THIS THREAD IS CLOSED AND REQUEST TO DELETE IT HAS BEEN SENT
I would like to start a thread that is dedicated to testable, mechanical
trading systems that really work. With tested results for each system.
The definition of a "mechanical system" in this thread is that the
system must not have any "discretionary" element, ie. it must be
possible to program the system as a code and it must be positive tested
on about 20 years of data. 1990+ is good because that's the time
computers started to get really involved in trading and many of the
existing methods changed their behavior for worse.
Results must be posted to all major pairs (EURUSD, USDJPY, GBPUSD,
USDCHF) and possible all the minor or "commodity" pairs as well
(AUD/USD, NZD/USD, USD/CAD). That covers most of the volume of the
market. Other pairs tend to be just aggregated moves of these pairs ie,
technical analysis works worse with them. Begin amount for testing is
$10,000.
For position sizing we'll use risk of 3% based on initial capital
(10,000 usd) - In other words if trade hits initial SL, the loss must be
maximum of 3% of initial deposit.
If the position size would be calculated to current account balance, the
results would be better on profitable systems. However the results
would always weight the later data to be more important than the begin
data.
I open this thread mainly to gain knowledge about different methods that
work so it would be possible to evaluate what kind of systems work on
longer term, ie. are they trend systems, countertrend systems.
If you have a system that you would like to contribute, please post it.
Note that the system must be mechanically testable per abpove rules. If
you can't code the system (can't program etc) that you know to be a
profitable system into a testable program by yourself, feel free to
contact me. I'll do the programming (I can't promise any schedules how
fast I can do it) and post the tested results + the system to this
thread.
I start the thread with one actually profitable system. It's my personal
modification of the turtle system, in fact it's even simpler than
turtle original turtle system was.
Note that all the daily bar tests below are made with a very crude
control points method because I don't have tick data for all the
currencies from 1990+. If someone wants to help with the testing by
pointing to a better trading platform than mt4 (I'm looking into
rightedge at the moment but the problem is forex data), I would be very
thankful.
Warning disclaimer:
Backtesting does not necessarily reflect future
results. You must understand risks and whys before you can trust any
backtesting results. Also, I don't promise that my tests do not contain
bugs, they might very well do.
Don't trust my results - Do the tests yourself.