 [link] [comments] 0.0 years and 000 backtested trades later I have a habit of backtesting every strategy I find as long as it makes sense. I find it fun, and even if the strategy ends up being underperforming, it gives me a good excuse to gain valuable chart experience that would normally take years to gather. After I backtest something, I compare it to my current methodology, and usually conclude that mine is better either because it has a better performance or the new method requires too much time to manage (Spoiler: until now, I like this better) During the last two days, I have worked on backtesting ParallaxFx strategy, as it seemed promising and it seemed to fit my personality (a lazy fuck who will happily halve his yearly return if it means he can spend 00% less time in front of the screens). My backtesting is preliminary, and I didn't delve very deep in the data gathering. I usually track all sort of stuff, but for this first pass, I sticked to the main indicators of performance over a restricted sample size of markets. Before I share my results with you, I always feel the need to make a preface that I know most people will ignore. I am words on your screen. You cannot trust me. I could have edited this or literally just typed random numbers on a spreadsheet. Do your own research if you want to trust my conclusion. Even if you trust me, you need to do backtesting for yourself. The goal of backtesting isn't simply to figure out whether a strategy has an edge: it's a way to get used to how the market flows (valuable experience you will bring on to any other strategy) and how the strategy behaves. You need to see it with your own eyes to allow your subconscious mind to be at ease when it comes time to trade it live: the only way to truly trust your strategy during a period of drawdown, is to have seen it work over hundreds of trades in the past. Strategy I am not going to go into the strategy in this thread. If you haven't read the series of threads by the guy who shared it, go here. As suggested by my mentioned personality type, I went with the passive management options of ParallaxFx's strategy. After a valid setup forms, I place two orders of half my risk. I add or remove 0 pip from each level to account for spread. The first at the 00.0 retracement. The second at the 00.0 retracement. Both orders have a stop loss at the 00.0 retracement. Both orders have the same target at the -000.0 extension. If price moves to the -00.0 extension, I delete any unfilled orders. I do not scale out, I do not move to breakeven, I place my orders and walk away. Sample I tested this strategy over the seven major currency pairs: AUDUSD, USDCAD, NZDUSD, GBPUSD, USDJPY, EURUSD, USDCHF. The time period started on January 0th 0000 and ended on July 0th 0000, so a 0.0 years backtest. I tested over the D0 timeframe, and I plan on testing other timeframes. My "protocol" for backtesting is that, if I like what I see during this phase, I will move to the second phase where I'll backtest over 0 years and 00 currency pairs. Units of measure I used R multiples to track my performance. If you don't know what they are, I'm too sleepy to explain right now. This article explains what they are. The gist is that the results you'll see do not take into consideration compounding and they normalize volatility (something pips don't do, and why pips are in my opinion a terrible unit of measure for performance) as well as percentage risk (you can attach variable risk profiles on your R values to optimize position sizing in order to maximize returns and minimize drawdowns, but I won't get into that). Results I am not going to link the spreadsheet directly, because it is in my GDrive folder and that would allow you to see my personal information. I will attach screenshots of both the results and the list of trades. In the latter, I have included the day of entry for each trade, so if you're up to the task, you can cross-reference all the trades I have placed to make sure I am not making things up. Overall results: R Curve and Segmented performance. List of trades: 0, 0, 0, 0, 0, 0, 0. Something to note: I treated every half position as an individual trade for the sake of simplicity. It should not mess with the results, but it simply means you will see huge streaks of wins and losses. This does not matter because I'm half risk in each of them, so a winstreak of 0 trades is just a winstreak of 0 trades. For reference: Trades: 000 Profit Factor: 0.00 Return: 000.00 R Strike rate: 00.00% Average win: 0.00 R Average loss: -0.00 R Thoughts Nice. I'll keep testing. As of now it is vastly better than my current strategy. submitted by Vanguer to Forex [link] [comments] 