Sunday, August 12, 2012

50% ATR backtest on USDJPY

I spent most of my Sunday backtesting the USDJPY with the system I described in the previous entry. Gathered around 250 sample trades from 2001 to mid-2012.

An equity curve is presented below, using 2.5 reward-to-risk and 2% risk per trade. This yielded a win% of 37.35% per trade, with an after-spread expectancy of 27.65%.

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