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 rizkikurniawan.paradja@gmail.com.

 

Thanks guys :))

Dollar Index Update

$USDX Daily Chart - The dollar index gained last week as expected, reaching the first check point at 1.382 of BC (previous post). The Euro and Pound weakened about 130 pips and 180 pips respectively against the dollar while Yen, Swiss Franc and Canadian Dollar weakened 131, 130 and 160 pips respectively.

$USDX 4 hour Chart - I remain bullish on the US against the Yen and Canadian Dollar, but I think it might find resistance against the Euro, Pound and CHF. Next check point for USDX is at 84.82. Economic Data Calendar 

Dollar Index Review & Outlook

$USDX 4 hour chart - The dollar index finally touched the correction target from previous post last week and is now back above 83.00. Support is now at 81.72 (last week low).

$USDX daily chart - Target projections are based on several multiplier of correction range, added to last week low. AB=CD pattern projection (2x correction range) is my final target. Check points are 1x, 1.382x, and 1.618x correction range at 83.49, 84.32, and 84.82 respectively.

Dollar Index Weekly Outlook

$USDX DAILY CHART - The dollar index has broken the rising trendline from early February after it failed to close above 82.97 ( 161.8% of AB). I am hoping to see short-term reversal for the dollar, targeting retracement levels of the rally (see chart below).

$USDX 4-HOUR CHART - The dollar index currently trade around 82.45/55, just above 23.6% retracement level at 82.17. Next support levels are 38.2% and 50% at 81.55 and 81.05 respectively.

$EURUSD Outlook

EURUSD DAILY CHART - Retracement of wave 2-3 extended to 78.6% this week, which is near 89 day EMA and 38.2% level of the major downtrend. I think there is a good chance of near-term reversal with support area between 1.3000/1.3150 based on the technical. I am hoping to see the pair trade above 1.3500 again in March if not sooner.

$EURUSD Outlook Update

EURUSD DAILY CHART - Price actions since last post really indicate long-term recovery for the Euro. The pair reach 90% projection level around 1.3700 but I think correction is very likely before another test toward 1.3800 area which will complete major AB=CD pattern and bring bigger correction. 

EURUSD 4-HOUR CHART - I am looking for correction pattern between 1.3500 and 1.3700 for the following weeks.

$EURUSD Outlook Update

EURUSD DAILY CHART - The pair finally reach target from previous post (FE 61.8% at 1.3370). I  expect choppy movements between 1.3100/1.3000 support area and 1.3500/1.3370 resistance area for next week.

EURUSD WEEKLY CHART - Above 1.3500 will extend recovery outlook toward 1.3800/1.4000 near 61.8% retracement level of 2-year high (1.4937) and low (1.2040).

$GBPUSD Update

GBPUSD 4-HOUR CHART - Price action went as expected since previous update, currently trading above 1.6100/1.6080 (current support area). I expect Cable to make higher highs toward 1.6300 and then maybe another fall to test 1.6000 support.

$GBPUSD & $GBPJPY Outlook

GBPUSD Previous Post <<

GBPUSD 4-HOUR CHART - I expect 1.6000 support to hold and bring another momentum to test 1.6300.

GBPJPY HOURLY CHART - Above 141.70 should increase probability of uptrend continuation.

$XAUUSD Update

Gold bounce from 61.8% level at 1642 as expected but failed to reach my second target at 1700. The precious metal fell sharply and breach previous low before settling back above 1642. Outlook remain bullish above 1633/42.

XAUUSD DAILY CHART - Possible double bottom formation.

$EURUSD H1 Chart Update

The completion of the double top pattern failed to trigger sharp correction and consolidated between prior week top and bottom instead. This development actually strengthen its medium-term bullish outlook although a lower correction toward 61.8% retracement level is still normal in my opinion. Or in other words I believe that the Euro should find support above 1.2870 against the Dollar if the bull lose current ground above 38.2% retracement level at 1.3142. I am hoping that the pair will eventually reach 61.8% projection at 1.3369.

EURUSD HOURLY CHART (PREVIOUS OUTLOOK).

EURUSD HOURLY CHART (CURRENT OUTLOOK).

EURUSD DAILY CHART - Medium-term outlook unchanged.

$EURUSD Technical Outlook

EURUSD DAILY CHART - Medium-term outlook remain bullish above 1.2660. First target is 61.8% of 1.2040 to 1.3170 from 1.2660 at 1.3370.

EURUSD HOURLY CHART - Weekly outlook suggest short-term reversal below 1.3300 (last at 1.3186) targeting 50% retracement level at 1.3091. 

$XAUUSD Testing 61.8% Retracement Level

XAUUSD DAILY CHART - Gold found some support near 61.8% retracement level at 1642, which could be the bottom of a possible ABC correction pattern. I am looking to buy the pair targeting 1671 and 1700 with stop loss below this month low.

$XAUSUD Buy Setup

XAUUSD 4 HOUR CHART - Possible flag pattern breakout, targeting 1720 and 1730 area. 

$AUDUSD Chart Update

AUDUSD 4 HOUR CHART - Two possible bullish scenario.

$AUDUSD Outlook

$AUDUSD DAILY CHART - Testing 1.0500 resistance at the moment with next resistance seen around 1.0600.

$AUDUSD 4 HOUR CHART - Last week price movement signals trend continuation, so outlook is bullish as long 1.0400 support holds.

$GBPUSD Outlook

Cable was moving sideways between 1.5960 and 1.6060  last week. The pair maintained its two week uptrend pattern but it needs to break above 1.6070 to confirm trend continuation. Break below 1.5900 should bring 1.5787 and 1.5665 in focus.

GBPUSD DAILY CHART - Waiting for a breakout.

GBPUSD 4-HOUR CHART - Targeting 1.6170  if 1.6050/70 resistance broken

$USDJPY Outlook

Still very bullish for $USDJPY. I am gonna look to buy the pair, betting that it will reach 83.00 in short term, as long it holds above 81.69.

USDJPY HOURLY CHART - Possible uptrend continuation.

USDJPY DAILY CHART - Just to be prepared if the pair break above 83.00.

$XAUUSD Outlook

$XAUUSD fell sharply this week from 61.8% level of October downtrend around $1,748 but quickly found support around $1,705. I think it is the key level to keep the  short-term bull scenario alive. Upside targets are $1,768 (78.6% of $1,795.1 to $1,671.9) if it can hold above $1,748 (61.8%). A slip below $1,700 should trigger sell-offs targeting $1,670. 

$XAUUSD 4-Hour Chart - Short-term bullish scenario.

 

$XAUUSD Daily Chart - Bearish scenario if price move below $1,700.

$USDJPY Update

The pair is currently forming correction pattern. Dollar weakened  to 81.85 earlier today but quickly rebound above 82.00. I expect price movements between the projected trendlines targeting 81.50. US home sales data will surely be the main focus. A surprise will likely keep USDJPY in its current pattern while focus will then shift to Japan retail sales and another set of US data on Thursday.

$USDJPY 4-Hour Chart

 

 

$USDJPY 1-Hour Chart