In the last article, I showed you the results of a strategy that has been making profit for 21 months. As I have promised, we look at it in details- how it was created, tested, what are its historical results … Let’s go through part of it today.
As I have mentioned in the previous article, we have built the strategy using the StrategyQuant program, which is able to search automatically for profitable strategies based on the specific parameters. I will introduce the program in more detail in the future, but now we will focus on the results of the strategy.
I personally like strategies that are profitable over a long period of time, even for decades. Why? Each strategy has its edge, that is, the advantage in the market that brings profits. I like strategies that have an edge proven by a long history. Then there is less chance they will fail in the future.
For this particular strategy we have performed a backtest on two sets of EURUSD data – since 2003 and then since 1987. Thus, for 13 and 29 years (the strategy was built in 2016). This is really a very long history. The strategy was built for H1 and the backtest accuracy is M1, so the simulation is based on very fine movements of the one-minute timeframe.
How did the strategy perform in the historical backtest?
results for 15 years:
In 15 years, the earnings of the strategy were $ 6139 per 0.1 lot, which is not a bad result compared to a maximum drawdown of $ 301.
The percentage of profitable trades is slightly above 50%, namely 51.34%.
results for 29 years:
Here you can see a decrease in the number of trades in previous years, some years, there were even just several trades. That does not matter, however, the strategy has made a profit of 10,167 USD with a maximum drawdown of 467 USD, which is still a very nice result.
The percentage of profitable trades remained unchanged and stayed exactly 51.34%.
The strategy has passed the backtests and it has proved to be fit. Of course, the backtests are only the first step. As I say, backtest brings a nice picture, but it does not have any value without other tests :).
We will go through more tests next time. I will show you what tests are we performing and why, and on which base we have chosen this strategy and why it makes given profits. But not only in this case but also in case of other strategies.
So far, you can download my e-book where you can learn more about strategy building process and can get few steps in forward.