I'm pretty exhausted right now. Pretty much spent all day working non-stop and I'm really happy with my results.
I spent most of today re-optimising my Daikoku trading system by extending the backtest to seventeen pairs and 12 years worth of data. Sample size was 600 trades.
The trading system is really simple. Look at the weekly chart at the end of the week and see if the current week's range is less than half of the previous week. Once the new week starts, go long or short if the top or bottom breaks, respectively. We place our stop loss at the opposite high or low.
As part of my (re-)optimisation, I experimented with different profit targets and R:R ratios. This included the new currency pairs that I had backtested. The profit factor for each R:R ratio is below:
A reward-to-risk of 0.15:1 seemed most optimal. It seemed really low, but those were the figures. But all R:R ratios were positive, so you can't really go "wrong" with whatever R:R you use. Slightly changing the reward from 0.15 to 0.2 or 0.1 didn't change my profit factor much, so this value seemed robust.
The equity graph of this system at 2% risk per trade is below.
Now that is a good looking equity curve, with an excellent R^2. I'm always wondering whether this has been over-optimised, but it has been tested over 12 years across 17 pairs. I suppose this is a "scalping" system since we are looking for small, consistent wins. Obviously the good news is that since trades open and close quickly, there's less chance of correlation and overlap with other trades.