The "Silver Range M15" test

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  • #21237

    Hello everyone,

    I wanted to code a breakout strategy on Silver.

    The results were completely opposite to those I hoped for : negative and losing regularly.

    So I had the idea of ​​reversing the parameters : instead of a breakout, we play a rebound on a “range” (including the last 22 candles), and moreover according to the opposite of the current trend (defined by moving averages 5 and 30).

    Of course, the profit factor is not optimal (1.13) ; and gains are not miraculous for the drawdown exposed (17%), according to the leverage used.

    But this strategy has the merit of being able to be deepened / optimized.

    And maybe there are mistakes with the test . I don’t have yet the 1.3 version or ProRealTime (which allows tick by tick backtest).

    #21245

    Hi Doc, I moved your post from library pending review queue to forum.

    I agree that silver XAGUSD is a mean reverting instrument for intraday timeframe, you discover it also and it would be interesting to explore further more this concept with it.

    I think your tests were made without spread? Because I really don’t have the same results as yours.

    I have tested from 2011 May 1st, because it is the date where strategy begin to make money. Because tick per tick backtest is only available through demo account, I don’t have many allowed bars to use, so the backtest is stopped at the end of year 2012. You’ll find below screenshots of the tested strategy, with and without the spread (took 2.5 points only).

     

    #21254

    Hello Nicolas,

    You are right, I forgot spread… 🙁

     

Viewing 3 posts - 1 through 3 (of 3 total)

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