Tuesday, June 19, 2012

ADX Crossover system now in forward-testing phase

Over the last few weeks I've extended the backtest on my ADX crossover system to the USDCAD (1996-2012) and the EURUSD (1999-2012). I've manually analysed and recorded over 2,000 individual trades. This was insanely long. While backtesting I managed to watch through seasons 3 and 4 of Breaking Bad, and season 1 of Battlestar Galactica. I think that's about 40 hours of pure backtesting in the last few weeks.

I've also performed a basic optimisation of my system. The optimal R:R between the three pairs turned out to be 4:1, which yielded an approximate 20% return per trade. I like to test the AUDUSD in the near-future as well.

Here are the basic equity curves for the EURUSD, USDCAD and GBPJPY at 2% risk with a $10,000 account, from mid-1996 to early 2012 (except the EURUSD, which only came into existence in 1999).

The USDCAD didn't perform well, but I was expecting this. The USDCAD is a real bitch to trade. Even Nial Fuller admits he avoids the USDCAD.

My experience trading the commodity currencies is that the AUDUSD, NZDUSD, gold and silver, are the best to trade, I tend to avoid the USDCAD as I find it fires off many “false” trading signals, this may have something to do with it being heavily influenced by the price of crude oil. Whatever the reason, I typically avoid trading the USCAD and advise my students do the same, perhaps at a point in the future the USDCAD will “behave” more logically, but at the current time I tend to avoid it like the plague.
My next plan is to forward-test this system with the major pairs, in conjunction with a backtest on the AUDUSD.

No comments:

Post a Comment

Note: Only a member of this blog may post a comment.