Wednesday, August 15, 2012

50% ATR backtest on AUDUSD

The result of the AUDUSD backtest is pretty bad. With a 2.5 reward-to-risk, expectancy was an unremarkable 1.43%.

However, if we reduce our reward to 1.67R, expectancy climbs to 10.88%. With a 1.67R reward, the expectancy for the USDJPY is 26.68%, and the EURUSD 31.15%.

The equity curves for 1.67R are below:

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