ProOrder Breakout on French cac40 my account performances
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December 2015 performance : +24.43%
December was again a good month for the strategy, it performs well as the CAC40 indice did nice intraday moves that fit our strategy : let the profit run and cut the losses very quickly.
This is what my mini-account performance look a like presently. Damn good since my first post to introduce it :
Since the beginning of January, the performance is almost 9%.
I have made some stats works on past performance with the help of my great friend Excel.
I have exported backtest data to a worksheet and made some statistical formulas to get some interesting values : average of the positive and negative deviation of the mean.
Within these values, we get a reliable view of what is the behaviour of the strategy in the past.
The results are of course something we already known as the positive deviation is greater than the negative one. If not, the strategy would have not made so good performance in the past.To limit Excel memory consumption i have limited the statistical calculation on “only” 1000 trades. Also, because Excel doesnt allow to draw more than 255 lines in the same graph, i have also limited the simulation to 255 random strategies simulation.
- Trades are simulated this way, for each simulated day :
Profitable trades are set between 0 and the average positive deviation
Negative trades are set between the average negative deviation and 0
I then introduced 2 random criteria to let each simulated strategy to choose if a trade is trigger or not and also if it is a profitable day or not.
This way, I can scramble each individual strategy behaviour by playing this 2 criteria.What a big Excel spreadsheet:
Here are the results of 255 simulated strategies made of :
60% of days are traded with 50% of profitable days :
Strategies results distribution are quiet centric, it is a good result.
60% of days are traded with 40% of profitable days :
Even with 40% of profitable days, these 255 simulated strategies give more positive distribution than negative one. Good point, even if not every simulation are profitable.
80% of days are traded with 40% of profitable days :
Since it is a breakout strategy on a 15 minutes timeframe, we can assume that most of the year, the stop orders will be trigger. With 80% of days that are traded, i think that it is a good criteria.
(Simulations are made with 2 standards mini contracts).
There a lot of other statistical simulations that could be made, i’m gonna do some Kurtosis now to give confidence interval of probabilistic future performances.
- Trades are simulated this way, for each simulated day :
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