Saturday, September 1, 2012

Fractal breakout system on AUDUSD - disappointing results

I spent the last few days backtesting a fractal breakout system on the AUDUSD from 2001 to 2010.
Entry = previous fractal + 5 pips
SL = 0.5 * ATR(14) 
Results were quite disappointing.
The system started off well from 2001 to 2004, but then went downhill. This system gets absolutely slaughtered during a ranging market as you will receive many entry signals that quickly reverse. The pic below shows a good example during late 2010.
The ideal R:R was 2.67. The equity curve is provided below:
So yes, you might make a bit of money with this system. But otherwise it's not an impressive system. And just look at that drawdown towards the end.
Now, the reason why I'm posting this system is that I really do feel it has alot of potential. Despite getting slaughtered in ranging conditions, it still made SOME money. Expectancy was around 9%. I need to design a way that will minimise my exposure to ranging markets. I plan to continue tinkering with this system over the next week.

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