of fake Gurus

The rise of fake Gurus
https://preview.redd.it/s8df6kzd0tw51.jpg?width=1200&format=pjpg&auto=webp&s=1415af6b476b3ad00d3fcb6a8769de347b2a132d
Today, we are going to discuss how the rising of fake gurus from YouTube actually hacking our brain and trapping us to gambling in the stock market by using their attractive thumbnail and live webinar. In the end, we will discuss how to avoid being trapped. Please read this article seriously because we have made it very simple for you to check who is good or bad.
We Indians feel good when someone gives us something free of cost whether that content is valid or not, legit or not we hardly verify the facts. We can accept anything & everything IF it is free of cost. Didn’t you experience it?
At first, we are going to talk about why 95% of stock market-related content on YouTube is bullshit and fake which will not give you satisfactory results what they are claiming in the thumbnail. It’s so funny that I identified there in one video thumbnail that claimed to quit your job to become a millionaire by following his strategy. Seriously, Guys?
There are millions of fancy strategies stated as no loss strategy, guaranteed monthly income strategy, 100% working strategy, intraday tricks which will never give you loss, how to earn 1 Cr in one day, Become warren buffet in 3 simple steps, how to get your money double in options trading, etc, etc
You know guys what is the most fun thing? There are millions of views on their videos. It’s clearly indicating that we are the ones viewing all those videos that resulted in getting us trapped. Isn’t it?
How is it possible that someone without any experience will come and tell us how to make millions from the stock market? Guys, think logically does that possible? Have you ever verified their article before practically implementing it in the live market by putting your hard-earned money? Why are you using even in the first place?
Believe me, no one can make you rich in the stock market. It’s only your right and quality knowledge, dedication, and focus that can change the way you see the stock market. No amount of information will provide you an edge or trading improvement until and unless you experience it by yourself practically by implementing.
For egg: whatever we share at AfterVision, we do it with full confidence because we only share a backtested system that we have achieved after 11 years of deep research & experience. Believe in the result, don’t just focus on fake and manipulated promises.
Any single mistake in the stock market can make your capital zero. You have to control and focus on your Psychological process and implementation with the combination of Disciplined because these both play an important key role in the stock market then come last our so-called strategy. The strategy has no value if you don’t have an advanced system which can give you a better risk-reward ratio and clear cut entry and exit mechanism.
Never join anybody if someone is making fake promises to give you more than a 10% return per month consistently. But, the funny thing is no one will talk about less than 30-50% of the capital return. Amazed? Don’t be the one to get trapped though!
Never be dependent on any tip provider, signal or software, etc because trust me it is a bullshit idea of selling tips and indictors which doesn’t work seriously. They don’t trade themselves because it’s easy for YouTubers to create a 5 min video explaining about anything and showing some fake screenshots to trust us easily on them. YouTube is like their Dukan(shop), the business turnover is depending on our views we give to them that why they always come up with some choosy and fake caption and thumbnail such as 100% capital double, no loss strategy, etc so that viewers will click often on their video by getting trapped.
Youtuber and live webinar guys will emotionally sell you some sort of snack oil of how you can change your life by joining their superficial level program. I am not telling you that all are bad. But, I can tell you 6 out of 10 are selling craps on the name of courses. I have got to join so many courses in the last 6 months to experience ranges from Indian to Forex guys. They are just bragging about indicator on the name of courses. That’s it. We already know indicators don’t work all the time. It’ll give you 3 times signals within 30 min. You’ll confuse about whether to buy or sell. That’s what the techniques they are claiming to work 100% of the time in any market in any situation.
Why we are different at AfterVision?
First of all, we don’t ever promise you to give 100% result because there is no perfect system in the world which can give you 100% result.
We don’t sit and trade the whole day that’s a fishy system to sit the whole day to make money. At AfterVision, Only 45-60 min is enough to make money if you are a serious trader. We focus on a one-to-one basis live session rather than providing a crowd or batch where no one can ask questions openly.
We don’t talk about any kind of indicators because believe me it is just crap, will only confuse you in the end. we believe in logical trading, if you are not getting any logic to take an entry or exit then simply we sleep that day without doing trade.
We never focus on more than 5 trades in a month because we believe in quality rather than just focusing on quantity. We provide 24*7 doubt sessions with lifetime support. Yes, anytime you can call at AfterVision to take any support.
Click here - http://blog.aftervisioneducation.com/the-rise-of-fake-gurus/
submitted by aveducatioseo to u/aveducatioseo [link] [comments]

How reliable are free sources for historical data?

Has anyone used free sources like histdata.com, dukascopy, forexsb to train models or backtest their algos?
I am working on training a model to trade forex pairs. Still experimenting with the idea and don’t want to invest in an data api before I have a solid strategy.
Wondering if I can make use of this data to test the model with this data and move on to test the model with something paid afterwards OR just go with a single data source as best practices would say.
Thanks in advance!
submitted by vikas-sharma to algotrading [link] [comments]

Price Action...

Ok so I'll admit, I was not a fan of price action until recently. I was watching NNFX and I thought it was useless, part of the problem was that I was too lazy to bother trying it. But the more I browse this sub, the more interested I am. However, I am not completely cutting out my indicators and I'm gonna try both. But I have some questions:
  1. Can you trade using price action on longer timeframes? (1h and up, I can't watch the charts for that long. Preferably, I would do full on swing trading using price action.)
  2. How would you backtest a strategy using price action? I feel like this would be difficult for 2 reasons:
    1. It is pretty subjective, so the rules aren't as strict (you might miss a trade opportunity while backtesting).
    2. I can't backtest on tradingview using intraday charts, do you have a way to get around this? I tried drawing a black rectangle using the drawing tools but if you hover over it with your mouse, you can see price again.
  3. I am going to read naked forex soon, would you recommend any other resources or should I stick with that for now and learn the basics first? (I'm not sure if I can even call it the "basics")
  4. I also did the babypips course so I'm not completely clueless, but I skipped the parts about price patterns, harmonic patterns, and elliot wave (and fundamentals analysis but I'm not gonna bother with fundamentals because I only care about the news so I can avoid it, more than that is too much to keep track of IMO). I think the price patterns section might be important but the elliott wave and harmonic price patterns don't seem too important to me. Should I go back and learn these?
Thank you.
submitted by CD_GG_FX to Forex [link] [comments]

H1 Backtest of ParallaxFX's BBStoch system

Disclaimer: None of this is financial advice. I have no idea what I'm doing. Please do your own research or you will certainly lose money. I'm not a statistician, data scientist, well-seasoned trader, or anything else that would qualify me to make statements such as the below with any weight behind them. Take them for the incoherent ramblings that they are.
TL;DR at the bottom for those not interested in the details.
This is a bit of a novel, sorry about that. It was mostly for getting my own thoughts organized, but if even one person reads the whole thing I will feel incredibly accomplished.

Background

For those of you not familiar, please see the various threads on this trading system here. I can't take credit for this system, all glory goes to ParallaxFX!
I wanted to see how effective this system was at H1 for a couple of reasons: 1) My current broker is TD Ameritrade - their Forex minimum is a mini lot, and I don't feel comfortable enough yet with the risk to trade mini lots on the higher timeframes(i.e. wider pip swings) that ParallaxFX's system uses, so I wanted to see if I could scale it down. 2) I'm fairly impatient, so I don't like to wait days and days with my capital tied up just to see if a trade is going to win or lose.
This does mean it requires more active attention since you are checking for setups once an hour instead of once a day or every 4-6 hours, but the upside is that you trade more often this way so you end up winning or losing faster and moving onto the next trade. Spread does eat more of the trade this way, but I'll cover this in my data below - it ends up not being a problem.
I looked at data from 6/11 to 7/3 on all pairs with a reasonable spread(pairs listed at bottom above the TL;DR). So this represents about 3-4 weeks' worth of trading. I used mark(mid) price charts. Spreadsheet link is below for anyone that's interested.

System Details

I'm pretty much using ParallaxFX's system textbook, but since there are a few options in his writeups, I'll include all the discretionary points here:

And now for the fun. Results!

As you can see, a higher target ended up with higher profit despite a much lower winrate. This is partially just how things work out with profit targets in general, but there's an additional point to consider in our case: the spread. Since we are trading on a lower timeframe, there is less overall price movement and thus the spread takes up a much larger percentage of the trade than it would if you were trading H4, Daily or Weekly charts. You can see exactly how much it accounts for each trade in my spreadsheet if you're interested. TDA does not have the best spreads, so you could probably improve these results with another broker.
EDIT: I grabbed typical spreads from other brokers, and turns out while TDA is pretty competitive on majors, their minors/crosses are awful! IG beats them by 20-40% and Oanda beats them 30-60%! Using IG spreads for calculations increased profits considerably (another 5% on top) and Oanda spreads increased profits massively (another 15%!). Definitely going to be considering another broker than TDA for this strategy. Plus that'll allow me to trade micro-lots, so I can be more granular(and thus accurate) with my position sizing and compounding.

A Note on Spread

As you can see in the data, there were scenarios where the spread was 80% of the overall size of the trade(the size of the confirmation candle that you draw your fibonacci retracements over), which would obviously cut heavily into your profits.
Removing any trades where the spread is more than 50% of the trade width improved profits slightly without removing many trades, but this is almost certainly just coincidence on a small sample size. Going below 40% and even down to 30% starts to cut out a lot of trades for the less-common pairs, but doesn't actually change overall profits at all(~1% either way).
However, digging all the way down to 25% starts to really make some movement. Profit at the -161.8% TP level jumps up to 37.94% if you filter out anything with a spread that is more than 25% of the trade width! And this even keeps the sample size fairly large at 187 total trades.
You can get your profits all the way up to 48.43% at the -161.8% TP level if you filter all the way down to only trades where spread is less than 15% of the trade width, however your sample size gets much smaller at that point(108 trades) so I'm not sure I would trust that as being accurate in the long term.
Overall based on this data, I'm going to only take trades where the spread is less than 25% of the trade width. This may bias my trades more towards the majors, which would mean a lot more correlated trades as well(more on correlation below), but I think it is a reasonable precaution regardless.

Time of Day

Time of day had an interesting effect on trades. In a totally predictable fashion, a vast majority of setups occurred during the London and New York sessions: 5am-12pm Eastern. However, there was one outlier where there were many setups on the 11PM bar - and the winrate was about the same as the big hours in the London session. No idea why this hour in particular - anyone have any insight? That's smack in the middle of the Tokyo/Sydney overlap, not at the open or close of either.
On many of the hour slices I have a feeling I'm just dealing with small number statistics here since I didn't have a lot of data when breaking it down by individual hours. But here it is anyway - for all TP levels, these three things showed up(all in Eastern time):
I don't have any reason to think these timeframes would maintain this behavior over the long term. They're almost certainly meaningless. EDIT: When you de-dup highly correlated trades, the number of trades in these timeframes really drops, so from this data there is no reason to think these timeframes would be any different than any others in terms of winrate.
That being said, these time frames work out for me pretty well because I typically sleep 12am-7am Eastern time. So I automatically avoid the 5am-6am timeframe, and I'm awake for the majority of this system's setups.

Moving stops up to breakeven

This section goes against everything I know and have ever heard about trade management. Please someone find something wrong with my data. I'd love for someone to check my formulas, but I realize that's a pretty insane time commitment to ask of a bunch of strangers.
Anyways. What I found was that for these trades moving stops up...basically at all...actually reduced the overall profitability.
One of the data points I collected while charting was where the price retraced back to after hitting a certain milestone. i.e. once the price hit the -61.8% profit level, how far back did it retrace before hitting the -100% profit level(if at all)? And same goes for the -100% profit level - how far back did it retrace before hitting the -161.8% profit level(if at all)?
Well, some complex excel formulas later and here's what the results appear to be. Emphasis on appears because I honestly don't believe it. I must have done something wrong here, but I've gone over it a hundred times and I can't find anything out of place.
Now, you might think exactly what I did when looking at these numbers: oof, the spread killed us there right? Because even when you move your SL to 0%, you still end up paying the spread, so it's not truly "breakeven". And because we are trading on a lower timeframe, the spread can be pretty hefty right?
Well even when I manually modified the data so that the spread wasn't subtracted(i.e. "Breakeven" was truly +/- 0), things don't look a whole lot better, and still way worse than the passive trade management method of leaving your stops in place and letting it run. And that isn't even a realistic scenario because to adjust out the spread you'd have to move your stoploss inside the candle edge by at least the spread amount, meaning it would almost certainly be triggered more often than in the data I collected(which was purely based on the fib levels and mark price). Regardless, here are the numbers for that scenario:
From a literal standpoint, what I see behind this behavior is that 44 of the 69 breakeven trades(65%!) ended up being profitable to -100% after retracing deeply(but not to the original SL level), which greatly helped offset the purely losing trades better than the partial profit taken at -61.8%. And 36 went all the way back to -161.8% after a deep retracement without hitting the original SL. Anyone have any insight into this? Is this a problem with just not enough data? It seems like enough trades that a pattern should emerge, but again I'm no expert.
I also briefly looked at moving stops to other lower levels (78.6%, 61.8%, 50%, 38.2%, 23.6%), but that didn't improve things any. No hard data to share as I only took a quick look - and I still might have done something wrong overall.
The data is there to infer other strategies if anyone would like to dig in deep(more explanation on the spreadsheet below). I didn't do other combinations because the formulas got pretty complicated and I had already answered all the questions I was looking to answer.

2-Candle vs Confirmation Candle Stops

Another interesting point is that the original system has the SL level(for stop entries) just at the outer edge of the 2-candle pattern that makes up the system. Out of pure laziness, I set up my stops just based on the confirmation candle. And as it turns out, that is much a much better way to go about it.
Of the 60 purely losing trades, only 9 of them(15%) would go on to be winners with stops on the 2-candle formation. Certainly not enough to justify the extra loss and/or reduced profits you are exposing yourself to in every single other trade by setting a wider SL.
Oddly, in every single scenario where the wider stop did save the trade, it ended up going all the way to the -161.8% profit level. Still, not nearly worth it.

Correlated Trades

As I've said many times now, I'm really not qualified to be doing an analysis like this. This section in particular.
Looking at shared currency among the pairs traded, 74 of the trades are correlated. Quite a large group, but it makes sense considering the sort of moves we're looking for with this system.
This means you are opening yourself up to more risk if you were to trade on every signal since you are technically trading with the same underlying sentiment on each different pair. For example, GBP/USD and AUD/USD moving together almost certainly means it's due to USD moving both pairs, rather than GBP and AUD both moving the same size and direction coincidentally at the same time. So if you were to trade both signals, you would very likely win or lose both trades - meaning you are actually risking double what you'd normally risk(unless you halve both positions which can be a good option, and is discussed in ParallaxFX's posts and in various other places that go over pair correlation. I won't go into detail about those strategies here).
Interestingly though, 17 of those apparently correlated trades ended up with different wins/losses.
Also, looking only at trades that were correlated, winrate is 83%/70%/55% (for the three TP levels).
Does this give some indication that the same signal on multiple pairs means the signal is stronger? That there's some strong underlying sentiment driving it? Or is it just a matter of too small a sample size? The winrate isn't really much higher than the overall winrates, so that makes me doubt it is statistically significant.
One more funny tidbit: EUCAD netted the lowest overall winrate: 30% to even the -61.8% TP level on 10 trades. Seems like that is just a coincidence and not enough data, but dang that's a sucky losing streak.
EDIT: WOW I spent some time removing correlated trades manually and it changed the results quite a bit. Some thoughts on this below the results. These numbers also include the other "What I will trade" filters. I added a new worksheet to my data to show what I ended up picking.
To do this, I removed correlated trades - typically by choosing those whose spread had a lower % of the trade width since that's objective and something I can see ahead of time. Obviously I'd like to only keep the winning trades, but I won't know that during the trade. This did reduce the overall sample size down to a level that I wouldn't otherwise consider to be big enough, but since the results are generally consistent with the overall dataset, I'm not going to worry about it too much.
I may also use more discretionary methods(support/resistance, quality of indecision/confirmation candles, news/sentiment for the pairs involved, etc) to filter out correlated trades in the future. But as I've said before I'm going for a pretty mechanical system.
This brought the 3 TP levels and even the breakeven strategies much closer together in overall profit. It muted the profit from the high R:R strategies and boosted the profit from the low R:R strategies. This tells me pair correlation was skewing my data quite a bit, so I'm glad I dug in a little deeper. Fortunately my original conclusion to use the -161.8 TP level with static stops is still the winner by a good bit, so it doesn't end up changing my actions.
There were a few times where MANY (6-8) correlated pairs all came up at the same time, so it'd be a crapshoot to an extent. And the data showed this - often then won/lost together, but sometimes they did not. As an arbitrary rule, the more correlations, the more trades I did end up taking(and thus risking). For example if there were 3-5 correlations, I might take the 2 "best" trades given my criteria above. 5+ setups and I might take the best 3 trades, even if the pairs are somewhat correlated.
I have no true data to back this up, but to illustrate using one example: if AUD/JPY, AUD/USD, CAD/JPY, USD/CAD all set up at the same time (as they did, along with a few other pairs on 6/19/20 9:00 AM), can you really say that those are all the same underlying movement? There are correlations between the different correlations, and trying to filter for that seems rough. Although maybe this is a known thing, I'm still pretty green to Forex - someone please enlighten me if so! I might have to look into this more statistically, but it would be pretty complex to analyze quantitatively, so for now I'm going with my gut and just taking a few of the "best" trades out of the handful.
Overall, I'm really glad I went further on this. The boosting of the B/E strategies makes me trust my calculations on those more since they aren't so far from the passive management like they were with the raw data, and that really had me wondering what I did wrong.

What I will trade

Putting all this together, I am going to attempt to trade the following(demo for a bit to make sure I have the hang of it, then for keeps):
Looking at the data for these rules, test results are:
I'll be sure to let everyone know how it goes!

Other Technical Details

Raw Data

Here's the spreadsheet for anyone that'd like it. (EDIT: Updated some of the setups from the last few days that have fully played out now. I also noticed a few typos, but nothing major that would change the overall outcomes. Regardless, I am currently reviewing every trade to ensure they are accurate.UPDATE: Finally all done. Very few corrections, no change to results.)
I have some explanatory notes below to help everyone else understand the spiraled labyrinth of a mind that put the spreadsheet together.

Insanely detailed spreadsheet notes

For you real nerds out there. Here's an explanation of what each column means:

Pairs

  1. AUD/CAD
  2. AUD/CHF
  3. AUD/JPY
  4. AUD/NZD
  5. AUD/USD
  6. CAD/CHF
  7. CAD/JPY
  8. CHF/JPY
  9. EUAUD
  10. EUCAD
  11. EUCHF
  12. EUGBP
  13. EUJPY
  14. EUNZD
  15. EUUSD
  16. GBP/AUD
  17. GBP/CAD
  18. GBP/CHF
  19. GBP/JPY
  20. GBP/NZD
  21. GBP/USD
  22. NZD/CAD
  23. NZD/CHF
  24. NZD/JPY
  25. NZD/USD
  26. USD/CAD
  27. USD/CHF
  28. USD/JPY

TL;DR

Based on the reasonable rules I discovered in this backtest:

Demo Trading Results

Since this post, I started demo trading this system assuming a 5k capital base and risking ~1% per trade. I've added the details to my spreadsheet for anyone interested. The results are pretty similar to the backtest when you consider real-life conditions/timing are a bit different. I missed some trades due to life(work, out of the house, etc), so that brought my total # of trades and thus overall profit down, but the winrate is nearly identical. I also closed a few trades early due to various reasons(not liking the price action, seeing support/resistance emerge, etc).
A quick note is that TD's paper trade system fills at the mid price for both stop and limit orders, so I had to subtract the spread from the raw trade values to get the true profit/loss amount for each trade.
I'm heading out of town next week, then after that it'll be time to take this sucker live!

Live Trading Results

I started live-trading this system on 8/10, and almost immediately had a string of losses much longer than either my backtest or demo period. Murphy's law huh? Anyways, that has me spooked so I'm doing a longer backtest before I start risking more real money. It's going to take me a little while due to the volume of trades, but I'll likely make a new post once I feel comfortable with that and start live trading again.
submitted by ForexBorex to Forex [link] [comments]

Crosspost: My first trading bot, now 4 months in development, started trading live last week and already gained 10%!

Backtest screenshot:
https://solrac.prodibi.com/a/1jwk24gd54qyqxv/i/jdydmjj8wrrm725
Here's my original post:
https://www.reddit.com/algotrading/comments/hd7e6c/my_first_algo_trading_bot_in_python_is_getting/?utm_source=share&utm_medium=ios_app&utm_name=iossmf
Since then we've grown to a team of five people.
We started trading live last week with a $100 test account on Binance Futures and gained 10% in our first week!
Some amazing updates in the works: we are building this bot to connect to multiple exchanges via websocket in order to execute commands as fast as possible, and control them all through one web interface.
This is a high velocity leveraged trading bot that uses 50x leverage and risks 5% of the wallet per trade. Soon we will implement dynamic leverage and position sizes based on key risk factors, like trading during range highs and lows.
Beyond that, we also want to add different crypto markets, and maybe even forex eventually.
Our very next target is Digitex Futures, the first totally commission free zero fee crypto exchange! We think this will be a game changer as fees make a huge impact on profitability.
The current backtest, which is returning 900x over a 1 year 7 month period (with 100% of profits compounded) is viewable at cryptoravager dot com. I still need help to add Sharpe, equity, & drawdown indicators to the chart. Anyone have experience with the tradingview library?
Please give me any feedback or advice! I'm one of those developers turned algo traders. I have 20 years experience in web application development, and only 1 year in trading and markets. Back in January I paid a pro trader good money to learn the strategy my bot is now using, which I used successfully by hand in March / April. That personal history plus the stellar backtest is what spurred us on to reach this point today.
submitted by solrac149 to algotradingcrypto [link] [comments]

Any Luck with Ninjascript?

Hey guys, A little about me - I've been writing algos on and off for about a year and a half now. I started with Quantopian way back using python to write stock algos, then realised I couldn't live trade with it, so that put me off that.
I then found MT4 and MetaEditor and the world of forex... I was immediately in love with the simplicity of the language (C#), but I ditched it because forex just felt impossible to code around with all the volatility and news based price action. (I'm sure there's exceptions to this - but does anyone have a similar experience with it?)
I finally landed on NinjaTrader and scalping futures, which is amazing and seems to fit way better.
I'm wondering if anyone has experiences with successful Ninjascript trading systems and what advice they have etc. I've written up a few, one with a 76% success rate over 50 days but I'm starting to see how commission and tax really can have an impact...I'd also like to know about the reliability of backtesting using the Strategy Analyser vs Market Replay...
Who's out there! :)
submitted by photoshoplad to algotrading [link] [comments]

Questions about EA

Hi. I'm not terribly knowledgeable about Forex, but I am interested in learning. I am also interested in trading robots. I have someone who has designed a robot for me. Here is the description of the strategy it uses: The Donchian channel is taken as a basis. It doesn't work well on the flat, but it works well in the trend. To determine how to separate the flat from the trend, we can calculate the ratio of the Donchian channel to the ATR. When exiting the flat, we open a position based on the breakdown of the Donchian channel. Stop loss and take profit are set based on the channel lines. Dynamic position management is also used.
The robot he has provided does extremely well in historical backtesting. My question is twofold. Does the strategy he is describing make sense? And is it possible to set up a robot so that it does well in back testing but is unlikely to generate similar results in the future? Thanks for any help you can offer.
submitted by ssparker7 to Forex [link] [comments]

Backtesting

Hi all,I recently read in the book,Naked Forex, that you shouldn't backtest your strategies automated and then use them for manual backtesting and you should rather backtest manually or with manual software eg.Forex Tester and backtest automated and use the strategy automated.What are your opinions and also what are some good preferably free manual backtesting software?
submitted by azmit to Forex [link] [comments]

CHFJPY 12h Long - Update

This was a trade I shared two days ago here. I know there are at least a couple of people in this community who are forward testing the same strategy I am using, so I thought sharing some setups and updates would help these people. I will obviously share both wins and losses, as the point of these threads isn't to brag, but to show what I'm looking at.
Here is the updated chart. As you can see, my 23.6% retracement order was filled, but price didn't go low enough to trigger my 38.2% retracement order. Once the market broke through the -38.2% extension level, I deleted the unfilled pending order and let the open position to run.
My target was the -61.8% extension level, or 115.496. If you have been following the threads about my backtesting, I went with the unextended target on this one because I feared the swing high could have provided resistance. Price made its way to my target and hit it a few minutes ago. Momentum seems to be building up, so I wouldn't be surprised if price will move to the extended target, but it happens.
The overall profit in terms of units of risk was 1.56. Your return in terms of percentage will depend on your risk management plan. In my personal account, I am comfortable with higher level of risk, so I would have risked a full 2% on this position. Since I only got partially filled, the trade would have net me 1.56% return.
Do let me know if these threads are useful or if they make me sound bigheaded
submitted by Vanguer to Forex [link] [comments]

Risk:Reward strategies: A follow up question/ Looking for opinions on this idea

This is a follow up post from my last one yesterday here : https://www.reddit.com/Forex/comments/i4veq6/best_riskreward_ratios_for_trend_trading_exit/

I was talking about what everyone's best/ optimal R:R exit strategies are and how/why people use them. After looking at the posts and ideas that a few people shared I had an idea, and I thought I'd share the idea to see if it's one worth considering seriously.

going 1:1 has less DD (on my own strategy backtest) than going 2:1 (makes sense). If I start an account with a prop fund and they have a DD limit (10%), would it be best to start trading using 1:1 to grow the account slowly with less risk of breaking the rules, and then go 2:1 when there is more capital that can be afforded to be lost (so the eventual win streak can come along and I can make more of that % gain baby)

Does this idea sound rational or stupid? Forex Reddit do your magic and castrate me or praise me for the idea cos I wanna know what you think.
submitted by LMTKReddit to Forex [link] [comments]

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