Thursday, March 20, 2008

OmniTrader Forex backtest

Over last weekend, have decided to use OmniTrader for Forex. Here are the backtest results.

Weekly and Daily periods have the best hitrates, with Daily the most profitable.

Meanwhile, will be using the following trailing stops:
i. For trades taken on 1 hour or 4 hour candles, will be using stoploss of 40 pips.
ii. Once the trade moves up 30 pips, will set stoploss to breakeven, with trailing distance of 30 pips and trailing step of 5 pips.
iii. With continuing volatility in the equity and commodity markets, may be manually closing entries.

1. Weekly backtest:
Long, Short, Combined
# trades 20, 16, 36
Profitable Trades 16, 10, 26
Hit Rate (%) 80%, 62.5%, 72.22%

Average Profit ($) 1,439.71, 2,447.80, 1,827.44
Consecutive Wins 9, 6, 9
Average Loss ($) -990.39, -1,255.11, -1,149.22
Consecutive Losses 1, 2, 2

Worst Draw-Down (%) 1.82, 2.86, 2.86
Average APR (%) 2,923.41, 840.44, 1,251.16

2. Daily backtest:
Long Short Combined
# trades 5, 5, 10
Profitable Trades 4, 3, 7
Hit Rate (%) 80%, 60%, 70%

Average Profit ($) 190.46, 1,784.63, 873.67
Consecutive Wins 3, 2,,5
Average Loss ($) -6.57, -210.90, -142.79
Consecutive Losses 1, 2, 2

Worst Draw-Down (%) 0.13, 0.35, 0.35
Average APR (%) 3,272.78, 1,623.22, 1,739.66

3. One Hour backtest:
Long Short Combined
# trades 27, 25, 52
Profitable Trades 15, 19, 34
Hit Rate (%) 55.56%, 76%,,65.38%

Average Profit ($) 365.22, 1,141.72, 799.15
Consecutive Wins 6, 5, 7
Average Loss ($) -351.07, -673.57, -458.57
Consecutive Losses 3, 1, 3

Worst Draw-Down (%) 0.83, 0.93, 0.93
Average APR (%) 14,520.85, 20,805.97, 20,216.10

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