Friday, September 20, 2013

Strategy Backtest/Research

I recently developed a trading system and I desperately looking for feedback. The testing period is from 2001 to July 31, 2013. I use metatrader strategy tester. The strategy was tested using tick data from 2 sources, both resulting in 90% modelling quality.

My method was to test the trading system on 13 different inception scenario or starting point, which are the beginning of each year from 2001 until 2013.
Here are the average of important statistics taken from the backtest on EURUSD daily timeframe with 5 pips spread:
  1. Profit factor - avg. 1.59; stdev 0.09
  2. Relative drawdown - avg. 25.8%; stdev 3.0%
  3. Absolute drawdown - avg. 8%; stdev 7.6%
  4. CAGR - avg. 23.6%; stdev 4.4%.
In addition, the longest growth turnover period is around 21 months.

I think the above information are sufficient for now. The ultimate question is would you be interested to invest, although your investment is not my goal for the moment.

You can give your feedback in the comment section or through my twitter account @RizkiKParadja or you can email me at

Thanks guys :))

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