Backtesting NOK SEK dip in december

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  • #113881 quote
    Gubben
    Participant
    Senior

    When I heard NOK/SEK had dropped lately I realized it was the same last year, and the year before that, so I made a simple backtest and thought the results were nice compared to the simplicity. It might not be much for automation as much as a concept to trade manually, but still sharing here if anyone has any input on how it could be improved and automated. Or if there are other pairs that perhaps has a stronger effect. I wanted to add stop loss etc but I didn’t manage adding a max trades per month properly. Also not sure what the spread is so I set it at 6

    shorttime = month = 11
    longtime = month=1
    exitlongtime = month>=5
    exitshorttime = month=1
    //higherlow = low > highest[x](low[1])
    //lowerhigh = high < lowest[y](high[1])
    
    // Conditions to enter long positions
    IF NOT LongOnMarket AND longtime THEN
    BUY 8 CONTRACTS AT MARKET
    ENDIF
    
    // Conditions to exit long positions
    If LongOnMarket AND exitlongtime THEN
    SELL AT MARKET
    ENDIF
    
    // Conditions to enter short positions
    IF NOT ShortOnMarket AND shorttime THEN
    SELLSHORT 8 CONTRACTS AT MARKET
    ENDIF
    
    // Conditions to exit short positions
    IF ShortOnMarket AND exitshorttime THEN
    EXITSHORT AT MARKET
    ENDIF
    
    noksek.png noksek.png
    #113885 quote
    robertogozzi
    Moderator
    Master

    It seems a good performance, but keep in mind that you used too small an initial capital. If you want to double that performance you just have to write SEK 3000, instead of 6000!

    A better initial capital would be 3 to 4 times the DD, that is roughly SEK 40-50000, thus reducing gaining percentage from 850% to about 140% in 13.5 years, which is 10%/year. Moreover did you enable tick-by-tick mode? I’m afraid not, because bactkesting wouldn’t have started back from 2006, I guess. Try enabling it and using a larger starting capital.

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Backtesting NOK SEK dip in december


ProOrder: Automated Strategies & Backtesting

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Gubben @danung Participant
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This topic contains 1 reply,
has 2 voices, and was last updated by robertogozzi
6 years, 3 months ago.

Topic Details
Forum: ProOrder: Automated Strategies & Backtesting
Language: English
Started: 11/28/2019
Status: Active
Attachments: 1 files
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