Hello everyone! Most recently, I was considering a trading strategy “Day range”, today I decided to analyze it, drive it, so to speak, in history and see how it really is a profile.
The analysis of the strategy will be carried out in the form in which it is described, without changes. Currency pair EURUSD, the period of analysis is from January 2016 to the present, i.e. to 13.05.2016.
I recommend for those who are not in the subject, before getting acquainted with the analysis, first read the strategy itself at the link above.
First, let’s collect statistical data. Let me remind you that we are collecting the High, Low and Close values of the previous trading day. So let’s go.
Yes, I almost forgot, to speed up data collection, I used an indicator Trade Day, which reflects the value of the lows and highs of the previous trading day.
I summarized the received data in a table:
|Currency pair||The number of closed deals plus|
Total transactions in the period
from 04.01.16 until 05/13/16
|EURUSD||60||33 of 50||26 from 43||93|
In total there were 93 transactions for the period, of which 60 were profitable. Only for 11.03.2016. none of the orders was triggered.
Now let’s calculate the probability of closing deals in plus in percentage terms:
|Currency pair||The probability of closing a deal in plus (in percent)|
The overall probability of closing the deal in plus is 64.5%, which is a fairly good indicator. Now let’s move on to the most interesting, let’s calculate how much profit we could get in each month and for the entire period if we traded using the strategy:
|Profit in points|
|January||February||March||April||May (until 13.05.)|
For 4.5 months, the profit amounted to 476 points, the most profitable deal 61 points, the most unprofitable 52 points.
Suppose, with a deposit of $ 1000, trading is carried out with a lot of 0.1, then the cost of one point is $ 1 (with a leverage of 1/100). The profit that we could get over the period is $ 476 or 47.6%, with the risk per trade on average 2.5-4% (once only the risk was 7%).
It should be borne in mind that the risk per trade would gradually decrease every month. But, and if you trade with constant risk, then taking into account reinvestment, the profit would be more, or more precisely, about $ 600 or 60%.
If the risk was reduced by 2 times (the maximum possible risk per trade in the analyzed period would be 3.5%), in this case the profit would be equal to $ 238 or 23.8%, which on average 5-5.5% per month, quite worthy.
Although the percentage of profit is quite high, I experimented a little with the strategy and adjusted the stop-loss level. Now it will be equal to the closing price of the previous trading day, i.e., the ratio of stop loss to take profit will be 1: 1.
When the stop was changed (decreased) by 7 trades, the number of positive trades decreased, now the total number of them is 53. Let’s see how the profit and the probability of closing trades in plus will change:
|Currency pair||The likelihood of closing a deal in plus (in percent)|
|Currency pair||Profit in points|
What we see: profit in February remained unchanged, slightly dipped in April and slightly more in March, but in May it increased significantly, and in January it more than doubled. As a result, the total profit amounted to 536 points, which is 60 points more than with the author’s strategy parameters.
The probability has decreased, and the profit has increased. With all this, the risk per trade has decreased; in the above example, the maximum possible risk is now 6% rather than 7%.
As you can see from the analysis of the strategy, trading on it is unhurried, even (100-140 points per month), it does not require any global adjustments. The strategy is more suitable for calm, conservative trading, one trade per day.
At the opening of the trading day, I placed pending orders and is free. Further configured SMS notification and in case of opening a position, I received a notification, opened the terminal, deleted the second order and is free again, go about your daily life.
Before using the strategy on other currency pairs, be sure to analyze it, run it through history. For reference: during the same period, the strategy showed not very good results on the GBPUSD and XAUUSD currency pairs, and the risk per trade was much higher. Although if you correct it, change the entry conditions, I think you can get something out of the market … In general, try and analyze. That’s it for today, goodbye.
Best regards, Evgeny Bokhach
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